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Articles 1621 - 1650 of 2456
Full-Text Articles in Economics
Are Us Economic Variables Useful For Chinese Stock Market Forecasts?, Singapore Management University
Are Us Economic Variables Useful For Chinese Stock Market Forecasts?, Singapore Management University
Perspectives@SMU
How does the US economy affect China’s? While much had been written about the decoupling between developed and the emerging economies, one scholar has put forward a contrarian view.
Crime And Moral Hazard: Does More Policing Necessarily Induce Private Negligence?, Brishti Guha, Ashok S. Guha
Crime And Moral Hazard: Does More Policing Necessarily Induce Private Negligence?, Brishti Guha, Ashok S. Guha
Research Collection School Of Economics
Even risk-neutral individuals can insure themselves against crimes by combining direct expenditure on security with costly diversification. In such cases — and even when one of these options is infeasible — greater policing often actually encourages private precautions.
Nature Of Vix Jumps On Market Timing Of Hedge Funds, Yueh-Neng Lin, Choo Yong, Jeremy Goh
Nature Of Vix Jumps On Market Timing Of Hedge Funds, Yueh-Neng Lin, Choo Yong, Jeremy Goh
Research Collection Lee Kong Chian School Of Business
The study indicates that Brownian motion, finite and infinite activity jumps are present in the ultra-high frequency VIX data. The total quadratic variation can be split into a continuous component of 29% and a jump component of 71%. Jump activities on ultra-high frequency VIX data are found informative in ex-ante identifying subgroups of hedge funds that deliver significant outperformance. In the months that follow large jumps, strategies exposing to long volatility and extreme risk tend to deliver positive performance in extreme market environments. In the months that follow small jumps, possibly as a result of trading illiquidity, most fund strategies …
Testing For Jumps In Noisy High Frequency Data, Yacine Ait-Sahalia, Jean Jacod, Jia Li
Testing For Jumps In Noisy High Frequency Data, Yacine Ait-Sahalia, Jean Jacod, Jia Li
Research Collection School Of Economics
This paper proposes a robustification of the test statistic of Aït-Sahalia and Jacod (2009b) for the presence of market microstructure noise in high frequency data, based on the pre-averaging method of Jacod et al. (2010). We show that the robustified statistic restores the test's discriminating power between jumps and no jumps despite the presence of market microstructure noise in the data.
Crime And Moral Hazard: Does More Policing Necessarily Induce Private Negligence?, Brishti Guha, Ashok S. Guha
Crime And Moral Hazard: Does More Policing Necessarily Induce Private Negligence?, Brishti Guha, Ashok S. Guha
Research Collection School Of Economics
Even risk-neutral individuals can insure themselves against crimes by combining direct expenditure on security with costly diversification. In such cases — and even when one of these options is infeasible — greater policing often actually encourages private precautions.
Random Dictatorship Domains, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
Random Dictatorship Domains, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
Research Collection School Of Economics
A domain of preference orderings is a random dictatorship domain if every strategy- proof random social choice function satisfying unanimity defined on the domain, is a random dictatorship. Gibbard (1977) showed that the universal domain is a random dictatorship domain. We investigate the relationship between dictatorial and random dictatorship domains. We show that there exist dictatorial domains that are not random dictatorship domains. We provide stronger versions of the linked domain condition (introduced in Aswal et al. (2003)) that guarantee that a domain is a random dictatorship domain. A key step in these arguments that is of independent interest, is …
Dynamic Misspecification In Nonparametric Cointegrating Regression, Ioannis Kasparis, Peter C. B. Phillips
Dynamic Misspecification In Nonparametric Cointegrating Regression, Ioannis Kasparis, Peter C. B. Phillips
Research Collection School Of Economics
Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) estimator for cointegrating regression under misspecified lag structure are derived, showing the NW estimator to be inconsistent, in general, with a "pseudo-true function" limit that is a local average of the true regression function. In this respect nonlinear cointegrating regression differs importantly from conventional linear cointegration which is invariant to time translation. When centred on the pseudo-true function and appropriately scaled, the NW estimator still has a mixed …
