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Articles 2341 - 2370 of 2456

Full-Text Articles in Economics

The Impact Of Housing Prices On Aggregate Consumption: Evidence From An East Asian City-State, Sock-Yong Phang Jul 2002

The Impact Of Housing Prices On Aggregate Consumption: Evidence From An East Asian City-State, Sock-Yong Phang

Research Collection School Of Economics

Using aggregate consumption data for Singapore, this paper rejects the life-cycle/permanent income and myopia hypotheses as explanations for aggregate consumption behavior. We confirm the presence of liquidity constraints from the asymmetric reaction of consumption to income increases vis-a-vis income declines. When we allow for asymmetric response, anticipated house price increases appear to have a dampening effect on aggregate consumption while declines in expected house price growth also had a negative effect on consumption, although the results are statistically insignificant. There is no evidence that the housing price increases have produced either wealth or collateral enhancement effects on consumption.

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Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang Jun 2002

Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang

Research Collection School of Economics

In this paper we adopt a nonparametric genetic programming approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the “normal” period in sample size, the lead-lag relationship identified in the spot-futures system based on conventional methods such as test for Granger causality pertains to the normal period and may not be applicable in the “extreme” period. Using genetic programming we identify the lead-lag relationship based on the chronological ordering of the structural changes in the spot and futures markets. Our results show that in recent periods, major market changes originated …

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Growth And Volatility, Hing-Man Leung Jun 2002

Growth And Volatility, Hing-Man Leung

Research Collection School Of Economics

This paper has two objectives. First, to establish empirically a U-shaped relation between GDP growth rate and income volatility. The backward as well as the fast-growing countries have had extensive volatility; but developed nations by contrast have enjoyed much more stable income. Second, to present a macroeconomic model to study how growth and volatility evolve together. The twin endogenous variables are financial liberalization interacting with liquidity constraints. Opening LDC financial markets could raise or lower their long-term income and growth rates, depending on the severity of existing liquidity constraints. Financial liberalization and removing financial market imperfections unambiguously worsen income volatility.

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Strategic Development Of Airport And Rail Infrastructure: The Case Of Singapore, Sock-Yong Phang Jun 2002

Strategic Development Of Airport And Rail Infrastructure: The Case Of Singapore, Sock-Yong Phang

Research Collection School Of Economics

This article recounts how a number of strategic infrastructure investment decisions in airport and rail development taken by the Singapore government were at variance with recommendations emerging from Cost-Benefit Analysis, but were considered necessary to support external competitiveness. This link between infrastructure provision and economic development may require decision makers to assess the trade-off between prudent macro-economic planning and efficient micro-economic management for major projects. In the case of airport hubs, the most difficult assessment might be the game consideration of how much, and how far ahead, excess capacity is needed to ensure the dominance of the hub.

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How Should We Interpret Evidence Of Time Varying Conditional Skewness?, Gamini Premaratne, Anthony S. Tay Jun 2002

How Should We Interpret Evidence Of Time Varying Conditional Skewness?, Gamini Premaratne, Anthony S. Tay

Research Collection School Of Economics

Several recent articles report evidence of predictability in the skewness of equity returns, raising hopes that predictability in third moments will be useful for forecasting the probability of tail events. The evidence is unfortunately difficult to interpret, partly because they were obtained mainly from parametric models of time-varying conditional skewness, and because little is known about the behavior of such models, for instance, when there are outliers. We investigate a non-parametric approach to testing for predictability in skewness. Specifically, we explore the size and power of a Runs tests, and compare this approach with other tests. A re-examination of daily …

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Investing In Hedge Funds: Risks, Returns And Pitfalls, Dong Hong, David Kuo Chuen Lee, Kok Fai Phoon May 2002

Investing In Hedge Funds: Risks, Returns And Pitfalls, Dong Hong, David Kuo Chuen Lee, Kok Fai Phoon

