Economics Commons^™

Genuinely Unbalanced Spatial Panel Data Models: Fixed Effects M-Estimation And Inference, Xiaoyu Meng, Zhenlin Yang

Research Collection School Of Economics

We consider spatial panel data models with genuine unbalancedness arising from the non-presence of some spatial units in certain time periods. General M-estimation methods are proposed for model estimation, which take into account the estimation of the incidental fixed effects parameters and allow for spatiotemporal heteroskedasticity and high-order time-varying spatial effects. Corrected plug-in methods are proposed for standard error estimation. The proposed estimation and inference methods are rigorously studied for their asymptotic properties and finite sample performance. An application to China’s provincial FDI inflows shows that properly accounting for genuine unbalancedness uncovers significant positive spatial spillovers that are masked when …

Reasoning On Time-Series For Financial Technical Analysis, Kelvin J. L. Koa, Jan Chen, Yunshan Ma, Huanhuan Zheng, Tat-Seng Chua

Research Collection School Of Computing and Information Systems

While Large Language Models have been used to produce interpretable stock forecasts, they mainly focus on analyzing textual reports but not historical price data, also known as Technical Analysis. This task is challenging as it switches between domains: the stock price inputs and outputs lie in the time-series domain, while the reasoning step should be in natural language. In this work, we introduce Verbal Technical Analysis (VTA), a novel framework that combine verbal and latent reasoning to produce stock time-series forecasts that are both accurate and interpretable. To reason over time-series, we convert stock price data into textual annotations and …

Art Pricing And Anti-Corruption Campaigns: Evidence From Repeat Sales Of Chinese Paintings, Yihan Wang

Dissertations and Theses Collection (Open Access)

My dissertation investigates the impact of China’s anti-corruption campaign on the pricing of traditional Chinese paintings, leveraging a unique dataset of repeat sales transactions. Since the 1990s, China’s art market has experienced explosive growth, becoming the world’s largest by 2011. However, this market is characterized by extreme opacity, facilitating elegant bribery (“ya hui” in Chinese), where artworks serve as vehicles for implicit corruption through inflated auctions or disguised gifts to officials. The launch of the "Eight-point Regulation" in December 2012 marked a significant intensification of anti-corruption efforts, raising the critical question of how such political shocks affect asset pricing in …

Expanding Public Health Insurance To Parents: Effect On Parents' And Children’S Well-Being, Michelle Marcus, Xuan Zhang

Research Collection School Of Economics

Expanding public health insurance to parents may not only improve parental outcomes but also have spillover effects on their children. This paper leverages the natural experiment of the Affordable Care Act (ACA) to estimate the causal effects of expanding public health insurance to low-income parents on their well-being and that of their children. Using a difference-in-differences model and data from the 2010–2017 National Health Interview Surveys, we observe significant improvements in health care access, increased health care utilization, reduced financial burdens, and slight improvements in health status among low-income parents. For children in Medicaid expansion states, we find reductions in …

Bespoke Realized Volatility: Tailored Measures Of Risk For Volatility Prediction, Andrew John Patton, Haozhe Zhang

Research Collection School Of Economics

Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data with no reference to how or where the estimate will subsequently be used. This paper presents methods for “tailoring” the estimate of volatility to the application in which it will be used. For example, if the volatility measure will be used in a specific parametric forecasting model, it may be possible to exploit that knowledge to construct a better measure of volatility. We use methods from machine learning to estimate optimal “bespoke” RVs for heterogeneous autoregressive (HAR) and GARCH-X forecasting applications. We apply …

The Smu Trade Dashboard: Tracking And Quantifying The Trump Ii Tariffs, Pao-Li Chang, Ruoqing Chen, Lin Ma

Research Collection School Of Economics

The SMU Trade Dashboard (https://economics.smu.edu.sg/soetrade/tr ade-dashboard), developed by the SMU Center for Research on International Trade, consists of Tariff Tracker and Trade Simulation functions. The Tariff Tracker allows users to track the tariff applicable to an HS 6-digit product or an ISIC 2-digit sector bymarkets and country origins. The Trade Simulation presents quantitative simulation results of the effects of Trump II tariffs (and the associated tariff responses by its trading partners) on trade flows, welfare, and wages. This companion paper documents the methodologies underlying the tariff data collection protocol and the structuralsimulation designs.

