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Full-Text Articles in Economics

Welfare-To-Work Reform And Intergenerational Support: Grandmothers' Response To The 1996 Prwora, Ho, Christine Apr 2015

Welfare-To-Work Reform And Intergenerational Support: Grandmothers' Response To The 1996 Prwora, Ho, Christine

Research Collection School Of Economics

The 1996 Personal Responsibility and Work Opportunity Reconciliation Act (PRWORA; Pub. L. 104-193) in the United States aimed at encouraging work among low-income mothers with children below age 18. In this study, the author used a sample of 2,843 intergenerational family observations from the Health and Retirement Study to estimate the effects of the reform on single grandmothers who are related to those mothers. The results suggest that the reform decreased time transfers but increased money transfers from grandmothers. The results are consistent with an intergenerational family support network where higher child care subsidies motivated the family to shift away …

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Home Prices And Inequality: Singapore Versus Other Global Superstar Cities, Sock Yong Phang Apr 2015

Home Prices And Inequality: Singapore Versus Other Global Superstar Cities, Sock Yong Phang

Research Collection School Of Economics

The Global City concept originates from the work of sociologist Saskia Sassen, which dates back to the 1980s. In an age of globalisation, division of labour is international in scope and production activities are distributed across the world. A global city is a significant point where the internationally oriented financial and producer services that make the global economy run choose to agglomerate.

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A Combined Approach To The Inference Of Conditional Factor Models, Yan Li, Liangjun Su, Yuewa Xu Apr 2015

A Combined Approach To The Inference Of Conditional Factor Models, Yan Li, Liangjun Su, Yuewa Xu

Research Collection School Of Economics

This article develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature-the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new test statistics for investigating key hypotheses in the context of conditional factor models. Our tests can be performed on a single asset or jointly across multiple assets. We further propose a novel test to directly check whether the parametric model used in our first stage is …

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Optimal Jackknife For Unit Root Models, Ye Chen, Jun Yu Apr 2015

Optimal Jackknife For Unit Root Models, Ye Chen, Jun Yu

Research Collection School Of Economics

A new jackknife method is introduced to remove the first order bias in unit root models. It is optimal in the sense that it minimizes the variance among all the jackknife estimators of the form considered in Phillips and Yu (2005) and Chambers and Kyriacou (2013) after the number of subsamples is selected. Simulations show that the new jackknife reduces the variance of that of Chambers and Kyriacou by about 10% for any selected number of subsamples without compromising bias reduction. The results continue to hold true in near unit root models. (C) 2014 Elsevier B.V. All rights reserved.

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Inefficiency In The Shadow Of Unobservable Reservation Payoffs, Madhav S. Aney Apr 2015

Inefficiency In The Shadow Of Unobservable Reservation Payoffs, Madhav S. Aney

Research Collection School Of Economics

This paper considers the problem of allocating an object between two players in an environment with one sided asymmetric information when their reservation payoffs depend on the type of the informed player, causing the reservation payoff of the uninformed player to be unobservable to her. Inefficiency arises naturally in this setting and can be characterized by a simple condition on the reservation payoffs that is necessary and sufficient. I derive the necessary and sufficient condition for the existence of an implementable allocation that at least weakly dominates the reservation payoffs. Under a mild assumption on the distribution of types, I …

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China's Yuan: Asia's Future Anchor Currency?, Hwee Kwan Chow Apr 2015

China's Yuan: Asia's Future Anchor Currency?, Hwee Kwan Chow

Research Collection School Of Economics

The yuan is becoming more widely used in pricing and settling intra-regional trade and investment. Asian currencies' movements are likely to shift more in tandem with the yuan, leading to it becoming one of Asia's lead currencies. Singapore is now the world's second-most- important offshore yuan trading hub after Hong Kong.