Research Collection Lee Kong Chian School Of Business

Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. These are funds that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and exploit leverage to raise returns and cushion risk. Given that that they have substantial latitude to invest, it is instructive to examine the performance of hedge funds compared to other forms of managed funds. This paper provides an overview of hedge funds and discusses their empirical risk and return profiles. It also poses some concerns …

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Markov Chains In Predictive Models Of Currency Crises - With Applications To Southeast Asia, Roberto S. Mariano, Abdul G. Abiad, Gultekin Bulent, Tayyeb Shabbir, Augustine H. H. Tan May 2002

Markov Chains In Predictive Models Of Currency Crises - With Applications To Southeast Asia, Roberto S. Mariano, Abdul G. Abiad, Gultekin Bulent, Tayyeb Shabbir, Augustine H. H. Tan

Research Collection School Of Economics

The decade of the 1990s was marked by an unusual number of financial and economic crises such as the attack on the European Monetary System in 1992-93, the Mexican peso crisis in 1994-95, the Asian crisis in 1997, the Russian default in 1998 and its spillover to Latin America. The Turkish currency and banking crisis in 2001 and the recent difficulties in Argentina indicate that financial crises are still part of the current economic events. In the wake of such developments, there has been a resurgence of interest in early warning systems that can anticipate the likely occurrence of such …

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Potential For Floating Offshore Wind Energy In Japanese Waters, A. R. Henderson, R. Leutz, Tomoki Fujii May 2002

Potential For Floating Offshore Wind Energy In Japanese Waters, A. R. Henderson, R. Leutz, Tomoki Fujii

Research Collection School Of Economics

The prospects for large scale commercialisation of sea-bed-mounted offshore windfarms are currently excellent, with the existing small-scale prototype windfarms currently being joined by the first large-scale parks in the shallow seas off the Danish, German, Swedish, Dutch, Belgian, British and Irish coasts. However other countries, including Japan, have much more limited regions of the shallow waters suitable for such developments and hence other concepts will also need to be utilised if offshore wind energy is also to become a major source of energy there.

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A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa Apr 2002

A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa

Research Collection School Of Economics

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicator such as real GPD. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP.

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A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang Apr 2002

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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Less Developed Country Business Cycles, Hing-Man Leung Mar 2002

Less Developed Country Business Cycles, Hing-Man Leung

Research Collection School Of Economics

Less developed countries (LDCs) have experienced considerable business cycles in recent decades. This coincides with significant increases in their external debt to GDP ratios. Recent theoretical credit cycles literature suggests that indebtedness, and the resulting liquidity constraints, could explain LDC business cycles. This paper builds a macroeconomic model to trace the LDC income paths. In this model indebtedness and liquidity constraints reduce aggregate investment. We use the World Data (1995) to calibrate for the convergence parameter. It is found that LDC cycles are convergent and non-oscillatory, and indebtedness delays the return to long-term steady state income.

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Networked Growth, Hing-Man Leung Mar 2002

Networked Growth, Hing-Man Leung

Research Collection School Of Economics

This paper searches for a new growth engine in the new Info-Tech economy. IT-network effects are incorporated into Romer’s (1990) framework. Network effects support long-term steady state growth in per capita variables even without innovation, and growth rate increases with network externalities. Networked growth is sub-optimal, so should we break up an IT monopoly? To answer this we compare monopoly, Cournot and Bertrand set-ups. Cournot always ranks last socially, but Bertrand can be superior to monopoly if network effects are strong. When network interacts with Romer’s endogenous innovation, growth rate increases, probably by up to a percentage point per year.

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Endogenous Growth And The Manufacturing Revolution, Hing-Man Leung Mar 2002

Endogenous Growth And The Manufacturing Revolution, Hing-Man Leung

Research Collection School Of Economics

Manufacturing is undergoing a revolution. Teamwork, job-rotation, multitasking are superseding the Taylorist mode of organization. The skilled workforce, armed with automated machines, is gradually substituting and replacing the unskilled. At the same time the U.S. economy is experiencing record breaking growth. Is faster growth a consequence of this manufacturing revolution? We study this by inserting dynamic career choice into endogenous growth by human capital accumulation. The answer is affirmative: The gradual substitution of the unskilled by the skilled boosts the long-term growth trend. The model also explains worsening wage inequality between as well as within the skilled groups.

