Business Commons^™

Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than the discretization bias, and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. This article proposes a very general and computationally inexpensive method of bias reduction that is based on Quenouille's (1956; Biometrika, 43, 353-360) jackknife. We show how the method can be applied directly …

Competing At The Frontier: The Changing Role Of Technology Policy In Singapore's Economic Strategy, Winston T. H. Koh, Poh Kam Wong

Research Collection School Of Economics

For an economy competing at the global frontier, an innovation-based growth strategy requires a well-developed technological infrastructure, a set of capabilities-focused technology policies, as well as an institutional environment that stimulates innovation and entrepreneurship. This paper examines the role played by science and technology policy in an economy's transition to an innovation-based growth strategy. We discuss the challenges governments face as they restructure economic institutions to deepen R&D capabilities and encourage technology creation. We review Singapore's experience in this regard and assess its ongoing efforts to remake itself to compete at the global frontier.

Older Workers: Untapped Assets For Creating Value, Knowledge@Smu

Knowledge@SMU

The days when an executive could look forward to a leisurely retirement out on the golf course are over, thanks to a possible looming job shortage, a graying population, low savings rates and an insecure Social Security system. The impact of these factors on both workers and companies was the subject of the Symposium on Older Workers, co-sponsored recently by the AARP Global Aging Program along with Wharton's Center for Human Resources and Boettner Center for Pensions and Retirement Research. Speakers included AARP CEO William D. Novelli, Olivia Mitchell, executive director of Wharton's Pension Research Council, and Thomas Dowd, a …

Investing In Real Estate: Mortgage Financing Practices And Optimal Holding Period, Winston T. H. Koh, Edward H. K. Ng

Research Collection School Of Economics

Real estate investments are typically characterized by high degrees of leverage and long loan tenures. In perfect capital markets, leverage has no impact on the investment decision apart from tax considerations. However, the mortgage financing market is imperfect in many countries. In the presence of market imperfections, an optimal holding period exists for real property investments. We provide a simple rule to calculate the optimal holding period is to compare the required rate of return with the leveraged rate of return on equity.

The Creation And Economic Regulation Of Housing Markets: A Comparison Of The Experiences Of Singapore And Korea, Sock-Yong Phang

Research Collection School Of Economics

Privatization, creation of markets and economic regulation are terms that few would immediately associate with the housing sector. Mainstream housing markets in most of the free market economies of the developed world are regarded as competitive markets, with little need for economic regulation of the market. Regulations that attempt to control behavior directly are generally limited to policies relating to rent control, the provision of rental housing or rental allowances for lower income groups, as well as land use regulations and building controls.

The housing sectors of Singapore and Korea are highly unusual in the extent of government involvement and …

Bank Lending And Real Estate In Asia: Market Optimism And Asset Bubbles, Winston T. H. Koh, Roberto S. Mariano, Andrey Pavlov, Sock-Yong Phang, Augustine H. H. Tan, Susan M. Wachter

Research Collection School Of Economics

This paper investigates the Asian real estate price run-up and collapse in the 1990s. We identify financial intermediaries’ underpricing of the put option imbedded in non-recourse mortgage loans as a potential cause for the observed price behavior. This underpricing is due to behavioral causes (lender optimism and disaster myopia) and/or rational response of lenders to market incentives (agency conflicts, deposit insurance, or limited liability of bank shareholders). The empirical evidence suggests that underpricing occurred in Thailand, Malaysia, and Indonesia. Consequently, these countries experienced a more severe market crash than Hong Kong and Singapore, where underpricing was kept under control by …

Education, Technological Progress And Economic Growth, Winston T. H. Koh, Hing-Man Leung

Research Collection School Of Economics

An important role of education – and the resultant accumulation of human capital – for a less-developed economy is to facilitate technology diffusion in order for it to catch up with developed economies. This paper presents a model linking education, the accumulation of physical capital and technological progress. In the model, investment in education and the accumulation of physical capital are complementary, and intertwine with the technology progress through related effects on technology diffusion and the expansion of the technology frontier. The allocation of effort to education, the optimal savings rate and the technology gap are endogenously determined in the …