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Articles 2161 - 2190 of 2456

Full-Text Articles in Economics

Realized Variance And Market Microstructure Noise - Comment, Peter C. B. Phillips, Jun Yu Jan 2006

Realized Variance And Market Microstructure Noise - Comment, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

No abstract provided.

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Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse Jan 2006

Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse

Research Collection School Of Economics

Using the Box-Cox regression model with heteroscedasticity (BCHR), we re-examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata () using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR method. In particular, the BCHR model can answer the key questions addressed by the BCQR method, with the advantage that the estimated quantile functions are monotonic. Furthermore, estimation of the BCHR model is straightforward and the confidence intervals of the BCHR regression quantiles are easy to compute.

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Financial Liberalization In A Small Open Economy, Haiping Zhang, Jürgen Von Hagen Jan 2006

Financial Liberalization In A Small Open Economy, Haiping Zhang, Jürgen Von Hagen

Research Collection School Of Economics

We address three related questions concerning financial liberalization in a small open economy. Does financial liberalization and the resulting capital inflow improve production efficiency in the domestic economy? Who benefits from financial liberalization in the long run and in the short run? Should financial liberalization be implemented gradually or hastily? Our main results are as follows. First, whether financial deregulation in one sector can improve production efficiency may depend on financial regulation in other sectors. Second, financial liberalization may have opposite welfare implications to domestic agents with different productivity in the long run. Third, although some domestic agents lose in …

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Semi-Parametric Inference In A Bivariate (Multivariate) Mixture Model, Denis H. Y. Leung, Jing Qin Jan 2006

Semi-Parametric Inference In A Bivariate (Multivariate) Mixture Model, Denis H. Y. Leung, Jing Qin

Research Collection School Of Economics

We consider estimation in a bivariate mixture model in which the component distributions can be decomposed into identical distributions. Previous approaches to estimation involve parametrizing the distributions. In this paper, we use a semi-parametric approach. The method is based on the exponential tilt model of Anderson (1979), where the log ratio of probability (density) functions from the bivariate components is linear in the observations. The proposed model does not require training samples, i.e., data with confirmed component membership. We show that in bivariate mixture models, parameters are identifiable. This is in contrast to previous works, where parameters are identifiable if …

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An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse Jan 2006

An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse

Research Collection School Of Economics

Research in the literature shows that initial public offerings (IPOs) of common stocks are systematically priced at a discount to their subsequent initial trading price. The large underpricing magnitude in the Chinese IPO market has attracted much attention. We consider three hypotheses that may explain the IPO underpricing in China. These are the winner's curse hypothesis, the ex ante uncertainty hypothesis and the signaling hypothesis. Among these hypotheses, the winner's curse hypothesis has not been tested in the Chinese market. Using IPO data for online fixed-price offerings from November 1995 to December 1998, our results show that the winner's curse …

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Coalition Formation Theories Revisited: An Empirical Investigation Of Aumann's Hypothesis, Vincent Chua, Dan S. Felsenthal Jan 2006

Coalition Formation Theories Revisited: An Empirical Investigation Of Aumann's Hypothesis, Vincent Chua, Dan S. Felsenthal

Research Collection School Of Economics

In one of the earliest attempts to examine the effect of a priori voting power on actual political phenomena, Riker (1959) looked at changes in party affiliation in the French National Assembly in 1953–54, and used these data to test the hypothesis that deputies who switched parties were seeking thereby to increase their a priori voting power. His findings were negative, or at best inconclusive.