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Endogenous Growth And Equilibrium Unemployment In A North-South Model Of The World Economy, Hian Teck Hoon Feb 2002

Endogenous Growth And Equilibrium Unemployment In A North-South Model Of The World Economy, Hian Teck Hoon

Research Collection School Of Economics

A North-South model is developed which incorporates an endogenous rate of equilibrium unemployment in the North in the context of long-run growth. It is shown how increases in the size of public debt and unemployment compensation financed by payroll taxation, all measured relative to productivity, raise the Northern natural rate of unemployment and, consequently, reduce the global rate of long-run growth. The effect of the shocks is also to drive down the rate of employment expansion in the South. A set of the fundamental determinants of the world terms of trade is obtained, which includes policy parameters.

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Isotonic Designs For Phase I Trials, Denis H. Y. Leung, You-Gan Wang Feb 2002

Isotonic Designs For Phase I Trials, Denis H. Y. Leung, You-Gan Wang

Research Collection School Of Economics

The purpose of a phase I trial in cancer is to determine the level (dose) of the treatment under study that has an acceptable level of adverse effects. Although substantial progress has recently been made in this area using parametric approaches, the method that is widely used is based on treating small cohorts of patients at escalating doses until the frequency of toxicities seen at a dose exceeds a predefined tolerable toxicity rate. This method is popular because of its simplicity and freedom from parametric assumptions. In this paper, we consider cases in which it is undesirable to assume a …

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Clinical Significance Of Molecular Expression Profiles Of Hürthle Cell Tumors Of The Thyroid Gland Analyzed Via Tissue Microarrays, A. Hoos, A. Stojadinovic, B. Singh, M. Dudas, Denis H. Y. Leung, A. Shaha Jan 2002

Clinical Significance Of Molecular Expression Profiles Of Hürthle Cell Tumors Of The Thyroid Gland Analyzed Via Tissue Microarrays, A. Hoos, A. Stojadinovic, B. Singh, M. Dudas, Denis H. Y. Leung, A. Shaha

Research Collection School Of Economics

Hürthle cell tumors are rare thyroid neoplasms for which disease biology is poorly understood and diagnosis of carcinoma can be challenging. The aim of the study was to characterize molecular expression profiles of Hürthle cell tumors and to determine the clinical significance of identified phenotypes. Paraffin-embedded tissue cores of normal thyroid (n = 18), and histopathologically well-defined Hürthle cell adenomas (n = 27), Hürthle cell tumors of unknown malignant behavior (n = 7), and minimally (n = 14) and widely (n = 21) invasive Hürthle cell carcinomas were arrayed in triplicate on tissue microarrays. Expression profiles of p53, mdm-2, p21, …

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Empirical Characteristic Function In Time Series Estimation, J. Knight, Jun Yu Jan 2002

Empirical Characteristic Function In Time Series Estimation, J. Knight, Jun Yu

Research Collection School Of Economics

Policymakers seeking to design efficient and smoothly functioning pension systems for their aging workforces are beginning to acknowledge the key importance of administrative expenses when formulating rules for pension plan structure and fee disclosure requirements. This study explores the links between retirement plan offerings and pension expenses for a wide range of private and public sector pension plan types, using an invaluable new data set on two thousand Australian pension funds. Our analysis indicates how pension plan design can strongly influence plan expenses and consequently eventual retirement security.

