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Full-Text Articles in Economics

Affordable Homeownership Policy: Implications For Housing Markets, Sock Yong Phang Mar 2010

Affordable Homeownership Policy: Implications For Housing Markets, Sock Yong Phang

Research Collection School Of Economics

Affordable homeownership is a policy that is often accorded a great deal of policy attention by governments of many countries. This paper aims to examine the market implications of setting a housing price to income ratio target for a market segment by the government. The policy requires active intervention by the government with regard to the targeted sector. The paper uses a simple model of the housing market with a homeownership affordability target to derive the market implications of such targets. In the presence of uncertainty and resource constraints, the objective of homeownership affordability is achieved for the targeted group …

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International Capital Flows And World Output Gains, Jurgen Von Hagen, Haiping Zhang Mar 2010

International Capital Flows And World Output Gains, Jurgen Von Hagen, Haiping Zhang

Research Collection School Of Economics

We develop a two-country overlapping-generations model with domestic financial frictions and show that cross-country differences in financial development explain three recent patterns of international capital flows. In our model, domestic financial frictions distort the interest rates and production efficiency in the less financially developed country. Capital flows not only lead to cross-country resource reallocation, but also trigger within-country resource reallocation among firms. From the efficiency perspective, full capital mobility raises the world output higher than under international financial autarky. If the mobility of either financial capital or foreign direct investment is restricted, the world output may be lower.

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Collaboration Between The Public And Private Sectors For Urban Development, Sock-Yong Phang Mar 2010

Collaboration Between The Public And Private Sectors For Urban Development, Sock-Yong Phang

Research Collection School Of Economics

In market economies, the government acts in many ways. In traditional public finance literature, the government taxes and provides public and merit goods. In addition, it regulates the behaviour of firms and individuals. In the context of market failures such as natural monopoly, high risk situations or long life projects, the government may choose to act as producer. In the past two decades, however, public sector collaboration with the private sector to achieve socio-economic objectives has become widely utilised as a method for the provision of the myriad of services that has come to be expected of governments.

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Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu Mar 2010

Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu

Research Collection School Of Economics

This paper overviews some recent advances on simulation-based methods of estimating time series models and asset pricing models that are widely used in finance. The simulation based methods have proven to be particularly useful when the likelihood function and moments do not have tractable forms and hence the maximum likelihood method (MLE) and the generalized method of moments (GMM) are difficult to use. They can also be useful for improving the finite sample performance of the traditional methods when financial time series are highly persistent and when the quantity of interest is a highly nonlinear function of system parameters. The …

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Monetary Policy Cooperation To Support Asian Economic Integration, Hwee Kwan Chow, Peter Nicholas Kriz, Roberto S. Mariano, Augustine H. H. Tan Mar 2010

Monetary Policy Cooperation To Support Asian Economic Integration, Hwee Kwan Chow, Peter Nicholas Kriz, Roberto S. Mariano, Augustine H. H. Tan

Research Collection School Of Economics

This paper considers the form of monetary policy coordination and regional exchange rate arrangement that would best support economic and financial integration in East Asia. In view of the region's economic diversity, we propose a graduated program of informal policy cooperation from weak forms of cooperation to more intensive modes of cooperation such as the adoption of common monetary policy objectives. An array of informal monetary arrangements rooted to the degree of institutional development can improve the effectiveness of both sovereign and regional institutions, and promote integration in East Asia. Drawing upon the European experience with the Exchange Rate Mechanism …

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Semiparametric Estimator Of Time Series Conditional Variance, Santosh Mishra, Liangjun Su, Aman Ullah Feb 2010

Semiparametric Estimator Of Time Series Conditional Variance, Santosh Mishra, Liangjun Su, Aman Ullah

Research Collection School Of Economics

We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, variance, and normality of the combined estimator under general conditions. We show that under correct parametric specification, our estimator can do as well as the parametric estimator in terms of convergence rates; whereas under parametric misspecification our estimator can still be consistent. It also improves over the nonparametric estimator of Ziegelmann (2002) in terms of bias reduction. The superiority of our estimator is verfied by Monte Carlo simulations and empirical data analysis.

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Does Television Viewing Affect Children's Behaviour?, Fali Huang, Myoung-Jae Lee Feb 2010

Does Television Viewing Affect Children's Behaviour?, Fali Huang, Myoung-Jae Lee

Research Collection School Of Economics

Using three-period panel data drawn from the National Longitudinal Survey of Youth 1979, we investigate whether television (TV) viewing at ages 6–7 and 8–9 years affects children's social and behavioural development at ages 8–9 years. Dynamic panel data models are estimated to handle the unobserved child-specific factor, endogeneity of TV viewing, and the dynamic nature of the causal relation. Special emphasis is placed on this last aspect, focusing on how early TV viewing affects interim child behavioural problems and in turn affects future TV viewing. Overall, we find that TV viewing during ages 6–7 and 8–9 years increases child behavioural …

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The Optimal Degree Of Reciprocity In Tariff Reduction, Pao Li Chang Feb 2010

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.