Financial Valuation Of Retirement Village Via Stochastic Modelling Of Disability Prevalence Rates, Jackie Li, Mingke Wang, Jia Liu, Jessica Wai Yin Leung

Research Collection School Of Economics

Global mortality rates continue to decline, and life expectancy continues its upward trend. Besides mortality levels, policymakers and providers of financial and health services would also be interested in disability prevalence and its potential future trajectories. The length of time in good health versus the duration with major disabilities or long-term illnesses has significant financial implications for both individuals and society. In this paper, we develop Bayesian common factor models to analyse Australian age- and sex-specific disability prevalence rates. In particular, there are one or more common factors shared by both sexes, as well as specific factors for each sex. …

High Dimensional Regression Coefficient Test With High Frequency Data, Dachuan Chen, Long Feng, Per A. Myklang, Lan Zhang

Research Collection School Of Economics

This paper presents the first study on high-dimensional regression coefficient tests with high-frequency financial data. These tests allow the number of regressors to be larger than the number of observations within each estimation block and can grow to infinity in asymptotics. In this paper, the sum-type test and max-type test have been proposed, where the former is suitable for the dense alternative (many small betas) and the latter is suitable for the sparse alternative (a very small number of large betas). By showing the asymptotic independence between the sum-type test and max-type test, the paper proposes a third test – …

Essays On Public Policy And Health Outcomes: Unintended Consequences And The Cost Of Influence, Wenhan Yan

Dissertations and Theses Collection (Open Access)

This dissertation investigates the complex behavioral responses to public policy shifts and institutional cues, quantifying their intended and unintended societal impacts. Across two distinct empirical contexts, this research examines how individuals adapt their risk profiles when signals from political or legal authorities change and how these adaptations generate measurable externalities.

The first chapter, "From Punishment to Treatment: Unintended Social Impacts of Changing Drug Policies," shifts the focus to the intersection of health policy and criminal justice. This chapter evaluates the sudden transition from punitive drug enforcement to health-oriented decriminalization, utilizing the 2021 State v. Blake decision in Washington as a …

Agency Mbs As Safe Assets, Zhiguo He, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

Measured as yield spreads against Treasury securities and AAA corporate bonds, the convenience premium of newly issued agency MBS averages more than half of the long-term Treasury convenience premium. The agency MBS convenience premium and issuance amount vary negatively with mortgage rate, consistent with a prepayment-driven channel. Placing agencies into conservatorship in 2008 and introducing liquidity regulations in 2013 significantly affected MBS convenience premium, consistent with government guarantee and regulatory treatment channels. Analyses of dispersion of dealers’ prepayment forecasts, seasoned MBS, and investors’ MBS holdings deliver further economic implications for agency MBS as safe assets.

A General Limit Theory For Nonlinear Functionals Of Nonstationary Time Series, Qiying Wang, Peter C. B. Phillips

Research Collection School Of Economics

New limit theory is provided for a wide class of sample variance and covariance functionals involving both nonstationary and stationary time series. Sample functionals of this type commonly appear in regression applications and the asymptotics are particularly relevant to estimation and inference in nonlinear nonstationary regressions that involve unit root, local unit root, or fractional processes. The limit theory is unusually general in that it covers both parametric and nonparametric regressions. Self-normalized versions of these statistics are considered that are useful in inference. Numerical evidence reveals interesting strong bimodality in the finite sample distributions of conventional self-normalized statistics similar to …

Efficient Bilateral Trade With Interdependent Values: The Use Of Two-Stage Mechanisms, Takashi Kunimoto, Cuiling Zhang

