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Global Value Chains And The Cptpp, Pao-Li Chang, Tran Bao Phuong Nguyen

SMU Economics and Statistics Working Paper Series

The CPTPP, or the Comprehensive and Progressive Agreement for Trans-Pacific Partnership, is an example of a “mega-regional” free trade agreement, whose provisions on the rules of origin and trade facilitation can have potentially large impacts on the CPTPP-wide supply chains. In this paper, we investigate whether the CPTPP members are key upstream and downstream trade partners to each other in the global value chains. We develop formulas of bilateral upstreamness and downstreamness, based on the gross-export decomposition framework of Koopman, Wang and Wei (2014) and Borin and Mancini (2017). We demonstrate how the decomposition of gross exports can be used …

Essays On Human Capital, Growth And Innovation: Political Economy Perspective, Di Sima

Dissertations and Theses Collection (Open Access)

The dissertation explores the role of human capital, education, and political institutions in the process of economic and political development. The first chapter shows that economic development such as secondary school enrollment rates during the democratization period exerts long-lasting effects on growth, possibly by giving permanent birthmarks to newly minted democratic institutions. Specifically, democracies born in weak development tend to have weak institutions and slow growth, while in contrast, those with adequate development at the political transition time establish strong institutions and achieve faster growth. The second chapter explores the effect of curriculum control in schooling on national innovation and …

Institutional Management And Institutional Trading, Jingi Ha

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers in mutual fund governance or market microstructure that analyze the causal effect of board independence on mutual fund performance or the trading behavior of institutional trading and informed trading.

Chapter I studies how board independence affects fund performance, in relation to investment experience of independent directors. Using the SEC amendment in 2001 as an exogenous shock, I find that board independence does not improve or damage fund performance on average. When a fund board has independent directors with investment experience, however, it boosts fund performance. I also find that a fund manager is less …

Marginal Cost Of Risk-Based Capital And Risk-Taking, Tao Chen, Jing Rong Goh, Shinichi Kamiya, Pingyi Lou

Research Collection School Of Economics

We explore the impact of capital adequacy requirements on financial institutions' risk-taking behavior from a novel perspective. Specifically, we show that an important feature of the risk-based capital (RBC) system a built-in diversification benefit in aggregating risk categories induces moral hazard. We find that insurers that face lower marginal RBC costs of fixed-income (FI) investment tend to purchase riskier Fl securities. This relationship holds even when lower marginal RBC costs result from increased risk in other risk categories, which is an unintended consequence of the RBC's square root rule. Using Hurricanes Katrina and Sandy as exogenous shocks to the RBC …

Tax Uncertainty And Business Activity, Jungho Lee, Jianhuan Xu

Research Collection School Of Economics

We investigate the extent to which uncertainties about tax policies affect business activities. We develop a statewide tax-uncertainty measure (TU measure) and show that it captures state corporate tax uncertainty. By comparing adjacent counties across state borders, we show that increasing tax uncertainty by one standard deviation (a 30% increase in the TU measure) leads to a 0.17% point per-year decrease in the growth rate of establishments over two years. The result holds after conducting a variety of robustness checks and is not likely to be driven by general state-policy uncertainties.

The Aging Of A Young Nation: Population Aging In Singapore, Rahul Malhotra, Andre M. Muller, Su Aw, Gerald Choon Huat Koh, Yin-Leng Theng, Stephen James Hoskins, Chek Hooi Wong, Chunyan Miao, Wee-Shiong Lim, Chetna Malhotra, Angelique Chan

Research Collection School Of Economics

The juxtaposition of a young city-state showing relative maturity as a rapidly aging society suffuses the population aging narrative in Singapore and places the “little red dot” on the spotlight of international aging. We first describe population aging in Singapore, including the characteristic events that shaped this demographic transition. We then detail the health care and socioeconomic ramifications of the rapid and significant shift to an aging society, followed by an overview of the main aging research areas in Singapore, including selected population-based data sets and the main thrust of leading aging research centers/institutes. After presenting established aging policies and …

