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Articles 1 - 13 of 13
Full-Text Articles in Social and Behavioral Sciences
Robust Contracting Under Distributional Uncertainty, Jiangtao Li, Kexin Wang
Robust Contracting Under Distributional Uncertainty, Jiangtao Li, Kexin Wang
Research Collection School of Economics
We study the design of contracts when the principal has limited statistical information about the output distributions induced by the agent’s actions. In the baseline model, we consider a principal who only knows the mean of the output distribution for each action, and show that it is optimal for the principal to adopt a monotone affine contract. We further show that the optimality of monotone affine contracts persists even if the principal has access to other information about the output distributions, such as the information that the output distribution induced by each action has full support.
The Case Of Singapore, Hwee Kwan Chow, Kong Weng Ho
The Case Of Singapore, Hwee Kwan Chow, Kong Weng Ho
Research Collection School of Economics
The economic impact of the Covid-19 pandemic on Singapore was more severe and protracted than the global financial crisis. Singapore responded with easing of the monetary policy stance, reinforcing financial stability, helping individuals to reduce debt obligations, easing business cashflow constraints, adjusting financial regulatory and supervisory protocols to cope with immediate challenges, and enabling the financial sectors to build long-term capabilities. Fiscal responses were unprecedented with four consecutive budgets and two ministerial statements, initially focusing on immediate assistance in respect of jobs, businesses, households, and later refined to providing more sector-specific assistance as the pandemic evolved with more detailed information …
Informal Institutions And Comparative Advantage Of South-Based Mnes: Theory And Evidence, Pao-Li Chang
Informal Institutions And Comparative Advantage Of South-Based Mnes: Theory And Evidence, Pao-Li Chang
Research Collection School of Economics
This paper builds a theory to characterize the comparative advantage of South-based MNEs rooted in institutional qualities. MNEs headquartered in countries of poorer state institutions are hypothesized to invest more in `informal institutions', and as an optimal response, undertake FDI in countries of weaker institutions, all else being equal. At the aggregate, MNEs generate more net profits in countries of weaker institutions, the poorer the institutional environment at home. Extensive tests of the theory are conducted using bilateral FDI volumes for 219 economies in year 2001--2010. The results indicate a statistically significant and robust institutional complementarity effect in bilateral FDI …
Enhancing Singapore’S Pension Scheme: A Blueprint For Further Flexibility, Koon Shing Kwong, Yiu Kuen Tse, Wai Sum Chan
Enhancing Singapore’S Pension Scheme: A Blueprint For Further Flexibility, Koon Shing Kwong, Yiu Kuen Tse, Wai Sum Chan
Research Collection School of Economics
Building a social security system to ensure Singapore residents have peace of mind in funding for retirement has been at the top of Singapore government’s policy agenda over the last decade. Implementation of the Lifelong Income For the Elderly (LIFE) scheme in 2009 clearly shows that the government spares no effort in improving its pension scheme to boost its residents’ income after retirement. Despite the recent modifications to the LIFE scheme, Singapore residents must still choose between two plans: the Standard and Basic plans. To enhance the flexibility of the LIFE scheme with further streamlining of its fund management, we …
Housing Policies In Singapore, Phang Sock Yong, Matthias Helble
Housing Policies In Singapore, Phang Sock Yong, Matthias Helble
Research Collection School of Economics
Singapore has developed a unique housing system, with three-quarters of its housing stock built by the Housing & Development Board (HDB) and homeownership financed through Central Provident Fund (CPF) savings. As a result, the country’s homeownership rate of 90% is one of the highest among market economies. At different stages of its economic development, the Government of Singapore was faced with a different set of housing problems. An integrated land–housing supply and financing framework was established in the 1960s to solve the severe housing shortage. By the 1990s, the challenge was that of renewing aging estates and creating a market …
On The Effect And Remedies Of Shrinkage On Classification Probability Estimation, Zhengxiao Wu, Yufeng Liu, Zhengxiao Wu
On The Effect And Remedies Of Shrinkage On Classification Probability Estimation, Zhengxiao Wu, Yufeng Liu, Zhengxiao Wu
Research Collection School of Economics
Shrinkage methods have been shown to be effective for classification problems. As a form of regularization, shrinkage through penalization helps to avoid overfitting and produces accurate classifiers for prediction, especially when the dimension is relatively high. Despite the benefit of shrinkage on classification accuracy of resulting classifiers, in this article, we demonstrate that shrinkage creates biases on classification probability estimation. In many cases, this bias can be large and consequently yield poor class probability estimation when the sample size is small or moderate. We offer some theoretical insights into the effect of shrinkage and provide remedies for better class probability …