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Lag Length Selection For Unit Root Tests In The Presence Of Nonstationary Volatility, Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes, A. M. Robert Taylor Apr 2015

Lag Length Selection For Unit Root Tests In The Presence Of Nonstationary Volatility, Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes, A. M. Robert Taylor

Research Collection School Of Economics

A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size, rather than data-determined, the latter being standard empirical practice. We investigate the finite sample impact of unconditional heteroskedasticity on conventional data-dependent lag selection methods in augmented Dickey–Fuller type regressions and propose new lag selection criteria which allow for unconditional heteroskedasticity. Standard lag selection methods are shown to have a tendency …

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Nonparametric Predictive Regression, Ioannis Kasparis, Elena Andreou, Peter C. B. Phillips Apr 2015

Nonparametric Predictive Regression, Ioannis Kasparis, Elena Andreou, Peter C. B. Phillips

Research Collection School Of Economics

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance parameter free and holds for a wide range of predictors including stationary as well as non-stationary fractional and near unit root processes. Asymptotic theory and simulations show that the proposed tests are more powerful than existing parametric predictability tests when deviations from unity are large or the predictive regression is nonlinear. Empirical illustrations to monthly SP500 stock returns data are provided. …

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Timothy Ong [Brunei, Chairman Of Asia Inc Forum], Timothy Ong Mar 2015

Timothy Ong [Brunei, Chairman Of Asia Inc Forum], Timothy Ong

Digital Narratives of Asia

Timothy Ong is Chairman of Asia Inc Forum, a regional platform for policy and business dialogue which he set up after the failure of his magazine Asia Inc. Mr Ong talks openly to DNA about the Asia Inc episode and how he learned from those mistakes to build a stronger, better company. He also shares his impressions of leaders he has met through his work at Asia Inc Forum.

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The Vietnam Report: National Landscape, Current Challenges And Opportunities For Growth, Institute For Societal Leadership, John W. Ellington Mar 2015

The Vietnam Report: National Landscape, Current Challenges And Opportunities For Growth, Institute For Societal Leadership, John W. Ellington

Institute of Societal Leadership Research Collection

Although most of Southeast Asia is home to religions and cultures carrying significant Indic influence, Vietnam alone is the mainland’s only Sinicised culture. Chinese emperors directly ruled northern Vietnam for most of the period spanning 111 BCE to 938 CE. The next eight hundred years saw a series of independent Vietnamese kingdoms administered by Chinese-style mandarins gradually extend control over and supplant the Indic Champa civilisation to the south—even as French incursions began chipping away at Vietnamese territory as early as 1858.

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Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu Mar 2015

Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu

Research Collection School Of Economics

The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing.

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Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang Mar 2015

Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang

Research Collection School Of Economics

We consider the problem of supplementing survey data with additional information from a population. The framework we use is very general; examples are missing data problems, measurement error models and combining data from multiple surveys. We do not require the survey data to be a simple random sample of the population of interest. The key assumption we make is that there exists a set of common variables between the survey and the supplementary data. Thus, the supplementary data serve the dual role of providing adjustments to the survey data for model consistencies and also enriching the survey data for improved …

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Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang Mar 2015

Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang

Research Collection School Of Economics

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which become worse with a denser spatial weight matrix. In this paper, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values of the LM statistics. Conditions for their validity are clearly laid out and formal justifications are given in general, and in detail under several popular spatial LM …

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Asymptotic Theory For Linear Diffusions Under Alternative Sampling Scheme, Qiankun Zhou, Jun Yu Mar 2015

Asymptotic Theory For Linear Diffusions Under Alternative Sampling Scheme, Qiankun Zhou, Jun Yu

Research Collection School Of Economics

The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to the finite sample distribution than the other two distributions. An empirical application highlights the difference in unit root testing based on the alternative asymptotic distributions.

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Limit Theory For Continuous Time Systems With Mildly Explosive Regressors, Peter C. B. Phillips, Chen Ye, Jun Yu Mar 2015

Limit Theory For Continuous Time Systems With Mildly Explosive Regressors, Peter C. B. Phillips, Chen Ye, Jun Yu

Research Collection School Of Economics

No abstract provided.

