Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Advertising (3)
- Bootstrap (3)
- Capital account liberalization (3)
- Financial development (3)
- Financial frictions (3)
-
- Foreign direct investment (3)
- Private information (3)
- Retail markets (3)
- Robustness (3)
- Asymmetric information (2)
- Credit risk (2)
- Distributional misspecification (2)
- Employment (2)
- Exchange rate (2)
- Generalized method of moments (2)
- Housing prices (2)
- Housing stock (2)
- Indirect Inference (2)
- MCMC (2)
- Matching (2)
- Maximum likelihood (2)
- Median Unbiased (2)
- Option pricing (2)
- Over-investment (2)
- Regulation (2)
- Risk (2)
- Singapore (2)
- Stock price (2)
- Technology (2)
- World output gains (2)
Articles 61 - 75 of 75
Full-Text Articles in Social and Behavioral Sciences
Innovation And Patentability Requirement In A Globalized World, Davin Chor, Edwin L. C. Lai
Innovation And Patentability Requirement In A Globalized World, Davin Chor, Edwin L. C. Lai
Research Collection School Of Economics
One important element of a patent regime is the non-obviousness requirement, which captures the minimum improvement to the best patented technology a new invention is required to make in order for it to be patentable. We call it the required inventive step. We explore the implications of a patenting regime based on required inventive step, by incorporating such intellectual property protection considerations in the quality-improvement model of technology, trade and growth developed by Eaton and Kortum (European Economic Review 2001). In considering whether to increase the inventive step, policy-makers trade off the benefits of a higher rate of innovation against …
The Optimal Degree Of Reciprocity In Tariff Reduction, Pao Li Chang
The Optimal Degree Of Reciprocity In Tariff Reduction, Pao Li Chang
Research Collection School Of Economics
This article clari.es the roles played by trade policy, in contrast with iceberg transport cost, in the popular setting of Melitz (2003), and characterizes the optimal reciprocal trade policy in such a setting. I show that import tariffs and iceberg transport cost are not equivalent in the strength of their trade-restricting e¤ects and their welfare implications. With all the con.icting effectsof import tari¤s on welfare considered, the optimal degree of reciprocity in multilateral tari¤ reduction turns out to be free trade.
Can Market Failure Cause Political Failure, Madhav S. Aney, Maitreesh Ghatak, Massimo Morelli
Can Market Failure Cause Political Failure, Madhav S. Aney, Maitreesh Ghatak, Massimo Morelli
Research Collection School Of Economics
How can market failure interact with choice of institutional reform made by an electorate? We study this question in the framework of occupational choice where agents are endowed heterogeneously with wealth and talent. In our model, market failure due to unobservability of talent endogenously creates a class structure that affects vote on institutional reform. We find that the preferences of these classes may be highly nonmonotonic in wealth and are often aligned in ways that creates a tension between institutional reforms that are growth maximising and those that are politically feasible. This is in contrast to the world without market …
Managing Capital Flows: The Case Of Singapore, Hwee Kwan Chow
Managing Capital Flows: The Case Of Singapore, Hwee Kwan Chow
Research Collection School Of Economics
The resurgence of private capital inflows into Asia in recent years has raised the question of whether the region is susceptible to yet another financial crisis. While a sudden large-scale reversal of capital flows is not likely to result in a liquidity crunch or balance of payments crisis, the attendant sharp corrections in asset prices will have an adverse impact on the economy particularly through indirect channels. We present, in this study, Singapore’s experience in managing the risks posed by capital flows as well as the retention of control over exchange rates and monetary conditions. It is the overall package …
Enhancing Income Opportunities, Rashiel Verlarde, Tomoki Fujii, Ulrich Lächler
Enhancing Income Opportunities, Rashiel Verlarde, Tomoki Fujii, Ulrich Lächler
Research Collection School Of Economics
Accelerating growth is essential for poverty reduction. As argued earlier, poverty has failed to decline significantly since the East Asian Crisis due to insufficiently dynamic growth, a high degree of income inequality that reduces the income elasticity of poverty reduction, and an apparent worsening of the income distribution. The first step toward addressing this failure is to accelerate growth, which will not be easy in the short run while the global slowdown continues to run its course. Moreover, even though the global crisis is gradually bottoming out, the post-crisis external environment is likely to be much less favorable than before, …
The National Innovation System Of Singapore, Winston T. H. Koh, Phillip Phan
The National Innovation System Of Singapore, Winston T. H. Koh, Phillip Phan
Research Collection School Of Economics
No abstract provided.