Global Value Chains And The Cptpp, Pao-Li Chang, Tran Bao Phuong Nguyen

Research Collection School Of Economics

The CPTPP, or the Comprehensive and Progressive Agreement for Trans-Pacific Partnership, is an example of a “mega-regional” free trade agreement, whose provisions on the rules of origin and trade facilitation can have potentially large impacts on the CPTPP-wide supply chains. In this paper, we investigate whether the CPTPP members are key upstream and downstream trade partners to each other in the global value chains. We develop formulas of bilateral upstreamness and downstreamness, based on the gross-export decomposition framework of Koopman, Wang and Wei (2014) and Borin and Mancini (2017). We demonstrate how the decomposition of gross exports can be used …

A Smoothed Q-Learning Algorithm For Estimating Optimal Dynamic Treatment Regime, Yanqin Fan, Ming He, Liangjun Su, Xiao-Hua Zhou

Research Collection School Of Economics

In this paper we propose a smoothed Q-learning algorithm for estimating optimal dynamic treatment regimes. In contrast to the Q-learning algorithm in which non-regular inference is involved, we show that under assumptions adopted in this paper, the proposed smoothed Q-learning estimator is asymptotically normally distributed even when the Q-learning estimator is not and its asymptotic variance can be consistently estimated. As a result, inference based on the smoothed Q-learning estimator is standard. We derive the optimal smoothing parameter and propose a data-driven method for estimating it. The finite sample properties of the smoothed Q-learning estimator are studied and compared with …

The Quest For Replicability: A Review Of Research Data Policies In Economics Journals, Melody Chin, Danping Dong

Research Collection Library

Research data openness serves as best practice and plays a critical role in facilitating the replicability and reproducibility of published research. In the field of Economics, journal data policies have been instrumental in encouraging the sharing of data and code, especially when the requirements are strict and enforceable. It is also evident that in recent years, increasing number of journals now has some form of research data policy in place. This paper attempts to analyze the data policies of the 74 general and field-specific Economics journals listed in the ranking database as part of the Tilburg University Top 100 Worldwide …

A Better Economy By "Design", Lawrence Chong

Asian Management Insights

The air was still, and I was going nowhere with the session until I asked the participants about their kids instead of talking more about the bank. The conversations soon turned chirpy as the mothers in the group spoke over one another, sharing their hearts out about their children and their hopes for them. I felt I had unlocked something new, even though this should have been obvious as this is a very family-oriented country. This experience was part of our transformation project for a Southeast Asian bank that would reshape its digital, brand and customer engagement strategy through a …

Three Essays On Information Diffusion And Market Friction, Li Guo

Dissertations and Theses Collection (Open Access)

How markets impound information into asset prices is one of the most important concerns of financial economics. Due to behavioural bias and transaction friction, information could be mispriced in the real world, thus driving market anomalies and return predictability of behavioural factors. My dissertation contributes to the literature by investigating how information can be quantified, acquired, disseminated and priced in the financial market with the existence of market frictions.

In Chapter 2, we propose an efficient method based on machine learning and textual analysis to quantify cross industry news and shed light on how news travels across different industries. The …

Three Essays On Nonstationary Time-Series Analysis And Network Dynamics, Yubo Tao

Dissertations and Theses Collection (Open Access)

My dissertation consists of three essays which contribute new theoretical results to nonstationary time-series analysis and network dynamics.

Chapter 2 examines the limit properties of information criteria (such as AIC, BIC, HQIC) for distinguishing between the unit root model and the various kinds of explosive models. The explosive models include the local-to-unit-root model, the mildly explosive model and the regular explosive model. Initial conditions with different orders of magnitude are considered. Both the OLS estimator and the indirect inference estimator are studied. It is found that BIC and HQIC, but not AIC, consistently select the unit root model when data …

An Improved Bayesian Unit Root Test In Stochastic Volatility Models, Yong Li, Jun Yu