Research Collection School Of Economics

Efficient, voluntary bilateral trades are generally not implementable in an interdependent values environment with two-sided asymmetric information. To obtain more positive results, we consider two-stage mechanisms in which (i) the outcome (e.g., allocation of the goods) is determined first; (ii) the agents partially learn the state via their own outcome-decision payoffs; and (iii) transfers are finally made. We propose the approximate shoot-the-liar (AS) mechanism and identify Assumption 1, under which “approximately” efficient, voluntary trades are implementable. We further illustrate the permissiveness of the assumption, and characterize it in terms of the nature of interdependence in valuation functions – delineating the …

Dynamic Spatial Panel Data Models With Interactive Fixed Effects: M-Estimation And Inference Under Fixed Or Relatively Small T, Liyao Li, Ke Miao, Zhenlin Yang

Research Collection School Of Economics

We propose an M-estimation method for dynamic spatial panel data models with interactive fixed effects based on (relatively) short panels. Unbiased estimating functions are constructed by adjusting the concentrated conditional quasi scores, given the initial values and with the factor loadings being concentrated out, to account for the effects of conditioning and concentration. Solving the estimating equations gives the M-estimators of the common parameters and common factors. Under fixed T, n-consistency and joint asymptotic normality of the M-estimators are established. Under T = o(n), the M-estimators of the common parameters are shown to be nT-consistent and asymptotically normal. For inference, …

Corrigendum To “Interim Rationalizable Implementation Of Functions” (Kunimoto T, Saran R, Serrano R (2024) Mathematics Of Operations Research 49(3):1791–1824), Takashi Kunimoto, Rene Saran, Roberto Serrano

Research Collection School Of Economics

This is the brief corrigendum to “Interim rationalizable implementation of functions” [Kunimoto T, Saran R, Serrano R (2024) Interim rationalizable implementation of functions. Math. Oper Res. 49(3):1791–1824].

The Uncomfortable Truths About Inclusive Growth In Singapore, Kong Weng Ho

Research Collection School Of Economics

In a commentary, SMU Associate Professor of Economics (Education) Ho Kong Weng said that the Ministry of Finance’s Occasional Paper provides food for thought on the way forward on social mobility, growth and redistribution. Assoc Prof Ho stated that these macro statistics suggest Singapore’s socioeconomic compact has performed well, and suggests that sustaining inclusive growth is a multifaceted effort that cannot be boiled down to one single metric, whether income, wealth, inequality or mobility. He noted that pursuing ever-lower Gini coefficients through heavy regulation risks deadweight losses without guaranteeing better mobility outcomes. He added that Singapore’s approach of tempering market-driven …

Brand Switching Or Behavior Change: The 2023 Bud Light Boycott's Impact On Alcohol Purchases, Aljoscha Janssen

Research Collection School Of Economics

I study how the 2023 Bud Light boycott affected overall alcohol demand using household-level panel data and a set of difference-in-differences designs. Focusing on households that, before April 2023, regularly purchased Bud Light, I find a large drop in Bud Light volume (34%–37%), partial switching into other beer (＋70 to ＋90 ounces per month), and a net decline in total ethanol purchases of about 3–4 fl-oz per month, or roughly 5.5%–7.5% of pre-boycott intake. I detect no compensatory increase in wine or spirits. Scaled nationally, the quantity response is equivalent to roughly 150 million standard drinks per year; using CDC …

Are Cities Losing Innovation Advantages? Online Versus Face-To-Face Interactions, Ruben Gaetani, Naqun Huang, Jing Li, Yanmin Yang

Research Collection School Of Economics

How did COVID-19 affect the innovation advantages of dense locations? Using data on the universe of U.S. patent applications, we find that the density premium in the production of novel inventions declined by 18.5%-22.9% in 2020-2021 relative to its pre-pandemic level. Smartphone data on local mobility suggest that the drop in the frequency of local interactions can explain a significant portion of this effect. While COVID-19 resulted in a temporary setback in the innovation advantages of dense locations, the role of urban density in facilitating the exchange and recombination of ideas is unlikely to be persistently replaced by online communication.