Nonlinear Cointegrating Regression Under Weak Identification, Xiaoxia Shi, Peter C. B. Phillips
Nonlinear Cointegrating Regression Under Weak Identification, Xiaoxia Shi, Peter C. B. Phillips
Research Collection School Of Economics
An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In that case, standard nonlinear cointegrating limit theory does not provide good approximations to the finite-sample distributions of nonlinear least squares estimators, resulting in potentially misleading inference. A new local limit theory is developed that approximates the finite-sample distributions of the estimators uniformly well irrespective of the strength of the identification. An important technical component of …
An Economic Analysis Of Optimum Population Size Achieved Through Boosting Total Fertility And Net Immigration, Hian Teck Hoon
An Economic Analysis Of Optimum Population Size Achieved Through Boosting Total Fertility And Net Immigration, Hian Teck Hoon
Research Collection School Of Economics
Without net immigration, the population size is projected to decline from 2025 onward. Does it matter? To answer this question, the paper proceeds in two main parts. In the first part, taking a citizen's utility as a measure of welfare, we identify the channels through which a larger population size reduces welfare, on the one hand, and increases welfare on the other hand. The optimum population size is achieved when the net resultant effect of all these channels leaves citizens' welfare at the maximum. When current and projected total fertility rates without net immigration lead to a projected path of …
Out Of Sight, Out Of Mind: The Value Of Political Connections In Social Networks, Quoc-Anh Do, Yen Teik Lee, Bang Dang Nguyen, Kieu-Trang Nguyen
Out Of Sight, Out Of Mind: The Value Of Political Connections In Social Networks, Quoc-Anh Do, Yen Teik Lee, Bang Dang Nguyen, Kieu-Trang Nguyen
Research Collection School Of Economics
This paper investigates the impact of social-network based political connections on firm value. We focus on the networks of university classmates and alumni among directors of U.S. public firms and congressmen. Comparing firms connected to elected versus defeated politicians in the Regression Discontinuity Design of close elections from 2000 to 2008, we provide evidence that political connections enhance firm value. However, the value of political connections varies in a more complex way than expected. While connections to powerful members of the Senate generate strong positive impact on firm value, connections to newly elected congressmen are less valuable to firms than …
Measuring The Upstreamness Of Production And Trade Flows, Pol Antras, Davin Chor, Thibault Fally, Russell Hillbery
Measuring The Upstreamness Of Production And Trade Flows, Pol Antras, Davin Chor, Thibault Fally, Russell Hillbery
Research Collection School Of Economics
We propose two distinct approaches to the measurement of industry upstreamness (or average distance from final use) and show that they yield an equivalent measure. Furthermore, we provide two additional interpretations of this measure, one of them related to the concept of forward linkages. We construct this measure for 426 industries using the 2002 US input-output Tables. We also construct our measure using data from selected countries in the OECD STAN database. Finally, we present an application of our measure that explores the determinants of the average upstreamness of exports at the country level using trade flows for 2002.
Changing Unchanged Inequality: Higher Education, Youth Population, And The Japanese Seniority Wage System, Ken Yamada, Daiji Kawaguchi
Changing Unchanged Inequality: Higher Education, Youth Population, And The Japanese Seniority Wage System, Ken Yamada, Daiji Kawaguchi
Research Collection School Of Economics
Wage inequality declined in the 1990s and rose after 2000 among full-time male workers in Japan. Narrowing wage inequality in the 1990s can be accounted for by a decline in between-group inequality resulting from a stable return to education and decreased returns to experience and tenure. Widening wage inequality after 2000 can be accounted for by a rise in within-group inequality resulting from a relative increase in educated and experienced workers, as well as changes in heterogeneous returns to human capital.