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Commune-Level Estimation Of Poverty Measure And Its Application In Cambodia, Tomoki Fujii Jan 2006

Commune-Level Estimation Of Poverty Measure And Its Application In Cambodia, Tomoki Fujii

Research Collection School Of Economics

Cambodia is still suffering from the legacy of civil conflict after more than a decade. With over one-third of the population living below the poverty line, poverty remains one of the most serious problems in Cambodia. A number of governmental bodies, local and international nongovernmental organizations (NGOs), and international organizations operating in Cambodia have made eradicating poverty a priority and have established many social programmes to this end. In designing such programmes, the efficient allocation of resources is essential for making poverty alleviation more cost-effective. Targeting is often helpful for this purpose because one can avoid wasting resources on the …

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Measuring Global Poverty Right: Mission Impossible?, M. G. Quibria Jan 2006

Measuring Global Poverty Right: Mission Impossible?, M. G. Quibria

Research Collection School Of Economics

The international community is committed to millennium development goals which postulate a vision of global development that makes eliminating poverty and sustaining development the overriding objective of global development efforts. In the hierarchy of the MDGs, the first and foremost goal is to reduce by half, between 1990–2015, the proportion of people whose income is less than a dollar a day (a widely used yardstick to measure extreme poverty). However, estimating such poverty across developing countries and globally is by no means a simple exercise nor has it yielded unambiguous results. This article provides a brief summary of the state …

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L S Penrose's Limit Theorem: Tests By Simulation, Pao Li Chang, Vincent Chua, Moshe Machover Jan 2006

L S Penrose's Limit Theorem: Tests By Simulation, Pao Li Chang, Vincent Chua, Moshe Machover

Research Collection School Of Economics

L S Penrose's Limit Theorem-which is implicit in Penrose (1952, p. 72) [Penrose, 1952. On the Objective Study of Crowd Behavior. H. K. Lewis and Co, London, p. 72] and for which he gave no rigorous proof-says that, in simple weighted voting games, if the number of voters increases indefinitely and the relative quota is pegged, then-under certain conditions-the ratio between the voting powers of any two voters converges to the ratio between their weights. Lindner and Machover (2004) [Lindner I., Machover M. 2004. L.S. Penrose's limit theorem: proof of some special cases. Mathematical Social Sciences 47, 37-49] prove some …

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Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting Jan 2006

Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting

Research Collection School Of Economics

We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.

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Does Governance Matter? Yes, No Or Maybe Some Evidence From Developing Asia, M. G. Quibria Jan 2006

Does Governance Matter? Yes, No Or Maybe Some Evidence From Developing Asia, M. G. Quibria

Research Collection School Of Economics

This paper seeks to explore the relationship between economic growth and governance performance in Asian developing economies. This exploration yields some interesting conclusions. First, notwithstanding its tremendous economic achievements, the state of governance in Asia is not stellar by international comparison. Indeed, a majority of these countries seem to suffer from a governance deficit. Second, contrary to our expectation, data do not suggest any strong positive link between governance and growth: paradoxically, countries that exhibit surpluses in governance on average grew much slower than those with deficits. The paper ends with some conjecture about this apparent paradox.

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A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang Jan 2006

A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang

Research Collection School Of Economics

This paper proposes a class of nonlinear stochastic volatility models based on the Box-Cox transformation which offers an alternative to the one introduced in Andersen (1994). The proposed class encompasses many parametric stochastic volatility models that have appeared in the literature, including the well known lognormal stochastic volatility model, and has an advantage in the ease with which different specifications on stochastic volatility can be tested. In addition, the functional form of transformation which induces marginal normality of volatility is obtained as a byproduct of this general way of modeling stochastic volatility. The efficient method of moments approach is used …

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A Survey On Physical Delivery Versus Cash Settlement In Futures Contracts, Donald Lien, Yiu Kuen Tse Jan 2006

A Survey On Physical Delivery Versus Cash Settlement In Futures Contracts, Donald Lien, Yiu Kuen Tse

Research Collection School Of Economics

A futures contract may adopt physical delivery or cash settlement to liquidate open positions after the maturity day. While traditionally physical delivery specification is favored, exchanges have recently turned to examine cash settlement possibilities. This paper summarizes current literature on settlement specifications with emphases on market manipulation, cash index construction, and hedging effectiveness comparisons.

