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Articles 1351 - 1380 of 2456

Full-Text Articles in Economics

Nonparametric Testing For Anomaly Effects In Empirical Asset Pricing Models, Sainan Jin, Liangjun Su, Yonghui Zhang Feb 2015

Nonparametric Testing For Anomaly Effects In Empirical Asset Pricing Models, Sainan Jin, Liangjun Su, Yonghui Zhang

Research Collection School Of Economics

In this paper, we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric functional form to capture the anomaly effects of some asset-specific characteristics and the other is the flexible treatment of both observed/constructed and unobserved common factors. By estimating the unknown factors, betas, and nonparametric function simultaneously, our setup is robust to misspecification of functional form and common factors and avoids the well-known "error-in-variable" problem associated with the commonly used …

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Arifin Siregar [Indonesia, Minister Of Trade], Arifin Siregar Jan 2015

Arifin Siregar [Indonesia, Minister Of Trade], Arifin Siregar

Digital Narratives of Asia

Former Indonesian Trade Minister Arifin Siregar talks to DNA about his higher education in Holland and Germany, and his services as the Governor of Central Bank in Indonesia, during which handling the Pertamina crisis led to radical economic development. He presents his take on past Presidents Soekarno, Suharto, Habibie, Gus Dur, Megawati and Susilo Bambang Yudhoyono, including how corruption had occurred.

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Asia In 2015: A Lookahead, Singapore Management University Jan 2015

Asia In 2015: A Lookahead, Singapore Management University

Perspectives@SMU

Inequality, productivity, and good governance are the keywords for 2015

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The “New Normal” In China, Singapore Management University Jan 2015

The “New Normal” In China, Singapore Management University

Perspectives@SMU

China's slowing growth and its dual identity of simultaneously being a developing and developed country will test the country’s leadership

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The Malaysia Report: National Landscape, Current Challenges And Opportunities For Growth, Institute For Societal Leadership, Natalia R. Rodrigues Jan 2015

The Malaysia Report: National Landscape, Current Challenges And Opportunities For Growth, Institute For Societal Leadership, Natalia R. Rodrigues

Institute of Societal Leadership Research Collection

Malaysia’s story is one of pluralism. Like many nations in Southeast Asia, its borders are not drawn along ethnic lines. Immigration and the influence from colonial European powers were particularly prominent in Malaysia because of its many important ports. Thus, many aspects of the country – its economy, its people – are very different on the coasts than they are in the interior of the country, a distinction which generally mirrors the divide between urban and rural areas as well.

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Cyclical Public Policy And Financial Factors, Vishrut Dhirendra Rana Jan 2015

Cyclical Public Policy And Financial Factors, Vishrut Dhirendra Rana

Dissertations and Theses Collection (Open Access)

The Great Recession of 2009 motivated a growing body of research on the quantitative modeling of financial factors and appropriate policy responses. This dissertation is a part of that line of research and looks at the quantitative macroeconomic effects of financial factors on business cycles. The dissertation uses quantitative macroeconomic general equilibrium models (popular dynamic stochastic general equilibrium (DSGE)) that allow flexibility in micro-founded modeling of macroeconomic environments. The dissertation captures financial factors through explicit modeling of financial intermediation, featuring costly state verification and collateral constraints as financial frictions. The first chapter offers a new quantitative model of credit cycles …

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Three Essays On Financial Econometrics, Jiang Liang Jan 2015

Three Essays On Financial Econometrics, Jiang Liang

Dissertations and Theses Collection (Open Access)

This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model …

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Essays On High-Frequency Financial Data Analysis, Yingjie Dong Jan 2015

Essays On High-Frequency Financial Data Analysis, Yingjie Dong

Dissertations and Theses Collection (Open Access)

This dissertation consists of three essays on high-frequency financial data analysis. I consider intraday periodicity adjustment and its effect on intraday volatility estimation, the Business Time Sampling (BTS) scheme and the estimation of market microstructure noise using NYSE tick-by-tick transaction data. Chapter 2 studies two methods of adjusting for intraday periodicity of highfrequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method (Wu (2012)). I examine the effects of these adjustments on the estimation of intraday volatility using the Autoregressive Conditional Duration-Integrated Conditional Variance (ACD-ICV) method of Tse and Yang (2012). I find …

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Limit Theory For An Explosive Autoregressive Process, Xiaohu Wang, Jun Yu Jan 2015

Limit Theory For An Explosive Autoregressive Process, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. The coefficient based test and the t test have better power for testing the hypothesis of zero intercept in the explosive process than in the stationary process.