Off The Cliff And Back? Credit Conditions And International Trade During The Global Financial Crisis, Davin Chor, Manova Kalina
Off The Cliff And Back? Credit Conditions And International Trade During The Global Financial Crisis, Davin Chor, Manova Kalina
Research Collection School Of Economics
We examine the collapse of international trade flows during the 2008-2009 global financial crisis using detailed data on the evolution of monthly U.S. imports over the November 2006 - April 2009 period. We show that credit constraints and the reduction in the availability of external capital were an important channel through which the crisis affected trade volumes. We identify the effects of credit tightening by exploiting the variation in the cost of capital across countries and over time, as well as the variation in financial dependence across sectors. We find that countries with higher interbank interest rates and thus tighter …
Wage-Vacancy Contracts And Coordination Frictions, Nicolas L. Jacquet, Serene Tan
Wage-Vacancy Contracts And Coordination Frictions, Nicolas L. Jacquet, Serene Tan
Research Collection School Of Economics
We consider a directed search model with risk-averse workers and risk-neutral entrepreneurs who can set up firms that post wage-vacancy contracts, i.e., contracts where firms can make payments to more than one applicant, and where the payments can be different for each applicant and be contingent on the number of applicants. We establish that the type of contracts the literature focuses on are not offered if firms can post wage-vacancy contracts. We show that there exists an equilibrium satisfying a Monotonic Expected Utility property which is efficient. Furthermore, we investigate the role of wage-vacancy contracts on welfare and competition.
Love And Money By Parental Match-Making: Evidence From Urban Couples In China, Fali Huang, Ginger Jin, Lixin Collin Xu
Love And Money By Parental Match-Making: Evidence From Urban Couples In China, Fali Huang, Ginger Jin, Lixin Collin Xu
Research Collection School Of Economics
Parental involvement in marriage matchmaking may distort the optimal spouse choice because parents are willing to substitute love for money. The rationale is that the joint income of married children can be shared among extended family members more easily than mutual attraction felt by the couple themselves, and as a result, the best spouse candidate in the parents' eyes can differ from what is optimal to the individual, even though parents are altruistic and care dearly about their children's welfare. We find supporting evidence for this prediction using a unique sample of urban couples in China in the early 1990s.
Organizing The Global Value Chain, Pol Antras, Davin Chor
Organizing The Global Value Chain, Pol Antras, Davin Chor
Research Collection School Of Economics
We develop a property-rights model of the firm in which production entails a continuum of uniquely sequenced stages. In each stage, a final-good producer contracts with a distinct supplier for the procurement of a customized stage-specific component. Our model yields a sharp characterization for the optimal allocation of ownership rights along the value chain. We show that the incentive to integrate suppliers varies systematically with the relative position (upstream versus downstream) at which the supplier enters the production line. Furthermore, the nature of the relationship between integration and “downstreamness” depends crucially on the elasticity of demand faced by the final-good …
Isolated Capital Cities, Accountability And Corruption: Evidence From Us States, Filipe R. Campante, Quoc-Anh Do
Isolated Capital Cities, Accountability And Corruption: Evidence From Us States, Filipe R. Campante, Quoc-Anh Do
Research Collection School Of Economics
We show that isolated capital cities are robustly associated with greater levels of corruption across US states. In particular, this is the case when we use the variation induced by the exogenous location of a state’s centroid to instrument for the concentration of population around the capital city. We then show that different mechanisms for holding state politicians accountable are also affected by the spatial distribution of population: newspapers provide greater coverage of state politics when their audiences are more concentrated around the capital, and voter turnout in state elections is greater in places that are closer to the capital. …
Making Babies: Getting Into The Mood For Love, Singapore Management University
Making Babies: Getting Into The Mood For Love, Singapore Management University
Perspectives@SMU
The pursuit of a perfect partner by women can betraced back to thousands of years ago when the world was still a society of hunters and gatherers. Back then, men tended to provide the family with meat and protection while women stayed at home to plant crops and take care of junior.
Making Babies: Getting Into The Mood For Love, Knowledge@Smu
Making Babies: Getting Into The Mood For Love, Knowledge@Smu
Knowledge@SMU
Within a span of 50 years, Singapore had to worry about its fertility rate for two very different reasons. Its development years in the 1960s and 1970s saw a baby boom, with the country’s maternity hospital even earning a place in the Guinness Book of World Records for the largest number of birth in a single maternity facility— a record it held for ten years. However today, the country’s fertility rate has fallen below the replacement rate. SMU professor Norman Li provides a take on this phenomenon.
