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Articles 1981 - 2010 of 2456

Full-Text Articles in Economics

Advertising And Collusion In Retail Markets, Kyle Bagwell, Gea Myoung Lee Mar 2008

Advertising And Collusion In Retail Markets, Kyle Bagwell, Gea Myoung Lee

Research Collection School Of Economics

We consider non-price advertising by retail firms that are privately informed as to their respective production costs. We first analyze a static model. We construct an advertising equilibrium, in which informed consumers use an advertising search rule whereby they buy from the highest-advertising firm. Consumers are rational in using the advertising search rule, since the lowest-cost firm advertises the most and also selects the lowest price. Even though the advertising equilibrium facilitates productive efficiency, we establish conditions under which firms enjoy higher expected profit when advertising is banned. Consumer welfare falls in this case, however. We next analyze a dynamic …

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Target Saving In An Overlapping Generations Model, Brishti Guha, Ashok S. Guha Mar 2008

Target Saving In An Overlapping Generations Model, Brishti Guha, Ashok S. Guha

Research Collection School Of Economics

We examine a model in which the utility function has been engineered so that it is optimal for consumers to aim for a fixed target level of retirement resources. In this case, consumption displays excess sensitivity to current income as well as perfect old age insurance. In an overlapping generations model, this leads naturally to multiple and unstable equilibria. Under static expectations, it also leads to a well-defined dynamics, including possible historical traps, implosions involving ever-diminishing capital stock and ever-increasing interest rates, and the feasibility of optimal one-time interventions.

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Financial Frictions, Capital Reallocation, And Aggregate Fluctuations, Jürgen Von Hagen, Haiping Zhang Mar 2008

Financial Frictions, Capital Reallocation, And Aggregate Fluctuations, Jürgen Von Hagen, Haiping Zhang

Research Collection School Of Economics

We address an important business cycle fact, i.e., the amplified and hump-shaped responses of output to productivity shocks, in a dynamic general equilibrium model with financial frictions. Models with financial frictions in the current literature have either the amplification mechanism or the propagation mechanism. Our model shows that the dynamic interaction of borrowing constraints, endogenous capital accumulation, and capital reallocation among agents with different productivity constitutes a mechanism through which the effects of productivity shock on aggregate output are amplified and propagated, more in line with the empirical evidence than other related models in the literature.

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Testing Intergroup Concordance In Ranking Experiments With Two Groups Of Judges, Dawn J. Dekle, Leung, Denis H. Y., Min Zhu Mar 2008

Testing Intergroup Concordance In Ranking Experiments With Two Groups Of Judges, Dawn J. Dekle, Leung, Denis H. Y., Min Zhu

Research Collection School Of Economics

Across many areas of psychology, concordance is commonly used to measure the (intragroup) agreement in ranking a number of items by a group of judges. Sometimes, however, the judges come from multiple groups, and in those situations, the interest is to measure the concordance between groups, under the assumption that there is some within-group concordance. In this investigation, existing methods are compared under a variety of scenarios. Permutation theory is used to calculate the error rates and the power of the methods. Missing data situations are also studied. The results indicate that the performance of the methods depend on (a) …

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Optimal Collusion With Internal Contracting, Gea Myoung Lee Feb 2008

Optimal Collusion With Internal Contracting, Gea Myoung Lee

Research Collection School Of Economics

In this paper, we develop a model of collusion in which two firms play an infinitelyrepeated Bertrand game when each firm has a privately-informed agent. The colluding firms, fixing prices, allocate market shares based on the agent’s information as to cost types. We emphasize that the presence of privately-informed agents may provide firms with a strategic opportunity to exploit an interaction between internal contracting and market-sharing arrangement: the contracts with agents may be used to induce firms’ truthful communication in their collusion, and collusive market-share allocation may act to reduce the agents’ information rents.