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Specification Testing For Transformation Models With An Application To Generalized Accelerated Failure-Time Models, Arthur Lewbel, Xun Lu, Liangjun Su Jan 2015

Specification Testing For Transformation Models With An Application To Generalized Accelerated Failure-Time Models, Arthur Lewbel, Xun Lu, Liangjun Su

Research Collection School Of Economics

This paper provides a nonparametric test of the specification of a transformation model. Specifically, we test whether an observable outcome Y is monotonic in the sum of a function of observable covariates X plus an unobservable error U. Transformation models of this form are commonly assumed in economics, including, e.g., standard specifications of duration models and hedonic pricing models. Our test statistic is asymptotically normal under local alternatives and consistent against nonparametric alternatives violating the implied restriction. Monte Carlo experiments show that our test performs well in finite samples. We apply our results to test for specifications of generalized accelerated …

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A Class Of Symmetric And Quadratic Utility Functions Generating Giffen Demand, Massimiliano Landi Jan 2015

A Class Of Symmetric And Quadratic Utility Functions Generating Giffen Demand, Massimiliano Landi

Research Collection School Of Economics

I provide a simple example of a quadratic utility function that generates a Giffen demand. The utility function is symmetric, increasing and concave. Interestingly, the Giffen effect arises in the subspace where the utility function is strictly increasing and strictly concave. A full characterization of the parameter conditions under which the Giffen demand arises is provided.

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Reputation Building Through Failure, Huan Wang, Yi Zhang Jan 2015

Reputation Building Through Failure, Huan Wang, Yi Zhang

Research Collection School Of Economics

In China, many entrepreneurs receive strong supports each time their business fails. This contradicts existing literature and differs from rare revival elsewhere. The major explanation lies in China’s unfriendly and unstable policy environments, due to which business failure per se cannot discern competence. Therefore, entrepreneurs failing because of policy shocks have the incentive for extra efforts to build reputation of competence and trustworthiness. This mechanism prepares a pool of seasoned entrepreneurs who can help alleviate damages of not only policy shocks, but also such system shocks as business cycle and sector upgrading, and therefore makes the economy more adaptable.

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A Prospect Theory Of Power Transition: Why Power Transition Does Not Imply War?, Huan Wang, Yi Zhang Jan 2015

A Prospect Theory Of Power Transition: Why Power Transition Does Not Imply War?, Huan Wang, Yi Zhang

Research Collection School Of Economics

We present a prospect theory model to explain why power transitions do not necessarily lead to war. We find that three major mechanisms prevent the occurrence of potential power transition wars. First, the dual boiling frog effects occurring in the middle range of capability catching-up rate prevent a dominant state from preempting and a rising state from challenging the other side. Second, divergent expectations for favorable comparative growth advantage motivate both parties to keep the status quo. Third, the concerns of relative advantage deterioration over a third party in the post-war power structure help deter both parties from starting a …

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Nonparametric Threshold Regression: Estimation And Inference, Daniel J. Henderson, Christopher F. Parmeter, Liangjun Su Jan 2015

Nonparametric Threshold Regression: Estimation And Inference, Daniel J. Henderson, Christopher F. Parmeter, Liangjun Su

Research Collection School Of Economics

The present work describes a simple approach to estimating the location of a threshold/changepoint in a nonparametric regression. This model has connections both to the time-series and regressiondiscontinuity literatures. The estimator leverages a simple decomposition, giving it the form of asemiparametric smooth coefficient model. Optimal bandwidth selection and a suite of testing facilitiesare also presented. Several empirical examples are provided to illustrate the implementation of themethods discussed here.

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Wellbeing Of Singapore’S Youths, Kong Weng Ho Jan 2015

Wellbeing Of Singapore’S Youths, Kong Weng Ho

Research Collection School Of Economics

Given Singapore’s focus on human capital investment in its residents, the nation’s youths have experienced increases in their financial, educational, and physical wellbeing. However, how have our youths fared in their emotional and mental wellbeing? Figures from the World Values Survey show reported a gradual decline in life satisfaction for both general population and youths. Data from four waves of the National Youth Survey confirms this trend. This chapter explores and examines the non-economic channels that may have countered the positive influence of economic success on the wellbeing of youths, namely, changing family structure, heightened stressors, shifting life goals, time …

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Aggregate Consumption And Debt Accumulation: An Empirical Examination Of Us Household Behavior, Yun K. Kim, Mark Setterfield, Yuan Mei Jan 2015