Conflict With Quitting Rights: A Mechanism Design Approach, Madhav S. Aney
Conflict With Quitting Rights: A Mechanism Design Approach, Madhav S. Aney
Research Collection School Of Economics
Why do agents engage in costly dispute resolution such as litigation and arbitration when costless settlement is available? I present a model with one sided asymmetric information where the payoff from litigation for both agents depends on the beliefs of the uninformed agent. Taking these payoffs as their outside options, agents negotiate over the allocation of an indivisible object that is in dispute and transfers. It is shown that it is impossible to implement an allocation that satisfies budget balance that guarantees the agents their payoff from conflict when agents can quit negotiations unilaterally at any stage.
Why Did Universities Precede Primary Schools? A Political Economy Model Of Educational Change, Fali Huang
Why Did Universities Precede Primary Schools? A Political Economy Model Of Educational Change, Fali Huang
Research Collection School Of Economics
Universities were first established in Europe around the twelfth century, although primary schools did not appear until the nineteenth. This paper accounts for this phenomenon using a political economy model of educational change on who are educated (the elite or the masses) and what is taught (general or specific/vocational education). A key assumption is that general education is more effective than specific education in enhancing one's skills in a broad range of tasks, including political rent-seeking. Its findings suggest that specific education for the masses is compatible with the elite rule, whereas mass general education is not, which refines the …
Semiparametric Gmm Estimation Of Spatial Autoregressive Models, Liangjun Su
Semiparametric Gmm Estimation Of Spatial Autoregressive Models, Liangjun Su
Research Collection School Of Economics
We propose semiparametric GMM estimation of semiparametric spatial autoregressive (SAR) models under weak moment conditions. In comparison with the quasi-maximum-likelihood-based semiparametric estimator of Su and Jin (2010), we allow for both heteroscedasticity and spatial dependence in the error terms. We derive the limiting distributions of our estimators for both the parametric and nonparametric components in the model and demonstrate the estimator of the parametric component has the usual -asymptotics. When the error term also follows an SAR process, we propose an estimator for the parameter in the SAR error process and derive the joint asymptotic distribution for both spatial parameters. …
Finding Dynamic Treatment Effects Under Anticipation: Spanking Effects On Behavior, Myoung-Jae Lee, Fali Huang
Finding Dynamic Treatment Effects Under Anticipation: Spanking Effects On Behavior, Myoung-Jae Lee, Fali Huang
Research Collection School Of Economics
The dynamic treatment effect literature considers multiple treatments administered over time, with some treatments affected by interim outcomes. But the literature overlooks the possibility of individuals acting in anticipation of future treatments. This lack of anticipation aspect may not matter in the drug–response relationships which motivated the literature. But human beings (or animals with some intelligence) do not just respond to current and past treatments, but also ‘reflect and anticipate’ future treatments. For example, a punishment or reward is likely to prompt forward looking. Even if no personal punishment or reward is involved, people may take action in anticipation of …
A Semiparametric Stochastic Volatility Model, Jun Yu
A Semiparametric Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
In this paper the correlation structure in the classical leverage stochastic volatility (SV) model is generalized based on a linear spline. In the new model the correlation between the return and volatility innovations is time varying and depends nonparametrically on the type of news arrived to the market. Theoretical properties of the proposed model are examined. The model estimation and comparison are conducted by Bayesian methods. The performance of the estimates are examined in simulations. The new model is fitted to daily and weekly US data and compared with the classical SV and GARCH models in terms of their in-sample …
Markowitz 2.0: Innovations For Asset Allocation, Singapore Management University
Markowitz 2.0: Innovations For Asset Allocation, Singapore Management University
Perspectives@SMU
The economic wreckage from the 2008 global financial crisis dealt a blow to the theoretical foundations of finance and economic. Many of these theories, such as Markowitz’s Modern Portfolio Theory (MPT), were considered received wisdom and taught in practically all business schools. But now they appeared inadequate to the task of handling the “fat-tails” and “black swans” of extreme market events. These crashes were also occurring far more often than predicted by these theories.