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Risk, Learning, And The Technology Content Of Fdi: A Dynamic Model, Pao Li Chang, Chia-Hui Lu Feb 2010

Risk, Learning, And The Technology Content Of Fdi: A Dynamic Model, Pao Li Chang, Chia-Hui Lu

Research Collection School Of Economics

This paper builds a dynamic model of catching up to examine the policy stance of developing countries in attracting inward FDI. We show that the observably evident risk of FDI failure sets a minimum threshold on the South's technology capacity and furthermore creates a limit on the technology content of inward FDI. We provide economic foundations for the determinants of the FDI risk and formalize how the risk factor evolves over time as the South moves up its technology ladder. The model offers an insightful and tractable framework for empirical studies with a dynamic content, and reconciles many relevant empirical …

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Innovation And Patentability Requirement In A Globalized World, Davin Chor, Edwin L. C. Lai Feb 2010

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 …

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Can Market Failure Cause Political Failure, Madhav S. Aney, Maitreesh Ghatak, Massimo Morelli Feb 2010

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 …

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Firm And Industry Characteristics Of Exchange Rate Exposure And Optimal Hedging Strategy: Evidence On China, Fen Yan Jan 2010

Firm And Industry Characteristics Of Exchange Rate Exposure And Optimal Hedging Strategy: Evidence On China, Fen Yan

Dissertations and Theses Collection (Open Access)

Understanding the effect of foreign exchange rate movements on the value of firm is a critical element for the purpose of risk management. In this thesis, firm and industry specific exposures to exchange rate movements in the Chinese market before and after the exchange rate regime reform in 2005 are examined. We observe that at the one-week return horizon, among all the firms listed in the China Exchange Market before the year 2001, less than 10% of the firms exhibit significant "residual exposure" to bilateral exchange rate movements against China’s major trading partners before the reform. In contrast, the proportion …

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Monetary Policies In A Small Open Economy Model With Labor Mobility And Remittances, Diana Rose Del Rosario Jan 2010

Monetary Policies In A Small Open Economy Model With Labor Mobility And Remittances, Diana Rose Del Rosario

Dissertations and Theses Collection (Open Access)

This paper presents a model of a small open economy that allows for international labor mobility, thereby endogenizing migrant transfers or remittances. The resulting model is calibrated to the Philippine economy, of which labor migration and remittance inflows are key forces that drive the economy’s growth. The model’s impulse response functions illustrate that the presence of these features generates a different set of dynamics from the standard small open economy model (without labor mobility). Depending on the source of the shock, labor mobility and remittances can either exacerbate or cushion the impact of the shock on the economy. A temporary …

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The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng Jan 2010

The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng

Dissertations and Theses Collection (Open Access)

In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes …

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Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti Jan 2010

Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti

Dissertations and Theses Collection (Open Access)

This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component, and by making labor demand sensitive to movements in these rates via a working capital constraint imposed on the representative firm. Moreover, it proposes two approaches to determining the stochastic processes for these interest rates: the independent country risk case and the induced country risk case. The induced country risk model calibrated to Argentine data …

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Managing Female Foreign Domestic Workers In Singapore: Economic Pragmatism, Coercive Legal Regulation, Or Human Rights, Eugene K. B. Tan Jan 2010

Managing Female Foreign Domestic Workers In Singapore: Economic Pragmatism, Coercive Legal Regulation, Or Human Rights, Eugene K. B. Tan

Research Collection Yong Pung How School Of Law

Singapore's immigration discourse is deeply influenced by its need to “right-size” its population. As a society that has and remains in need of immigration, contemporary immigration and globalization have rigorously challenged the conventional thinking and understanding of citizenship, as well as notions of who belongs and who does not. Nevertheless, international marriages and pervasive in-and out-migration for purposes of employment, study, and family, conspire to make more pronounced the decoupling of citizenship and residence in Singapore. This transnational dimension sits uncomfortably with the policy makers' desire for, and the imperatives of, state sovereignty, control, and jurisdiction.Although one quarter of people …

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The Beginning Of The End? Agricultural Modernization And Dissolution Of The Peasantry In Contemporary China, Qian Forrest Zhang, John A. Donaldson Jan 2010

The Beginning Of The End? Agricultural Modernization And Dissolution Of The Peasantry In Contemporary China, Qian Forrest Zhang, John A. Donaldson

Research Collection School of Social Sciences

No abstract provided.

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Functional Coefficient Estimation With Both Categorical And Continuous Data, Liangjun Su, Ye Chen, Aman Ullah Jan 2010

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 …

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Risking Returns: Moving From Public To Private Equity, Aurobindo Ghosh Jan 2010

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 …

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The National Innovation System Of Singapore, Winston T. H. Koh, Phillip Phan Jan 2010

The National Innovation System Of Singapore, Winston T. H. Koh, Phillip Phan

Research Collection School Of Economics

No abstract provided.

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Obedience, Schooling, And Political Participation, Davin Chor, Filipe R. Campante Jan 2010

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 …

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Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su Jan 2010

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 …

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Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy, Tomoki Fujii, Larry Karp Jan 2010

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.

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Managing Capital Flows: The Case Of Singapore, Hwee Kwan Chow Jan 2010

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 …

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Enhancing Income Opportunities, Rashiel Verlarde, Tomoki Fujii, Ulrich Lächler Jan 2010

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, …

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Testing Linearity In Cointegrating Relations With An Application To Purchasing Power Parity, Seong Hyun Hong, Peter C. B. Phillips Jan 2010

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 …

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Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach, Yiu Kuen Tse, Tao Yang Jan 2010

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 …

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Simulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug Jan 2010

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.

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Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model, A. Eriksson, D. Preve, Jun Yu Jan 2010

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 …

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Empirical Likelihood In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung Dec 2009

Empirical Likelihood In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung

Research Collection School Of Economics

Missing data is a ubiquitous problem in medical and social sciences. It is well known that inferences based only on the complete data may not only lose efficiency, but may also lead to biased results if the data is not missing completely at random (MCAR). The inverse-probability weighting method proposed by Horvitz and Thompson (1952) is a popular alternative when the data is not MCAR. The Horvitz–Thompson method, however, is sensitive to the inverse weights and may suffer from loss of efficiency. In this paper, we propose a unified empirical likelihood approach to missing data problems and explore the use …

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