Research Collection School Of Economics

A new posterior odds analysis is developed to test for a unit root in volatilitydynamics in the context of stochastic volatility models. Our analysis extendsthe Bayesian unit root test of So and Li (1999) in two important ways. First,a mixed informative prior distribution with a random weight is introducedfor the Bayesian unit root testing in volatility. Second, a numerically morestable algorithm is introduced to compute Bayes factor, taking into accountthe special structure of the competing models. It can be shown that theapproach introduced overcomes the problem of the diverging “size” in themarginal likelihood approach by So and Li (1999) and …

Does India's Growth Matter? Evidence From The Saarc Nations, Rohan Ray, Cledwyn Fernandez

Research Collection School Of Economics

The study estimates the extent of spillover effects that India's real per capita gross domestic product (GDP) growth rate has on the growth rates of other countries in the South Asian Association for Regional Cooperation (SAARC) region for the period 2003–2016. It also identifies whether the conventional trade channel is the means through which growth is transmitted from India to her neighboring countries. Using a random effects model, we conclude that on average, a 1 percentage point increase in India's real per capita GDP growth rate results in 0.46 percentage point increase in the per capita GDP growth rates of …

Editorial Introduction To The Special Issue Entitled: Spatial Econometrics: New Methods And Applications, Zhenlin Yang

Research Collection School Of Economics

Spatial econometrics is a fast growing research area, with the theories and methods developed over the past five decades or so being applied more and more widely, not only in the specialized fields such as regional science, real estate, economic geography, and urban economics, but also increasingly in the general fields such as economics, finance and social networks, in particular in the recent decade. One of the driving forces is perhaps the formation of the Spatial Econometrics Association (SEA) at Rome in 2006 and its subsequent annul conference started in 2007 at the Cambridge University, which have helped greatly the …

Wage-Vacancy Contracts And Multiplicity Of Equilibria In A Directed Search Model Of The Labor Market, Nicolas L. Jacquet, John Kennes, Serene Tan

Research Collection School Of Economics

This paper studies a directed search model of the labour market, which is standard in all aspects except two. First, we allow firms to post wage–vacancy contracts advertising the number of workers they would pay as well as the payment all will receive. Second, we consider two cases: one where workers are risk neutral and one where workers are risk averse, both in finite and large economies. Our paper shows that when firms post wage–vacancy contracts, whether workers are modelled as risk neutral or risk averse matters: the types of symmetric equilibria and the nature of multiplicity of equilibria are …

Housing Equity And Household Consumption In Retirement: Evidence From The Singapore Life Panel, Lipeng Chen, Liang Jiang, Sock Yong Phang, Jun Yu

Research Collection School Of Economics

We utilize data from the Singapore Life Panel© survey to empirically investigate the impact of housing equity on consumption of elderly households. Based on panel analysis, we find housing equity value has no significant impact on non-durable consumption for elderly people. The conclusion holds for a battery of robustness check. Moreover, heterogeneity analyses based on subsamples by age of household head, house type, and number of property possessed also show no significant impact of housing equity on consumption in general. Finally, we use scenario analysis to study the Lease Buyback Scheme (LBS), a novel housing equity monetization scheme which allows …

Equal-Quantile Rules In Resource Allocation With Uncertain Needs, Yan Long, Jay Sethuraman, Jingyi Xue

Research Collection School Of Economics

A group of agents have uncertain needs on a resource, and the resource has to be divided before uncertainty resolves. We propose a class of division rules we call equal-quantile rules, parameterized by λ ∈ (0, 1]. The parameter λ is a common maximal probability of satisfaction — the probability that an agent’s realized need is no more than his assignment — imposed on all agents. Thus, the maximal assignment of each agent is his λ-quantile assignment. If the endowment of the resource exceeds the sum of the agents’ λ-quantile assignments, each agent receives his λ-quantile assignment and the resource …

Jump Factor Models In Large Cross-Sections, Jia Li, Viktor Todorov, George. Tauchen

Research Collection School Of Economics

We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing cross-sectional dimension and sampling frequency, and essentially no restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high-frequency returns at the times when the risk factors are detected to have a jump. The test statistic is a cross-sectional average of a measure of discrepancy in …