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Mapping The Discipline Of The Olympic Games An Author-Cocitation Analysis, Peter Warning, Rosie Ching, Kristine Toohey Feb 2008

Mapping The Discipline Of The Olympic Games An Author-Cocitation Analysis, Peter Warning, Rosie Ching, Kristine Toohey

Research Collection School Of Economics

The authors conducted an author cocitation analysis on prominent authors writing about the Olympics during the 1990s. Author cocitation is an established bibliometric technique that can be used to measure the relative similarities of topics written about by the cited authors. This enables a visual representation of the “intellectual space” of the discipline, in this case the Olympics, to be created for the period under review. So core and peripheral research areas are identified, along with their major contributors. The representation appears as a two-dimensional cluster-enhanced map. Subject expertise was then applied to the results to place labels on the …

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Exchange Rate Changes And Trade Balance: An Empirical Study Of The Case Of Japan, Ziwei Shao Jan 2008

Exchange Rate Changes And Trade Balance: An Empirical Study Of The Case Of Japan, Ziwei Shao

Dissertations and Theses Collection (Open Access)

This paper attempts to identify the major economic factors that influence the bilateral trade balance between Japan and the US. Differing from conventional elasticities approach, one more variable--the net foreign assets--is added in the Vector Autoregression estimation using quarterly data from 1980: I to 2006: IV. The Johansen and Juselius result indicates three long-run relationships among five macro variables: trade balance, domestic income, foreign income, net foreign assets and real exchange rate. Short run adjustment parameters are identified as coefficients of the error correction terms. The variance in trade balance due to variations in the two macro variables--the exchange rate …

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Are De Jure Labor Laws Absolute? Formal Manufacturing In India, Gurmeet Singh Ghumman Jan 2008

Are De Jure Labor Laws Absolute? Formal Manufacturing In India, Gurmeet Singh Ghumman

Dissertations and Theses Collection (Open Access)

We investigate the view that de facto labor market conditions are important in evaluating the effects of labor institutions in developing countries where enactment does not necessarily imply enforcement. Using India as a case study we empirically investigate the effects of labor markets on the organized manufacturing sector from 1970 to 1997. Recognizing that the state can intervene in the outcome of labor disputes we construct a measure to proxy the degree of the state legislature's prejudice towards pro-worker causes. We argue that leftist and communist political parties can interfere in the resolution of disputes in favor of workers through …

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Offshore Financial Havens: Their Role In International Capital Flows, Zhixiang Sun Jan 2008

Offshore Financial Havens: Their Role In International Capital Flows, Zhixiang Sun

Dissertations and Theses Collection (Open Access)

The purpose of this paper is to study the role of offshore financial havens in international capital flows. We examine the effects of being a tax haven, a money laundering centre or an offshore financial centre (OFC), which often overlap. We want to see whether these places are used as entrepots (which means temporary storage for funds) or as investment places or both. We mainly use two complementary data sets: bilateral cross-border asset holding and financial intermediation. One is a stock variable and the other one is a flow variable. We apply the gravity model to bilateral cross-border asset holding …

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Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang Jan 2008

Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang

Dissertations and Theses Collection (Open Access)

Following Phillips, Wu and Yu (2007), this paper extends their bubble detecting work to several Greater China stock markets. Two alternative bubble detecting methods, the forward recursive ADF tests raised by Phillips et al. (2007) and the modified version, forward rolling ADF tests, are implemented and compared. Monte Carlo simulations are performed to determine the critical values of the ADF statistic under different sample size. Empirical results demonstrate that only rolling ADF tests are successful in detecting rational bubbles by overcoming the problem of periodically collapsing bubble. As we have expected, bubbles in China Mainland stock market are detected. Out …

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Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew Jan 2008

Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew

Dissertations and Theses Collection (Open Access)