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach, Yiu Kuen Tse, Tao Yang
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach, Yiu Kuen Tse, Tao Yang
Research Collection School Of Economics
We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) models. We compare the daily volatilities estimated using the ACD models against several versions of the realized volatility (RV) method, including the bipower variation realized volatility with subsampling, the realized kernel estimate and the duration-based realized volatility. The ACD volatility estimates correlate highly with and perform very well against the RV estimates. Our Monte Carlo results show that our method has lower root mean-squared error than the RV methods in most …
Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy, Tomoki Fujii, Larry Karp
Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy, Tomoki Fujii, Larry Karp
Research Collection School Of Economics
When current decisions affect welfare in the far-distant future, as with climate change, the use of a declining pure rate of time preference (PRTP) provides potentially important modeling flexibility. The difficulty of analyzing models with non-constant PRTP limits their application. We describe and provide software (available online) to implement an algorithm to numerically obtain a Markov perfect equilibrium for an optimal control problem with non-constant PRTP. We apply this software to a simplified version of the numerical climate change model used in the Stern Review. For our calibration, the policy recommendations are less sensitive to the PRTP than widely believed.
Functional Coefficient Estimation With Both Categorical And Continuous Data, Liangjun Su, Ye Chen, Aman Ullah
Functional Coefficient Estimation With Both Categorical And Continuous Data, Liangjun Su, Ye Chen, Aman Ullah
Research Collection School Of Economics
We propose a local linear functional coefficient estimator that admits a mix of discrete and continuous data for stationary time series. Under weak conditions our estimator is asymptotically normally distributed. A small set of simulation studies is carried out to illustrate the finite sample performance of our estimator. As an application, we estimate a wage determination function that explicitly allows the return to education to depend on other variables. We find evidence of the complex interacting patterns among the regressors in the wage equation, such as increasing returns to education when experience is very low, high return to education for …
Testing Linearity In Cointegrating Relations With An Application To Purchasing Power Parity, Seong Hyun Hong, Peter C. B. Phillips
Testing Linearity In Cointegrating Relations With An Application To Purchasing Power Parity, Seong Hyun Hong, Peter C. B. Phillips
Research Collection School Of Economics
This article shows that when applied to nonstationary time series, the conventional Regression Error Specification Test (RESET) leads to severe size distortion and its asymptotic distribution involves a mixture of noncentral chi(2) distributions. Nonstationarity introduces bias terms in the limit distribution, and appropriate corrections for the bias are presented leading to a modified RESET test that has a central chi(2) limit distribution. In simulations, this modified test is shown to have power not only against nonlinear cointegration but also against the absence of cointegration. In an empirical illustration, the linear purchasing power parity (PPP) specification is tested using five Organization …
Risking Returns: Moving From Public To Private Equity, Aurobindo Ghosh
Risking Returns: Moving From Public To Private Equity, Aurobindo Ghosh
Research Collection School Of Economics
The notion of risk identifies a project that matches with the risk appetite of an entrepreneur not necessarily the investors. This can explain why entrepreneurs would start up companies but it cannot explain why ex-post the investors continue, given that a diversified portfolio of publicly traded assets could potentially generate similar return with lower risk. We re-evaluate the evidence through performance measures using relative probability distributions of public and private equity funds, and identify the nature of the deviations. We observe that the heterogeneity in different investor classes are greatly reduced using standard covariates to identify the choice between public …
Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su
Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su
Research Collection School Of Economics
In this paper we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values and justify its validity. A small set of Monte Carlo simulations indicate the test performs …
Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model, A. Eriksson, D. Preve, Jun Yu
Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model, A. Eriksson, D. Preve, Jun Yu
Research Collection School Of Economics
This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It is semiparametric in the sense that the distributional form of its error component is left unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Asymptotic properties are established for the new estimation method. Simulation studies validate the new estimation method. The out-of-sample performance of the proposed model is evaluated against a number …
Obedience, Schooling, And Political Participation, Davin Chor, Filipe R. Campante
Obedience, Schooling, And Political Participation, Davin Chor, Filipe R. Campante
Research Collection School Of Economics
This paper proposes a framework for understanding the joint evolution of cultural norms and human capital investment, and how these affect patterns of political participation. We first present some empirical evidence that cultural attitudes towards obedience systematically influence an individual's propensity to engage in different political activities: obedience discourages more confrontational modes of political activity (such as public demonstrations), while raising participation in non-confrontational civic acts (such as voting). These cultural attitudes further appear to be determined in part by cultural transmission across generations. Motivated by this evidence, we develop a dynamic model in which human capital and obedience are …
Simulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Simulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Research Collection School Of Economics
In this chapter we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach does not require observations on option prices, nor volatility. To integrate out latent volatility from the joint density of return and volatility, a modified efficient importance sampling technique is used after the continuous time model is approximated using the Euler–Maruyama scheme. The Monte Carlo studies show that the method works well and the empirical applications illustrate usefulness of the method. Empirical results provide strong evidence against the Heston model.