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Hayek And Liberalism, Chandran Kukathas Jan 2006

Hayek And Liberalism, Chandran Kukathas

Research Collection School of Social Sciences

F. A. Hayek occupies a peculiar place in the history of twentiethcentury liberalism. His influence has, in many respects, been enormous. The Road to Serfdom, his first political work, not onlyattracted popular attention in the west but also circulated widely(in samizdat form) in the intellectual underground of Eastern Europeduring the years between the end of the war and the revolutions of1989. His critique of central planning has been thoroughly vindicated, if not by the demise of communist economic systems, thenat least by the recognition by socialists of many stripes of theimportance of market processes.1 Books and articles on his thoughtcontinue …

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China's Changing Economic Structures And Its Implications For Regional Patterns Of Trade Production And Integration, Kim Song Tan, Hoe Ee Khor Nov 2005

China's Changing Economic Structures And Its Implications For Regional Patterns Of Trade Production And Integration, Kim Song Tan, Hoe Ee Khor

Research Collection School Of Economics

There is tremendous momentum for economic and financial integration in East Asia today. Partly inspired by the formation of the European Union and partly as a response to the 1997/98 Asia financial crisis, many East Asian countries are showing greater commitment to regional economic cooperation. A number of bilateral free trade agreements (FTAs) have either been concluded or are being negotiated.1 At a less formal level, the ASEAN+3 grouping has brought the whole region together in regular consultations over trade, investment, as well as monetary and exchange rate policy matters.

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The State, The Market, Economic Growth And Poverty In China, John A. Donaldson Oct 2005

The State, The Market, Economic Growth And Poverty In China, John A. Donaldson

Research Collection School of Social Sciences

The People’s Republic of China is often cited as an unprecedented success story as far as rural poverty is concerned. Despite recent reports of sometimes violent protests in rural areas over illicit land seizures and pollution, since implementing reforms in 1978, China has seen rural poverty rates fall from xxx to yyy, as economic growth increased zzz on average each year, according to World Bank estimates. Some have ascribed liberal policy prescriptions based on open markets and pro-market government policies as are largely responsible, even as they forwent expensive, large-scale mass welfare programs. Starting with their initial round of fundamental …

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Institutions, Wages, And Inequality: The Case Of Europe And Its Periphery (1500-1899), Davin Chor Oct 2005

Institutions, Wages, And Inequality: The Case Of Europe And Its Periphery (1500-1899), Davin Chor

Research Collection School Of Economics

This paper explores the long-run relationship between institutions and wage outcomes in Europe and its periphery. I find that cities that exercised stronger institutional protection of private property experienced: (i) higher levels of both skilled and unskilled real wages, as well as (ii) lower levels of inequality as measured by the skilled-unskilled wage ratio. While the first result corroborates existing work on the positive growth effects of better institutions, the second finding is more novel to the literature. Some explanations are proposed for how stronger institutions can cause an increase in the relative supply of skilled workers, thus lowering wage …

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The Optimal Design Of Fallible Organizations: Invariance Of Optimal Decision Criterion And Uniqueness Of Hierarchy And Polyarchy Structures, Winston T. H. Koh Oct 2005

The Optimal Design Of Fallible Organizations: Invariance Of Optimal Decision Criterion And Uniqueness Of Hierarchy And Polyarchy Structures, Winston T. H. Koh

Research Collection School Of Economics

We present a general framework to study the project selection problem in an organization of fallible decision-makers. We show that when the organizational size and the majority rule for project acceptance are optimized simultaneously, the optimal quality of decision-making, as determined by the decision criterion, is invariant, and depends only on the expertise of decision-makers. This result clarifies that the circumstances under which the decision-making quality varies with the organizational structure are situations where the organizational size or majority rule is restricted from reaching the optimal level. Moreover, in contrast to earlier findings in the literature that the hierarchy and …

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A New Approach To Robust Inference In Cointegration, Sainan Jin, Peter Phillips, Yixiao Sun Oct 2005

A New Approach To Robust Inference In Cointegration, Sainan Jin, Peter Phillips, Yixiao Sun

Research Collection School Of Economics

A new approach to robust testing in cointegrated systems is proposed using non-parametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference.