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Forecasting Volatility In The New Zealand Stock Market, Jun Yu Jan 2002

Forecasting Volatility In The New Zealand Stock Market, Jun Yu

Research Collection School Of Economics

This study evaluates the performance of nine alternative models for predicting stock price volatility using daily New Zealand data. The competing models contain both simple models such as the random walk and smoothing models and complex models such as ARCH-type models and a stochastic volatility model. Four different measures are used to evaluate the forecasting accuracy. The main results are the following: (1) the stochastic volatility model provides the best performance among all the candidates; (2) ARCH-type models can perform well or badly depending on the form chosen: the performance of the GARCH(3,2) model, the best model within the ARCH …

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A Gaussian Approach For Continuous Time Models Of Short Term Interest Rates, Jun Yu, Peter C. B. Phillips Jan 2002

A Gaussian Approach For Continuous Time Models Of Short Term Interest Rates, Jun Yu, Peter C. B. Phillips

Research Collection School Of Economics

This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite-sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to US and British interest rates is given.

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Neyman's Smooth Test And Its Applications In Econometrics, Anil K. Bera, Aurobindo Ghosh Jan 2002

Neyman's Smooth Test And Its Applications In Econometrics, Anil K. Bera, Aurobindo Ghosh

Research Collection School Of Economics

No abstract provided.

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Asset Prices, The Real Exchange Rate, And Unemployment In A Small Open Economy: A Medium-Run Structuralist Perspective, Hian Teck Hoon, Edmund S. Phelps Jan 2002

Asset Prices, The Real Exchange Rate, And Unemployment In A Small Open Economy: A Medium-Run Structuralist Perspective, Hian Teck Hoon, Edmund S. Phelps

Research Collection School Of Economics

No abstract provided.

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A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang Jan 2002

A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang

Research Collection School Of Economics

The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. This unfortunate property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified …

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Monitoring Process Variability With Symmetric Control Limits, Zhenlin Yang Jan 2002

Monitoring Process Variability With Symmetric Control Limits, Zhenlin Yang

Research Collection School Of Economics

Control charts for monitoring process variability, such as the R-chart and S-chart, do not have symmetric probability limits as the distribution of the sample variability is not normal. Hence, the usual zone rules can not be applied although it is still desirable to be able to use the information from more than one point in decision making. In this paper, a modified S-chart based on an optimal normalizing transformation of the sample variance is first introduced. The new chart is shown to have approximate symmetric probability limits and hence can be interpreted in the same way as that of a …

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How Does Spousal Education Matter? Some Evidence From Cambodia, Tomoki Fujii, Sophal Ear Jan 2002

How Does Spousal Education Matter? Some Evidence From Cambodia, Tomoki Fujii, Sophal Ear

Research Collection School Of Economics

An econometric analysis of the World Food Programme Civil Insecurity Baseline Survey (1998) and Cambodia Socio-Economic Survey (1999) data is undertaken to examine the role of education and literacy in explaining household expenditure, as hypothesized in human capital theory where education is an investment with returns in the form of income. Explanatory variables were selected from a large set of observed variables by a systematic procedure to avoid the bias arising from arbitrary model selection. Spousal education and literacy are found to be significant explanatory variables in the determination of household expenditure, exceeding even the coefficients attached to the head …

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A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations, Yiu Kuen Tse, Albert K.C. Tsui Jan 2002

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations, Yiu Kuen Tse, Albert K.C. Tsui

Research Collection School Of Economics

In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. Whereas each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analog. Our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and Baba-Engle-Kraft-Kroner models We report some Monte Carlo results on the finite-sample distributions of the maximum likelihood estimate of …

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Estimation Of The Stochastic Volatility Model By The Empirical Characteristic Function Method, J. Knight, S. Satchell, Jun Yu Jan 2002

Estimation Of The Stochastic Volatility Model By The Empirical Characteristic Function Method, J. Knight, S. Satchell, Jun Yu

Research Collection School Of Economics

The stochastic volatility model has no closed form for its likelihood and hence the maximum likelihood estimation method is difficult to implement. However, it can be shown that the model has a known characteristic function. As a consequence, the model is estimable via the empirical characteristic function. In this paper, the characteristic function of the model is derived and the estimation procedure is discussed. An application is considered for daily returns of Australian/New Zealand dollar exchange rate. Model checking suggests that the stochastic volatility model together with the empirical characteristic function estimates fit the data well.