Is Specialization Desirable In Committee Decision Making?, Ruth Ben-Yashar, Winston T. H. Koh, Shmuel Nitzan
Is Specialization Desirable In Committee Decision Making?, Ruth Ben-Yashar, Winston T. H. Koh, Shmuel Nitzan
Research Collection School Of Economics
Committee decision making is examined in this study focusing on the role assigned to the committee members. In particular, we are concerned about the comparison between committee performance under specialization and non-specialization of the decision makers. Specialization (in the context of project or public policy selection) means that the decision of each committee member is based on a narrow area, which typically results in the acquirement and use of relatively high expertise in that area. When the committee members’ expertise is already determined, specialization only means that the decision of each committee member is based solely on his/her relatively high …
A Note On Separability And Intra-Household Resource Allocation In A Collective Household Model, Tomoki Fujii, Ryuichiro Ishikawa
A Note On Separability And Intra-Household Resource Allocation In A Collective Household Model, Tomoki Fujii, Ryuichiro Ishikawa
Research Collection School Of Economics
We consider a collective model of a household in which each member has a utility function satisfying the weak separability condition. We show that the separability at the individual level carries over to the household level and that the allocation of private goods in any Pareto-efficient allocation can be supported as a Pareto-efficient allocation of private sub-problem. We also provide the necessary and sufficient condition for the Pareto weight for the private sub-problem to move in the same direction as the household Pareto weight.
Why Was The Arab World Poised For Revolution? Schooling, Economic Opportunities, And The Arab Spring, Filipe R. Campante, Davin Chor
Why Was The Arab World Poised For Revolution? Schooling, Economic Opportunities, And The Arab Spring, Filipe R. Campante, Davin Chor
Research Collection School Of Economics
What underlying long-term conditions set the stage for the Arab Spring? In recent decades, the Arab region has been characterized by an expansion in schooling coupled with weak labor market conditions. This pattern is especially pronounced in those countries that saw significant upheaval during the first year of the Arab Spring uprisings. We argue that the lack of adequate economic opportunities for an increasingly educated populace can help us understand episodes of regime instability such as the Arab Spring.
Risk And The Technology Content Of Fdi: A Dynamic Model, Pao Li Chang, Chia-Hui Lu
Risk And The Technology Content Of Fdi: A Dynamic Model, Pao Li Chang, Chia-Hui Lu
Research Collection School Of Economics
This paper incorporates risk into the FDI decisions of firms. The risk of FDI failure increases with the gap between the South's technology frontier and the technology complexity of a firm's product. This leads to a double-crossing sorting pattern of FDI—firms of intermediate technology levels are more likely than others to undertake FDI. It is with the attempt to relax the upper bound of the technology content of FDI, we argue, that many FDI policies are created. The theory's predictions are consistent with the empirical patterns of FDI in China by US and Taiwanese manufacturing firms.
A Comparison Of Cardinal Tournaments And Piece Rate Contracts With Liquidity Constrained Agents, Kosmas Marinakis, Theofanis Tsoulouhas
A Comparison Of Cardinal Tournaments And Piece Rate Contracts With Liquidity Constrained Agents, Kosmas Marinakis, Theofanis Tsoulouhas
Research Collection School Of Economics
Acelebrated result in the theory of tournaments is that relative performance evaluation (tournaments) is a superior compensation method to absolute performance evaluation (piece rate contracts) when the agents are risk-averse, the principal is risk-neutral or less risk-averse than the agents and production is subject to common shocks that are large relative to the idiosyncratic shocks. This is because tournaments get closer to the first best by filtering common uncertainty. This paper shows that, surprisingly, tournaments are superior even when agents are liquidity constrained so that transfers to them cannot fall short of a predetermined level. The rationale is that, by …