This paper conducts a comprehensive analysis to understand how stock market ratios affect net income inequality. The study of how finance impacts income distribution is relevant as the income distribution of a nation influences savings decisions, resource allocation, innovation incentives and public policy and hence impacts the process of economic development. Using a cross-sectional data set of 68 countries and panel data set of 61 countries from 1975 to 2005, I apply cross-sectional OLS and panel regressions to look at how stock market size, liquidity, and activity impact income inequality. While stock market size is found to strongly impact income …

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Flow-Performance Relationship And Tournament Behavior In The Mutual Fund Industry, Baoling Ma Jan 2008

Flow-Performance Relationship And Tournament Behavior In The Mutual Fund Industry, Baoling Ma

Dissertations and Theses Collection (Open Access)

In this paper, we interpret the flow-performance relationship as an incentive scheme implicitly given to mutual fund managers by mutual fund investors. We show that the flow-performance relationship varies not only with economic activity but also across fund attributes. We provide evidence that the degree of convexity of the flow-performance relationship has a positive effect on the magnitude of tournament behavior. Different from the conventional tournament hypothesis, we show that although the convexity of the flow-performance relationship does produce implicit incentives for fund managers to modify risk-taking behavior as a function of their prior performance, whether or not the mid-year …

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Birth Spacing Effect On Children's Attainments: Indentification Using Instrument Variables, Jing Xie Jan 2008

Birth Spacing Effect On Children's Attainments: Indentification Using Instrument Variables, Jing Xie

Dissertations and Theses Collection (Open Access)

In this study, I address the relationship between an often overlooked dimension of family structure--the spacing between children's births--and the degree of children's attainments such as Mathematics, Reading Cognition and Reading Comprehension. Comparing to the results of OLS estimation, 2SLS Estimation using Twin and Catholic as Instrument Variables shows less significant effects on children's attainments. Hausman Test shows that OLS estimators are not consistent with 2SLS estimators, which means there is endogenous problem in OLS estimation. As the result in 2SLS shows the different spacing effects in different spacing groups, it is possible to use nonlinear estimation (quadratic form of …

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Test For Infinite Variance In Stock Returns, Xian Ning Yan Jan 2008

Test For Infinite Variance In Stock Returns, Xian Ning Yan

Dissertations and Theses Collection (Open Access)

The existence of second order moment or the finite variance is a commonly used assumption in financial time series analysis. We examine the validation of this condition for main stock index return series by applying the extreme value theory. We compare the performances of the adaptive Hill's estimator and the Smith's estimator for the tail index using Monte Carlo simulations for both i.i.d data and dependent data. The simulation results show that the Hill's estimator with adaptive data-based truncation number performs better in both cases. It has not only smaller bias but also smaller MSE when the true tail index …

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Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang Jan 2008

Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang

Research Collection Lee Kong Chian School Of Business

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false positives (nonzero alphas) at too high a rate with either daily or monthly data. In contrast, the Kalman filter model produces them at approximately the correct rate with monthly data; (ii) In monthly data, though the OLS models fail to detect any timing among fund managers, the Kalman filter does; (iii) The alpha and …

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Tobacco Control And The Role Of Litigation: A Survey Of Issues In Law, Policy, And Economics, Basil C. Bitas, Pedro B. Barros Jan 2008

Tobacco Control And The Role Of Litigation: A Survey Of Issues In Law, Policy, And Economics, Basil C. Bitas, Pedro B. Barros

Research Collection Yong Pung How School Of Law

No abstract provided.

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Optimal Bandwidth Selection In Heteroskedasticity-Autocorrelation Robust Testing, Yixiao Sun, Peter C. B. Phillips, Sainan Jin Jan 2008

Optimal Bandwidth Selection In Heteroskedasticity-Autocorrelation Robust Testing, Yixiao Sun, Peter C. B. Phillips, Sainan Jin

Research Collection School Of Economics

This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard errors with truncation lag M = bT for some constant b ∈ (0, 1] and sample size T. It is shown that the nonstandard fixed-b limit distributions of such nonparametrically studentized tests provide more accurate approximations to the finite sample distributions than the standard small-b limit distribution. We further show that, for typical economic time series, the optimal bandwidth that minimizes a weighted average of type I and type II errors is larger by an order of magnitude than the …