Removed: When Taxi Drivers Meet Dynamic Pricing: A Lesson From Singapore's Justgrab Program, Shih-Fen Cheng, Wen-Tai Hsu, Jing Li

Research Collection School Of Economics

This paper studies how dynamic pricing influences taxi drivers’ behaviors using a unique event, the inception of the JustGrab program in Singapore in 2017, which introduces dynamic pricing to some, but not all, taxi drivers. This is the first time in history that traditional taxi drivers have access to dynamic pricing. Using data covering the universe of taxi trips before and after the inception of JustGrab, we find that there is spatial reallocation that directs more taxi drivers to the previously less-served areas, that there is also a temporal reallocation that directs more taxi drivers to rush hours, as well …

Projecting Inflation Tail Risks In A Small Open Economy: Some Evidence From Singapore, Hwee Kwan Chow-Tan, Jordan Lee

Research Collection School Of Economics

This study empirically assesses the drivers of risks to the inflation outlook for a small open economy like Singapore. We apply the inflation-at-risk framework of López-Salido and Loria (2020) and incorporate projections from the Survey of Professional Forecasters (SPF) as point forecasts of inflation. Our findings show that macro-financial risk factors—shaped by Singapore’s openness, role as a financial hub, and exchange rate–centered monetary policy framework—enter nonlinearly into inflation risk models and exert differentiated effects. Foreign price pressures heighten upside risks, and exchange rate policy has proven effective at mitigating them. Tighter global financial conditions amplify inflation risks through cost-push channels, …

New Asymptotics Applied To Functional Coefficient Regression And Climate Sensitivity Analysis, Qiying Wang, Peter C. B. Phillips, Ying Wang

Research Collection School Of Economics

A general asymptotic theory is established for sample cross moments of nonstationary time series, allowing for long-range dependence and local unit roots. The theory provides a substantial extension of earlier results on nonparametric regression that include near-cointegrated nonparametric regression as well as spurious nonparametric regression. Many new models are covered by the limit theory, among which are functional coefficient regressions in which both regressors and the functional covariate are nonstationary. Simulations show finite sample performance matching well with the asymptotic theory and having broad relevance to applications, while revealing how dual nonstationarity in regressors and covariates raises sensitivity to bandwidth …

A Panel Quantile Model Via Correlated Random Effects Approach For Testing Pecking Order Theory, Zongwu Cai, Meng Shi, Wuqing Wu, Yue Zhao

Student Publications

This article investigates the relative importance of internal and external sources of funds in financing activities across different levels of investment activities by proposing a panel data quantile regression model with correlated random effects, accounting for heteroscedasticity in both firm-specific individuals and distribution of investment. A new estimation method, which takes the influence of disturbance into account, is proposed by using the integrated quasi-likelihood function for the conditional quantile model and Laplace approximation. The large sample theory for the proposed estimator and the corresponding asymptotic χ² test are investigated. A Monte Carlo simulation is conducted to examine the finite …

Smu Launches Resilient Workforces Institute To Strengthen Singapore’S Workforce In The Age Of Ai, Singapore Management University

SMU Press Releases and News

Singapore Management University (SMU) announced the launch of the Resilient Workforces Institute (ResWORK), a new university-level research institute advancing workforce resilience and lifelong learning amid accelerating technological change. It is among the first institutes in Singapore and the region to jointly study adult-learning and the future of work through an integrated, interdisciplinary lens spanning economics, management, behavioural science and technology.

Testing Mean Stability Of Heteroskedastic Time Series, Violetta Dalla, Liudas Giraitis, Peter C. B. Phillips

Research Collection School Of Economics

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead to unsupported and controversial conclusions about time dependence, causality, and the effects of unanticipated shocks. In spite of what may seem as obvious differences between a time series of independent variates with changing variance and a stationary conditionally heteroskedastic (GARCH) process, such processes may be hard to distinguish in applied work using basic …

Shrinkflation And Consumer Demand, Aljoscha Janssen, Johannes Kasinger

Research Collection School Of Economics

This study investigates shrinkflation—the practice of reducing product size while maintaining or slightly changing prices—in the U.S. retail grocery market. We analyze a decade of retail scanner data to assess the prevalence and patterns of product size changes across various product categories. Our findings show that approximately 1.92% of products have been downsized. When comparing total sales, product downsizing is more than five times as prevalent as upsizing. Product downsizing typically occurs without a corresponding decrease in price and is widespread across product categories. Consequently, consumers end up paying more per unit volume. We further find that consumers are more …