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Cross-Validation In Nonparametric Regression With Outliers, Denis H. Y. Leung Oct 2005

Cross-Validation In Nonparametric Regression With Outliers, Denis H. Y. Leung

Research Collection School Of Economics

A popular data-driven method for choosing the bandwidth in standard kernel regression is cross-validation. Even when there are outliers ill the data, robust kernel regression can be used to estimate the unknown regression curve [Robust and Nonlinear Time Series Analysis. Lecture Notes in Statist. (1984) 26 163-184]. However, Under these Circumstances Standard cross-validation is no longer a satisfactory bandwidth selector because it is unduly influenced by extreme prediction errors caused by the existence of these Outliers. A more robust method proposed here is a cross-validation method that discounts the extreme prediction errors. In large samples the robust method chooses consistent …

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Q-Convergence With Interquartile Ranges, Sung Jin Kang, Myoung-Jae Lee Oct 2005

Q-Convergence With Interquartile Ranges, Sung Jin Kang, Myoung-Jae Lee

Research Collection School Of Economics

We introduce a new convergence concept ‘Q-convergence’ which defines convergence in national incomes as a shrinking interquartile range (IQR) of the national income distribution. Compared with the other convergence definitions in the literature, Q-convergence has the following advantages. First, IQR, which represents dispersion and inequality of the income distribution, is also closely linked to the two-group clustering with the lower and upper quartiles being the ‘centers’ of the two groups. Second, IQR is equivariant to increasing transformations and thus reconciles better conflicting empirical findings using level or log data. Third, IQR is insensitive to outliers, leading to robust statistical inferences. …

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Growth Is Good For Whom, When, How?, John A. Donaldson Oct 2005

Growth Is Good For Whom, When, How?, John A. Donaldson

Research Collection School of Social Sciences

Economic growth often helps the poor, but what about the many cases when it does not? The consensus that economic growth reduces poverty, encapsulated by two World Bank economists in the above-quoted article entitled Growth is Good for the Poor, leaves many important questions unanswered. What help does the knowledge that economic growth can reduce poverty provide for economies with few realistic prospects for robust, sustained growth? What hope does the understanding that growth reduces poverty on average provide for poor families that are excluded from prosperity? How should we respond when economic growth undermines the market positions of the …

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Future Targets And Multiple Equilibria, Ashok S. Guha, Brishti Guha Oct 2005

Future Targets And Multiple Equilibria, Ashok S. Guha, Brishti Guha

Research Collection School Of Economics

Multiple Pareto-rankable equilibria may obtain in an overlapping generations model where consumers save to reach a fixed target. Existence and uniqueness conditions are discussed. The model displays excess consumption sensitivity to current income and perfect old-age insurance.

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Determinants Of Job Turnover Intentions: Evidence From Singapore, Xiaolin Xing, Zhenlin Yang Oct 2005

Determinants Of Job Turnover Intentions: Evidence From Singapore, Xiaolin Xing, Zhenlin Yang

Research Collection School Of Economics

This paper explores both observable and unobservable variables that would affect employed workers’ decisions on job change. We find that age, job satisfaction, satisfaction with working environment or job security, and firm size are among the major factors determining workers’ intentions of job-to-job mobility. Younger workers and workers in smaller firms are more likely to look for other jobs. We also find that men are more likely to consider a change in job than women, but when “actually looking for another job” is concerned, men and women do not differ. Furthermore, monthly income and working sector contribute significantly to looking …

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Comment On "Realized Variance And Market Microstructure Noise" By Peter R. Hansen And Asger Lunde, Peter C. B. Phillips, Jun Yu Sep 2005

Comment On "Realized Variance And Market Microstructure Noise" By Peter R. Hansen And Asger Lunde, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

With the availability of ultra high frequency financial data, the task of finding an appropriate econometric model to describe the movement of financial variables at the tick-by-tick level has become an important goal in financial econometric research. The task has both theoretical and empirical dimensions. From an empirical perspective, the near continuous recording of financial asset prices has opened up the intriguing possibility of fitting the quadratic variation process empirically, leading to what is possibly the most direct nonparametric measure of asset price volatility. The resulting quantity has become known in the financial econometrics literature as realized variance (RV) and …