Aggregate Consumption And Debt Accumulation: An Empirical Examination Of Us Household Behavior, Yun K. Kim, Mark Setterfield, Yuan Mei

Research Collection School Of Economics

The outbreak of the financial crisis in 2008 witnessed a significant contraction in US consumption spending, as households began deleveraging following a period marked by historically high levels of household borrowing. These events call into question the canonical life-cycle theory of consumption, with its benign view of debt as a neutral instrument of optimal intertemporal expenditure smoothing. This paper draws attention to an alternative, post-Keynesian account of consumption spending in which current income, household borrowing and household indebtedness all affect current consumption. Central to the analysis is an empirical investigation of US consumption spending since the 1950s. The results of …

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Asian Tiger Economies' Choices, Hwee Kwan Chow-Tan Jan 2015

Asian Tiger Economies' Choices, Hwee Kwan Chow-Tan

Research Collection School Of Economics

This paper considers the choices facing the Asian tiger economies regarding growth strategies that foster trans-Pacific rebalancing. A review of historical data spanning 2000 to 2008 reveals only a slight widening of the overall current account surplus but that there is considerable variation across the countries, with Hong Kong, China exhibiting the biggest increase in the saving and investment (S-I) balance. Meanwhile, cross-correlation coefficient estimates tentatively suggest that changes in the real effective exchange rate do not seem to exhibit a consistent negative lead over changes in the S-I gap in the short run over the past decade. Highimport leakage, …

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Semiparametric Analysis In Conditionally Independent Multivariate Mixture Models, T. Wrobel, Denis H. Y. Leung, J. Qin, T. Hettmansperger Jan 2015

Semiparametric Analysis In Conditionally Independent Multivariate Mixture Models, T. Wrobel, Denis H. Y. Leung, J. Qin, T. Hettmansperger

Research Collection School Of Economics

The conditional independence assumption is commonly used in multivariate mixture models in behavioral research. We propose an exponential tilt model to analyze data from a multivariate mixture distribution with conditionally independent components. In this model, the log ratio of the density functions of the components is modeled as a quadratic function in the observations. There are a number of advantages in this approach. First, except for the exponential tilt assumption, the marginal distributions of the observations can be completely arbitrary. Second, unlike some previous methods, which require the multivariate data to be discrete, modeling can be performed based on the …

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Testing Linearity Using Power Transforms Of Regressors, Yae In Baek, Jin Seo Cho, Peter C. B. Phillips Jan 2015

Testing Linearity Using Power Transforms Of Regressors, Yae In Baek, Jin Seo Cho, Peter C. B. Phillips

Research Collection School Of Economics

We develop a method of testing linearity using power transforms of regressors, allowing for stationary processes and time trends. The linear model is a simplifying hypothesis that derives from the power transform model in three different ways, each producing its own identification problem. We call this modeling difficulty the trifold identification problem and show that it may be overcome using a test based on the quasi-likelihood ratio (QLR) statistic. More specifically, the QLR statistic may be approximated under each identification problem and the separate null approximations may be combined to produce a composite approximation that embodies the linear model hypothesis. …

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Quantitative Study Of Housing Price Based On Huff Model And Hedonic Method, Yuan Li, Lang He, Junfeng Jiao, Guoqiang Shen Jan 2015

Quantitative Study Of Housing Price Based On Huff Model And Hedonic Method, Yuan Li, Lang He, Junfeng Jiao, Guoqiang Shen

Research Collection College of Integrative Studies

Using Hedonic and Huff model, we conduct empirical study of the ordinary commercial housing price’s spatial pattern in Xiamen City, China. This paper mainly focus on the following three issues: (1) Exploring the 21 potential factors that influence spatial distribution of housing price; (2) The relationship between commercial size and housing price; (3) Quantitative analysis about the five primary factors’ mode of action and saliency characteristics. In the numerous variables, allocation of educational resources and the distance between housing and shopping malls and supermarkets based on Huff model have Significant impact on housing price.

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The Vientiane Report: National Landscape, Current Challenges And Opportunities For Growt, Institute For Societal Leadership, Lai Cheng Lim Dec 2014

The Vientiane Report: National Landscape, Current Challenges And Opportunities For Growt, Institute For Societal Leadership, Lai Cheng Lim

Institute of Societal Leadership Research Collection

Laos is a small, landlocked, mountainous country in Southeast Asia. As a country, it shares borders with Myanmar and the People’s Republic of China to the Northwest, Vietnam to the East, Cambodia to the South and Thailand to the West.