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Refined Inference On Long Memory In Realized Volatility, Peter C. B. Phillips, Offer Lieberman Jan 2008

Refined Inference On Long Memory In Realized Volatility, Peter C. B. Phillips, Offer Lieberman

Research Collection School Of Economics

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberman and Phillips (2004, 2005) to refine statistical inference about by higher order theory. Standard asymptotic theory has an error rate for error rejection probabilities, and the theory used here refines the approximation to an error rate of. The new formula is independent …

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Two-Sample Estimation Of Poverty Rates For Disabled People: An Application To Tanzania, Tomoki Fujii Jan 2008

Two-Sample Estimation Of Poverty Rates For Disabled People: An Application To Tanzania, Tomoki Fujii

Research Collection School Of Economics

Estimating poverty measures for disabled people in developing countries is di cult, partly because relevant data are not available. We develop two methods to estimate poverty by the disability status of the household head. We extend the small-area estimation proposed by Elbers, Lanjouw and Lanjouw (2002, 2003) so that we can run a regression on head's disability status even when such information is unavailable in the survey. We do so by aggregation and by moment adjusted two sample instrumental variable estimation. Our results from Tanzania show that both methods work well, and that disability is indeed associated with poverty.

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Discussion Of Balistreri, Hillberry, And Rutherford (2007): Structural Estimation And Solution Of International Trade Models With Heterogeneous Firms, Davin Chor Jan 2008

Discussion Of Balistreri, Hillberry, And Rutherford (2007): Structural Estimation And Solution Of International Trade Models With Heterogeneous Firms, Davin Chor

Research Collection School Of Economics

No abstract provided.

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Education And Trade, Pao Li Chang, Fali Huang Jan 2008

Education And Trade, Pao Li Chang, Fali Huang

Research Collection School Of Economics

This paper examines the inherent link between a countryís education system and its comparative advantage in trade. It suggests that di§erences in education systems across countries are probably a stable equilibrium result that is compatible with and reinforced by trade patterns. In equilibrium, two distinct types of countries emerge, one that exports creativity-intensive products and has an education system encouraging diversity (as illustrated by the US), and the other one that exports high-quality manufactured products and has an education system promoting homogeneity in student quality (as illustrated by Japan). Our Öndings present a novel explanation for the coexistence of low …

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Rational And Boundedly Rational Behavior In Sender-Receiver Games, Massimiliano Landi, Domenico Colucci Jan 2008

Rational And Boundedly Rational Behavior In Sender-Receiver Games, Massimiliano Landi, Domenico Colucci

Research Collection School Of Economics

The authors investigate the strategic rationale behind the message sent by Osama bin Laden on the eve of the 2004 U.S. Presidential elections. They model this situation as a signaling game in which a population of receivers takes a binary choice, the outcome is decided by majority rule, sender and receivers have conflicting interests, and there is uncertainty about both players’ degree of rationality. They characterize the structure of the sequential equilibria of the game as a function of the parameters governing the uncertainty and find that in all pure strategy equilibria, the outcome most preferred by the rational sender …

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Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C. B. Phillips Jan 2008

Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C. B. Phillips

Research Collection School Of Economics

Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. Simulations show that efficiency gains are achieved by the adaptive procedure.

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Target Saving In An Overlapping Generations Model, Ashok S. Guha, Brishti Guha Jan 2008

Target Saving In An Overlapping Generations Model, Ashok S. Guha, Brishti Guha

Research Collection School Of Economics

We examine a model in which the utility function has been engineered so that it is optimal for consumers to aim for a fixed target level of retirement resources. In this case consumption displays excess sensitivity to current income as well as perfect old age insurance. In an overlapping generations model, this leads naturally to multiple and unstable equilibria. Under static expectations, it also leads to a well-defined dynamics, including possible historical traps, implosions involving ever-diminishing capital stock and ever-increasing interest rates, and the feasibility of optimal one-time interventions.