Childlessness And Health In Middle Age And Older Adulthood: Evidence From Singapore, Christine Ho, Dahye Kim, Rohan Ray, Bussarawan Teerawichitchainan

Research Collection School Of Economics

Health and well-being in mature adulthood are important concerns given the prevalence of individuals aging without children. We exploit two new instruments for childlessness— infertility and the number of childless siblings—and condition our analyses on a rich set of covariates including childhood health and financial status, to investigate the causal relationship between childlessness and health in middle age and older adulthood. Using a nationwide dataset of 1,500 Singaporeans aged 50 and above, we show that OLS underestimates the negativeeffects of childlessness on health. We find that childlessness leads to higher likelihood of poorer self-reported health and mental distress. The results …

Uncovering Mild Drift In Asset Prices With Intraday High-Frequency Data, Shuping Shi, Peter C. B. Phillips

Research Collection School Of Economics

Asset prices are commonly represented as a drift-diffusion process, wherein the drift component denotes the anticipated return of the asset within some time frame, while the diffusion component accommodates random shocks. The drift component has substantial practical significance but accurate estimation is typically challenging and has met with limited success in the existing literature except over large time spans. This paper explores a comprehensive range of drift-diffusion models that include constant, linear, trending, and bursting drift. Conditions are identified under which realized squared drift  is a reliable tool for gauging integrated squared drift when the time span Tn is large …

Assessing Ethereum’S Diversification Role With Bitcoin And Major Equity Index – A Bayesian Mixture Copula Approach, Jackie Li, Jacie Jia Liu

Research Collection School Of Economics

With the introduction of spot Ethereum ETFs, Ethereum plays an increasingly important role in the cryptocurrency market. In this paper, we propose a Bayesian modelling framework incorporating a mixture copula for co-modelling Ethereum returns with Bitcoin or FTSE 100 returns. The mixture copula is designed as a combination of the Clayton copula and its three rotations, Frank, and Gaussian copulas. It provides substantial flexibility for handling a variety of dependency structures. The Bayesian approach offers the advantage of jointly estimating both the margins and copulas and simulating future returns in a coherent procedure. Using 10 different risk or risk-return measures, …

Privately Owned Companies Dominate Renewable Energy Generation Ownership Around The World, Dyaran Bansraj, Theodor Florian Cojoianu, Xi Hu, Khaladdin Rzayev, Francisco Urzua

Research Collection College of Integrative Studies

Global sustainable finance policies are premised on publicly listed companies driving decarbonization through transparency, investor pressure, and capital market access. Analysing c. 20,000 corporate owners of renewable and fossil-fuel assets worldwide, we show the opposite: private firms own approximately 75% of global renewable generation capacity. This private dominance holds across all major technologies and regions, with listed ownership of renewable assets being the majority only in the oil & gas and technology sectors. The Paris Agreement did not alter this balance. Instead, ownership of the energy transition reflects countries' financial structures, with similar patterns observed across manufacturing, construction, and financial …

Can Limited Partners Mitigate Negative Externalities In Private Equity?, Teodor Duevski, Chhavi Rastogi, Tianhao Yao

Sim Kee Boon Institute for Financial Economics

We show how Limited Partners' (LPs) environmental and social (E&S) concerns transmit to private equity (PE) rms through capital supply. E&S incidents in portfolio companies reduce PE fundraising, as E&S-concerned relationship LPs refrain from recommitting and are not easily substituted. Using a legal reform that expands E&S-concerned public pension capital to PE, we causally show that PE rms internalise LPs' E&S concerns, reducing dirty sector portfolio allocation and increasing ESG hiring. Additionally, PE rms with E&S- concerned relationship LPs engage with portfolio companies to manage E&S risks. Limited capital substitutability enables LPs to delegate E&S preferences, shaping PE allocation and …

Unlocking Private Equity Investing, Yin Wang, Steve Balaban

Asian Management Insights

Myths and market shifts to take note of.