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The Dili Report: National Landscape, Current Challenges And Opportunities For Growth, Institute For Societal Leadership, Lai Cheng Lim Dec 2014

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

Institute of Societal Leadership Research Collection

Timor-Leste, Asia’s newest nation, is located in Southeast Asia, on the southernmost edge of the Indonesian archipelago. The country was colonised by the Portuguese for over 450 years, occupied by the Indonesians for 24 years and administered by the United Nations for two and a half years. As a nation, Timor-Leste has had a very traumatic birth.

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On Bias In The Estimation Of Structural Break Points, Liang Jiang, Xiaohu Wang, Jun Yu Dec 2014

On Bias In The Estimation Of Structural Break Points, Liang Jiang, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

Based on the Girsanov theorem, this paper obtains the exact Önite sample distribution of the maximum likelihood estimator of structural break points in a continuous time model. The exact Önite sample theory suggests that, in empirically realistic situations, there is a strong Önite sample bias in the estimator of structural break points. This property is shared by least squares estimator of both the absolute structural break point and the fractional structural break point in discrete time models. A simulation-based method based on the indirect estimation approach is proposed to reduce the bias both in continuous time and discrete time models. …

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Business Time Sampling Scheme And Its Applications To Semi-Martingale Hypothesis And Estimating Integrated Volatility, Yingjie Dong, Yiu Kuen Tse Dec 2014

Business Time Sampling Scheme And Its Applications To Semi-Martingale Hypothesis And Estimating Integrated Volatility, Yingjie Dong, Yiu Kuen Tse

Research Collection School Of Economics

No abstract provided.

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Executive Overreach By Minority Governments, Madhav S. Aney, Shubhankar Dam Dec 2014

Executive Overreach By Minority Governments, Madhav S. Aney, Shubhankar Dam

Research Collection School Of Economics

A provision in the Indian constitution allows the executive to make laws in the event oneof the two houses of parliament is not in session. This provision was intended to allow theexecutive to act in case there’s an immediate legislative necessity and the parliament cannotbe convened. Using a bargaining model with asymmetric information we show how partieswithin the parliament may reach an agreement on legislations when the ruling party does notcommand a majority (minority government). The model makes predictions about lawmakingpatterns by the legislature when the parliament is in session, and ordinances by the executivewhen the parliament is not in …

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Negotiating Deals From A Position Of Powerlessness, Michael Schaerer, Roderick I. Swaab Dec 2014

Negotiating Deals From A Position Of Powerlessness, Michael Schaerer, Roderick I. Swaab

Research Collection Lee Kong Chian School Of Business

When you are negotiating a deal it pays to have viable alternatives to fall back on – or at least that’s what most people think. New research suggests that being powerless can be liberating and help you achieve better deals.

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Structural Change Estimation In Time Series Regressions With Endogenous Variables, Junhui Qian, Liangjun Su Dec 2014

Structural Change Estimation In Time Series Regressions With Endogenous Variables, Junhui Qian, Liangjun Su

Research Collection School Of Economics

We propose to apply the group fused Lasso to estimate time series models with endogenous regressors and an unknown number of breaks. It can correctly determine the number of breaks and estimate the break dates asymptotically. Simulations and applications are given.

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Testing The Martingale Hypothesis, Peter C. B. Phillips, Sainan Jin Dec 2014

Testing The Martingale Hypothesis, Peter C. B. Phillips, Sainan Jin

Research Collection School Of Economics

We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov–Smirnov and Cramér–von Mises tests. The tests are distribution-free and allow for a weak drift in the null model. The methods do not require either smoothing parameters or bootstrap resampling for their implementation and so are well suited to practical work. The article develops limit theory for the tests under the null and shows that the tests are consistent against a wide class of nonlinear, nonmartingale processes. Simulations show that the tests have good finite sample properties in comparison with other tests particularly under conditional heteroscedasticity …

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Emil Salim [Indonesia, Minister Of Environment], Emil Salim Nov 2014

Emil Salim [Indonesia, Minister Of Environment], Emil Salim

Digital Narratives of Asia

Emil Salim was part of the famed Berkeley Mafia who brought Indonesia out of its economic crisis in the mid-1960s. He later went on to become Minister of Environment in President Suharto's cabinet. He speaks to DNA about how he overcame obstacles in his career, even when he did have subject knowledge, and what it was like working with President Suharto.

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Emerging Markets And The End Of Qe, Singapore Management University Nov 2014

Emerging Markets And The End Of Qe, Singapore Management University

Perspectives@SMU

Quantitative easing made it easier for emerging economies to delay necessary reforms, but policymakers are better able to manage crises than ever before

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