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Bias Correction For Fixed Effects Spatial Panel Data Models, Zhenlin Yang, Jihai Yu, Shew Fan Liu Mar 2015

Bias Correction For Fixed Effects Spatial Panel Data Models, Zhenlin Yang, Jihai Yu, Shew Fan Liu

Research Collection School Of Economics

This paper examines the finite sample properties of the quasi maximum likelihood (QML) estimators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general bias correction methods recently developed by Yang (2015), we derive up to third-order bias corrections for the QML estimators of the FE-SPD model, and propose a simple bootstrap method for their practical implementation. Monte Carlo results reveal that the QML estimators of the spatial parameters can be quite biased and that a second-order bias correction effectively removes the bias. The validity of the bootstrap method is established. Variance corrections …

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Fertility And Rural Electrification In Bangladesh, Tomoki Fujii, Abu S. Shonchoy Mar 2015

Fertility And Rural Electrification In Bangladesh, Tomoki Fujii, Abu S. Shonchoy

Research Collection School Of Economics

We use a panel dataset from Bangladesh to examine the relationship between fertility and the adoption of electricity with the latter instrumented by infrastructure development and the quality of service delivery. We find that the adoption of electricity reduces fertility, and this impact is more pronounced when the household already has two or more children. This observation can be explained by a simple household model of time use, in which adoption of electricity affects only the optimal number of children but not necessarily current fertility behavior if the optimal number has not yet been reached.

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Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang Mar 2015

Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang

Research Collection School Of Economics

We consider the problem of supplementing survey data with additional information from a population. The framework we use is very general; examples are missing data problems, measurement error models and combining data from multiple surveys. We do not require the survey data to be a simple random sample of the population of interest. The key assumption we make is that there exists a set of common variables between the survey and the supplementary data. Thus, the supplementary data serve the dual role of providing adjustments to the survey data for model consistencies and also enriching the survey data for improved …

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On The Effectiveness Of Housing Purchase Restriction Policy In China: A Difference In Difference Approach, Jerry X. Cao, Bihong Huang, Rose Neng Lai Mar 2015

On The Effectiveness Of Housing Purchase Restriction Policy In China: A Difference In Difference Approach, Jerry X. Cao, Bihong Huang, Rose Neng Lai

Research Collection Lee Kong Chian School Of Business

The Chinese government imposed the purchase restriction policy to rein in the housing bubble in 2010. Using a two-stage difference-in-difference approach and a comprehensive dataset covering the real estate markets across 70 cities, we find that the policy triggered substantial decline in the property price and transaction volume. Cities having higher reliance on real estate sector for fiscal revenue and economic growth experienced greater decline in housing prices following the policy implementation. However, the policy had no measurable effects on the nationwide construction boom, hinting the ineffectiveness of the policy to correct the housing bubble.

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Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang Mar 2015

Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang

Research Collection School Of Economics

We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML estimators. Monte Carlo simulation shows that both the QML estimators and the bootstrap standard errors perform well in finite samples under a correct assumption on initial observations, but may …

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The Changing And Unchanged Nature Of Inequality And Seniority In Japan, Ken Yamada, Daiji Kawaguchi Mar 2015

The Changing And Unchanged Nature Of Inequality And Seniority In Japan, Ken Yamada, Daiji Kawaguchi

Research Collection School Of Economics

Wage inequality declined in the 1990s, while it increased in the 2000s for full-time male workers in Japan. We find that a decreased return to firm-specific human capital, which has been neglected in previous empirical analyses of inequality, is a key factor preventing a rise in wage inequality during the prolonged period of economic stagnation, known as Japan’s lost decades. We also find that, while changes in returns to general and specific human capital contributed to narrowing wage inequality in the 1990s and widening wage inequality in the 2000s, a significant fraction of the increase in wage inequality in the …

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Social Transformation, Group Reputation, And Reputation Matching, Huan Wang, Yi Zhang Mar 2015

Social Transformation, Group Reputation, And Reputation Matching, Huan Wang, Yi Zhang

Research Collection School Of Economics

Unlike in small communities where one can strategically interact with another according to the latter’s individual reputation, players in complex societies often have to interact with strangers whose individual reputations cannot be easily acquired. They often have to infer their counterparts’ characteristics from the latters’ group reputation to simplify decision making. We provide a game theoretical model of reputation matching concerning corruption during social transformation. We show that the regime change from acquaintance matching to anonymous matching tends to cause rampant corruption and the effectiveness of anti-corruption policies is non-monotonic with respect to the supervision efforts.