Quasi‐Hidden Markov Model And Its Applications In Cluster Analysis Of Earthquake Catalogs, Zhengxiao Wu
Quasi‐Hidden Markov Model And Its Applications In Cluster Analysis Of Earthquake Catalogs, Zhengxiao Wu
Research Collection School of Economics
We identify a broad class of models, quasi-hidden Markov models (QHMMs), which include hidden Markov models (HMMs) as special cases. Applying the QHMM framework, this paper studies how an earthquake cluster propagates statistically. Two QHMMs are used to describe two different propagating patterns. The “mother-and-kids” model regards the first shock in an earthquake cluster as “mother” and the aftershocks as “kids,” which occur in a neighborhood centered by the mother. In the “domino” model, however, the next aftershock strikes in a neighborhood centered by the most recent previous earthquake in the cluster, and therefore aftershocks act like dominoes. As the …
Innovation And Employment, Hian Teck Hoon, Edmund S. Phelps
Innovation And Employment, Hian Teck Hoon, Edmund S. Phelps
Research Collection School of Economics
Is employment higher in an economy that has a higher rate of innovation? In Hoon and Phelps (1997), we study this question in the small open, and closed, economy under the assumption that the rate of technological progress is exogenous to the economic system.In this paper, we reexamine this question in the context of a model with endogenous product innovation (and thus endogenous technological progress) and endogenous labor supply first in a small open economy taking the world interest rate as given and then ina closed economy that determines the whole term structure of the interest rate. In our present …
A Hidden Markov Model For Earthquake Declustering, Zhengxiao Wu
A Hidden Markov Model For Earthquake Declustering, Zhengxiao Wu
Research Collection School of Economics
The hidden Markov model (HMM) and related algorithms provide a powerful framework for statistical inference on partially observed stochastic processes. HMMs have been successfully implemented in many disciplines, though not as widely applied as they should be in earthquake modeling. In this article, a simple HMM earthquake occurrence model is proposed. Its performance in declustering is compared with the epidemic-type aftershock sequence model, using a data set of the central and western regions of Japan. The earthquake clusters and the single earthquakes separated using our model show some interesting geophysical differences. In particular, the log-linear Gutenberg-Richter frequency-magnitude law (G-R law) …
Econometric Forecasting And High-Frequency Data Analysis, Yiu Kuen Tse, Yiu Kuen Tse
Econometric Forecasting And High-Frequency Data Analysis, Yiu Kuen Tse, Yiu Kuen Tse
Research Collection School of Economics
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
A Cluster Identification Framework Illustrated By A Filtering Model For Earthquake Occurrences, Zhengxiao Wu
A Cluster Identification Framework Illustrated By A Filtering Model For Earthquake Occurrences, Zhengxiao Wu
Research Collection School of Economics
A general dynamical cluster identification framework including both modeling and computation is developed.The earthquake declustering problem is studied to demonstrate how this framework applies.A stochastic model is proposed for earthquake occurrences that considers the sequence of occurrencesas composed of two parts: earthquake clusters and single earthquakes. We suggest that earthquake clusterscontain a “mother quake” and her “offspring.” Applying the filtering techniques, we use the solution offiltering equations as criteria for declustering. A procedure for calculating maximum likelihood estimations(MLE’s) and the most likely cluster sequence is also presented.
Estimation Of Hyperbolic Diffusion Using Mcmc Method, Yiu Kuen Tse, Jun Yu, X. B. Chang
Estimation Of Hyperbolic Diffusion Using Mcmc Method, Yiu Kuen Tse, Jun Yu, X. B. Chang
Research Collection School of Economics
In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature, such as a slowly declining autocorrelation function of absolute returns. We demonstrate that the MCMC method provides a useful tool to analyze hyperbolic diffusions. In particular, quantities of posterior distributions obtained from MCMC outputs can be used for statistical inferences
Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang
Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang
Research Collection School of Economics
In this paper we adopt a nonparametric genetic programming approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the “normal” period in sample size, the lead-lag relationship identified in the spot-futures system based on conventional methods such as test for Granger causality pertains to the normal period and may not be applicable in the “extreme” period. Using genetic programming we identify the lead-lag relationship based on the chronological ordering of the structural changes in the spot and futures markets. Our results show that in recent periods, major market changes originated …