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The Case Of The Errant Executive: Management, Control And Firm Size In Corporate Cheating, Brishti Guha Sep 2005

The Case Of The Errant Executive: Management, Control And Firm Size In Corporate Cheating, Brishti Guha

Research Collection School Of Economics

Firm insiders – a manager and a board – face moral hazard in relation to their outside shareholders in a repeated game with asymmetric information and stochastic market outcomes. The manager determines whether or not outsiders are cheated; the board, whose objectives differ from those of outside shareholders, attempts to control the manager through compensation contracts and dismissal threats Since compensation determines the manager’s incentive to cheat, firms competing for outside capital publicly announce their managerial contracts. However, secret renegotiation between firm and manager is still possible: so outsiders guard against being cheated by limiting their total stake in any …

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Games Suppliers And Producers Play: Upstream And Downstream Moral Hazard With Unverifiable Input Quality, Brishti Guha Sep 2005

Games Suppliers And Producers Play: Upstream And Downstream Moral Hazard With Unverifiable Input Quality, Brishti Guha

Research Collection School Of Economics

We pin down the optimal relational contract between an input supplier and a final goods producer given a framework of bilateral moral hazard with variable but non-verifiable input quality. Given the inability of third parties to verify input quality, each party has an incentive to cheat the other by making a false claim about input quality. We derive the contract which (a) induces honest behavior and brings about the Pareto superior first-best outcome for the widest possible range of exogenous parameters, and (b) maximizes the Nash product of both parties’ payoffs subject to incentive compatibility. An interesting feature of the …

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Trade, Growth And Increasing Returns To Infrastructure: The Role Of The Sophisticated Monopolist, Ashok S. Guha, Brishti Guha Sep 2005

Trade, Growth And Increasing Returns To Infrastructure: The Role Of The Sophisticated Monopolist, Ashok S. Guha, Brishti Guha

Research Collection School Of Economics

We consider a model of international trade with increasing returns in a non-traded input into industry, infrastructure, and show that the nature of equilibrium depends crucially on whether the infrastructure provider acts in a naïve manner – akin to a Level 1 agent in a cognitive hierarchy (C-H) model – or in a more sophisticated manner. Infrastructure requires a fixed investment and is produced under decreasing marginal costs, and we model two possible market forms, monopoly and Cournot oligopoly with free entry – both capable of generating pecuniary externalities in the manufacturing sector . Unlike most other work exploring the …

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Honesty And Intermediation: Corporate Cheating, Auditor Involvement And The Implications For Development, Brishti Guha Sep 2005

Honesty And Intermediation: Corporate Cheating, Auditor Involvement And The Implications For Development, Brishti Guha

Research Collection School Of Economics

We examine self-enforcing honesty in firm-investor relations in an imperfect public information game. Minimum firm size requirements and moral hazard limit ability to raise outside capital, yielding a floor on personal wealth required to enter entrepreneurship. Credible auditing could create efficiency gains. We propose mandatory disclosure of audit fees and an interpretation of international differences in shareholding patterns. We endogenize auditor-firm collusion and extortion by auditors. We embed our game-theoretic analysis in a general equilibrium model to generate unique equilibria that trace the impact of the distribution of wealth on the existence of the market and consequences for development.

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Green Revolutions And Miracle Economies: Agricultural Innovation, Trade And Growth, Brishti Guha Sep 2005

Green Revolutions And Miracle Economies: Agricultural Innovation, Trade And Growth, Brishti Guha

Research Collection School Of Economics

The purpose of this paper is to develop a simple model of an economy in which growth is driven by a combination of exogenous technical change in agriculture as well as by a rising world demand for labor-intensive manufactured exports. We explore the relative roles of agricultural innovation and rising export demand in a model with two traded industrial goods and a non-traded agricultural good, food. When the non-traded sector uses a specific factor, we show that technical change in agriculture may be the key to sustained factor accumulation in industry, in particular driving intersectoral labor migration. A key assumption …

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