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Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow Jan 2008

Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow

Research Collection School Of Economics

No abstract provided.

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Unit Root Model Selection, Peter C. B. Phillips Jan 2008

Unit Root Model Selection, Peter C. B. Phillips

Research Collection School Of Economics

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient Cn?? and Cn/n?0 as n??. Strong consistency holds when Cn/(log logn)3?? under conventional assumptions on initial conditions and under a slightly stronger condition when initial conditions are infinitely distant in the unit root model. The limit distribution of the AIC criterion is obtained.

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Nonstationary Discrete Choice: A Corrigendum And Addendum, Peter C. B. Phillips, Sainan Jin, Ling Hu Dec 2007

Nonstationary Discrete Choice: A Corrigendum And Addendum, Peter C. B. Phillips, Sainan Jin, Ling Hu

Research Collection School Of Economics

We correct the limit theory presented in an earlier paper by Hu and Phillips [2004a. Nonstationary discrete choice. Journal of Econometrics 120, 103-138] for nonstationary time series discrete choice models with multiple choices and thresholds. The new limit theory shows that, in contrast to the binary choice model with nonstationary regressors and a zero threshold where there are dual rates of convergence (n1/4 and n3/4), all parameters including the thresholds converge at the rate n3/4. The presence of nonzero thresholds therefore materially affects rates of convergence. Dual rates of convergence reappear when stationary variables are present in the system. Some …

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Incidental Trends And The Power Of Panel Unit Root Tests, Hyungsik Roger Moon, Benoit Perrron, Peter C. B. Phillips Dec 2007

Incidental Trends And The Power Of Panel Unit Root Tests, Hyungsik Roger Moon, Benoit Perrron, Peter C. B. Phillips

Research Collection School Of Economics

The asymptotic local power of various panel unit root tests is investigated. The (Gaussian) power envelope is obtained under homogeneous and heterogeneous alternatives. The envelope is compared with the asymptotic power functions for the pooled t-test, the Ploberger and Phillips [2002. Optimal testing for unit roots in panel data. Mimeo] test, and a point optimal test in neighborhoods of unity that are of order n-1/4T-1 and n-1/2T-1, depending on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative hypothesis is homogeneous across individuals, it is shown that the point optimal test …

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Building Social Trust: A Human Capital Approach, Fali Huang Dec 2007

Building Social Trust: A Human Capital Approach, Fali Huang

Research Collection School Of Economics

Much evidence suggests individuals differ in their predisposition to cooperate, which is essentially a component of human capital. This paper examines the role of individual cooperative tendencies and their interactions with institutions in generating social trust; it also endogenizes cooperative tendencies using a human-capital investment model. Multiple equilibria and inefficiencies exist due to positive externalities. An innovative finding is that, when institutions are more effective in punishing defecting behaviors, more people invest in cooperative tendencies and hence the endogenous social trust is higher, though the equilibrium cooperative tendencies are lower. This paper provides a plausible explanation for many empirical and …

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Building Social Trust: A Human Capital Approach, Fali Huang Dec 2007

Building Social Trust: A Human Capital Approach, Fali Huang

Research Collection School Of Economics

Much evidence suggests individuals di¤er in their predisposition to cooperate, which is essentially a component of human capital. This paper examines the role of individual cooperative tendencies and their interactions with institutions in generating social trust; it also endogenizes cooperative tendencies using a human capital investment model. Multiple equilibria and ine¢ ciencies exist due to positive externalities. An innovative …nding is that, when institutions are more e¤ective in punishing defecting behaviors, more people invest in cooperative tendencies and hence the endogenous social trust is higher, though the equilibrium cooperative tendencies are lower. This paper provides a plausible explanation for many …

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