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Factor Substitution And Endogenous Growth, Hing-Man Leung Dec 2001

Factor Substitution And Endogenous Growth, Hing-Man Leung

Research Collection School Of Economics

We argue that the degree of substitutability between skilled and unskilled workers in production increases long-term income growth rate. Growth rate reaches its maximum when such factors are perfect substitutes, but falls to zero when they are perfect complements. This model brings together the diverging relative wage and the human-capital-growth literature. Easier substitution absorbs more workers into the skilled profession, and their training fuels human capital accumulation and growth. Our result implies, among other things, that growth is positively related to between-and within-group inequality.

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Prognostic Impact Of P53 Status, Tls-Chop Fusion Transcript Structure, And Histological Grade In Myxoid Liposarcoma: A Molecular And Clinicopathologic Study Of 82 Cases, C. R. Antonescu, S. J. Tschernyavsky, R. Decuseara, Denis H. Y. Leung, J. M. Woodruff, M. F. Brennan, J. A. Bridge, J. R. Neff, J. R. Goldblum, M. Ladanyi Dec 2001

Prognostic Impact Of P53 Status, Tls-Chop Fusion Transcript Structure, And Histological Grade In Myxoid Liposarcoma: A Molecular And Clinicopathologic Study Of 82 Cases, C. R. Antonescu, S. J. Tschernyavsky, R. Decuseara, Denis H. Y. Leung, J. M. Woodruff, M. F. Brennan, J. A. Bridge, J. R. Neff, J. R. Goldblum, M. Ladanyi

Research Collection School Of Economics

Purpose: A specific TLS-CHOP fusion gene resulting from the t(12;16) is present in at least 95% of myxoid liposarcomas (MLS). Three common forms of the TLS-CHOP fusion have been described, differing by the presence or absence of TLS exons 6-8 in the fusion product. Type 5-2 (also known as type II) consists of TLS exons 1-5 fused to CHOP exon 2; type 7-2 (also known as type I) also includes TLS exons 6 and 7 in the fusion, whereas type 8-2 (also known as type III) fuses TLS exons 1-8 to CHOP exon 2. We sought to determine the impact …

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Overhauling The Wto: Opportunity At Doha And Beyond, John Audley, Ann Florini Oct 2001

Overhauling The Wto: Opportunity At Doha And Beyond, John Audley, Ann Florini

Research Collection School of Social Sciences

The world's trade ministers, who will meet at a WTOministerial in November 2001 in Doha, Qatar, are wrong to think that only a newround of negotiations will save the much-maligned international trade system.Carnegie senior associates John Audley and Ann M. Florini argue that theyshould, instead, simultaneously tackle internal and external reform of the WTOto make it a truly equitable institution. Internally, industrial countries muststart treating developing countries as equal partners in making the rules thatgovern global trade, and where necessary provide technical assistance to makethat equality possible. Externally, to satisfy legitimate public demands,members should improve the transparency of WTO proceedings …

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The Integration Of The East And South-East Asian Equity Markets, K. B. Tan, Yiu Kuen Tse Sep 2001

The Integration Of The East And South-East Asian Equity Markets, K. B. Tan, Yiu Kuen Tse

Research Collection School Of Economics

This study examines how the degree of capital-market integration of the East and South-East Asian (ESEA) economies varied over the period 1988–2000 following the deregulation of these markets. The deregulation process varied across the countries both in terms of intensity and timing. A greater degree of co-movements in stock prices is a reflection of greater stock-market integration. We employ Geweke’s (1982) measure of feedback for different pairs of markets. For each pair of markets, the Geweke measure shows how co-movements in daily returns of stock prices varied over time. This is followed by the vector autoregression (VAR) analysis to examine …

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