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South Africa: Building For The Future, Singapore Management University Feb 2015

South Africa: Building For The Future, Singapore Management University

Perspectives@SMU

Africa’s second-largest economy seeks to get back on the road to growth

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Indonesia’S Challenges, Singapore Management University Feb 2015

Indonesia’S Challenges, Singapore Management University

Perspectives@SMU

Supply side constraints will be key to how South East Asia’s largest country maintains the six percent growth it needs to tackle the poverty rate and grow

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The Bandar Seri Begawan Report: National Landscape, Current Challenges And Opportunities For Growth, Institute For Societal Leadership, Lai Cheng Lim Feb 2015

The Bandar Seri Begawan Report: National Landscape, Current Challenges And Opportunities For Growth, Institute For Societal Leadership, Lai Cheng Lim

Institute of Societal Leadership Research Collection

Brunei, known as the “Abode of Peace”, is a small state in Southeast Asia located on the north-west coast of the island of Borneo in the Indonesian Archipelago. Its 161 kilometres of coastline faces the South China Sea while it is enclosed on land by the Malaysian state of Sarawak, which divides it in two. Brunei Darussalam comprises four districts, Brunei-Muara (where the capital Bandar Seri Begawan is situated), Tutong, Belait and Temburong.

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Income Smoothing Due To Unemployment Concerns, Jeffrey Ng, Tharindra Ranasinghe, Guifeng Shi, I-Hwa Yang Feb 2015

Income Smoothing Due To Unemployment Concerns, Jeffrey Ng, Tharindra Ranasinghe, Guifeng Shi, I-Hwa Yang

Research Collection School Of Accountancy

Economic theory predicts that top executives and lower-level employees have incentives to smooth income due to compensating wage differential costs and fear of job loss, respectively. Following Agrawal and Matsa (JFE, 2013) who rely on exogenous variations in unemployment insurance benefits to examine how unemployment concerns affect corporate leverage, we examine the link between such benefits and income smoothing. We find that when unemployment insurance benefits are higher and concerns about unemployment are hence lower, there is less income smoothing. This relation is stronger when employees face higher unemployment risk and weaker when the firms’ information and internal control environments …

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Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects, Xun Lu, Liangjun Su Feb 2015

Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects, Xun Lu, Liangjun Su

Research Collection School Of Economics

We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon and Weidner (2014a), we propose a method for simultaneous selection of regressors and factors and estimation through the method of adaptive group Lasso (least absolute shrinkage and selection operator). We show that with probability approaching one, our method can correctly select all relevant regressors and factors and shrink the coefficients of irrelevant regressors and redundant factors …

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Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshina Feb 2015

Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshina

Research Collection School Of Economics

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis functions and estimate them by the IVQR technique. We establish the uniform consistency and asymptotic normality of the estimators of the functional coefficients. Based on the sieve estimates, we propose a nonparametric specification test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis, a sequence of local alternatives and global alternatives, and propose a wild-bootstrap procedure …

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Love, Money And Old Age Support: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Jin, Lixin Colin Xu Feb 2015

Love, Money And Old Age Support: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Jin, Lixin Colin Xu

Research Collection School Of Economics

Parental involvement in matchmaking may distort the choice of spouse because parents are willing to substitute love for market and household production, which are more sharable between parents and their children. This paper finds supportive evidence in a survey of Chinese couples. In both rural and urban areas, parent matchmaking is associated with less marital harmony between the couple, more submissive wives, and a stronger belief in old age support for the son. In contrast, its association with couple income differs by rural and urban regions, perhaps because of differences in earning opportunities and in the enforcement of the one-child …

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The True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression, Peter C. B. Phillips, Chirok Han Feb 2015

The True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression, Peter C. B. Phillips, Chirok Han

Research Collection School Of Economics

This note derives the correct limit distributions of the Anderson-Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample sizes tend to infinity, and compares these results with those of the first difference least squares (FDLS) estimator. (C) 2014 Elsevier B.V. All rights reserved.

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