Mixed Bayesian Implementation In General Environments, Takashi Kunimoto

Research Collection School Of Economics

A social choice rule is said to be mixed Bayesian implementable if one can design a mechanism (or institution) in which the set of all mixed Bayesian Nash equilibrium outcomes coincides with that specified by the rule. The objective of this paper is to generalize the results of mixed Bayesian implementation. By means of example, I first assess the implication of common priors in Bayesian implementation. Second, I identify a mild condition that fills the gap between the necessity and sufficiency for mixed Bayesian implementation in general environments including non-economic ones. Third, I establish some new results to unify the …

The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang

Research Collection School Of Economics

This note studies the testable implications of the theory of stable matchings intwo-sided matching markets with one-sided preferences. Our main result connects therevealed preference analysis to the well-known lattice structure of the set of stablematchings, and tests the rationalizability of a data set by analyzing the joins andmeets of matchings.

Robust Measures Of Earnings Surprises, Chin-Han Chiang, Wei Dai, Jianqing Fan, Harrison Hong, Jun Tu

Research Collection Lee Kong Chian School Of Business

Event studies of market efficiency measure an earnings surprise with the consensuserror (CE), defined as earnings minus the average of professional forecasts. Even if asubset of forecasts can be biased, the ideal but difficult to estimate parameter-dependentalternative to CE is a nonlinear filter of individual errors that adjusts for bias. We showthat CE is a poor parameter-free approximation for this ideal measure. The fractionof misses on the same side (FOM), by discarding the magnitude of misses, offers a farbetterapproximation. FOM performs particularly well against CE in predicting thereturns of US stocks, where bias is potentially large, than that of international …

Economic Cycles As A Source Of Social Influence On Individuals, Nina Sirola

Research Collection Lee Kong Chian School Of Business

The current review summarizes emerging research in psychology and associated disciplines showing that the economic cycles exert social influence on individuals across a range of psychological domains. Most research on social influence focused on how factors in the proximal environment impact individuals, while influences emanating from the state of the economy as a whole received far less attention. I review the development of different intellectual traditions examining social influence to explain the relative lack of attention to economic cycles and position emerging work on the topic relative to past research. I then review research on how economic cycles influence individuals …

Random Coefficient Continuous Systems: Testing For Extreme Sample Path Behavior, Yubo Tao, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive behavior according to specific regions of the parameter space that open up the potential for testing these forms of extreme behavior. A two-stage approach that employs realized volatility is proposed for the continuous system estimation, asymptotic theory is developed, and test statistics to identify the different forms of extreme sample path behavior are proposed. Simulations show that the …

Common Threshold In Quantile Regressions With An Application To Pricing For Reputation, Liangjun Su, Pai Xu

Research Collection School Of Economics

The paper develops a systematic estimation and inference procedure for quantile regression models where there may exist a common threshold effect across different quantile indices. We first propose a sup-Wald test for the existence of a threshold effect, and then study the asymptotic properties of the estimators in a threshold quantile regression model under the shrinking-threshold-effect framework. We consider several tests for the presence of a common threshold value across different quantile indices and obtain their limiting distributions. We apply our methodology to study the pricing strategy for reputation via the use of a dataset from Taobao.com. In our economic …

Asymptotic Theory For Rough Fractional Vasicek Models, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper extends the asymptotic theory for the fractional Vasicek model developed in Xiao and Yu (2018) from the case where H ∈ (1/2, 1) to the case where H ∈ (0, 1/2). It is found that the asymptotic theory of the persistence parameter (k) critically depends on the sign of k. Moreover, if k > 0, the asymptotic distribution for the estimator of k is different when H ∈ (0, 1/2) from that when H ∈ (1/2, 1).

Rank Tests At Jump Events, Jia Li, Viktor Todorov, George Tauchen, Huidi. Lin

Research Collection School Of Economics

We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh. In the first step, we form nonparametric estimates of the jump events via thresholding techniques. We then compute the eigenvalues of the outer product of the cross-section of increments at the identified jump events. The test for rank r is based on the asymptotic behavior of the …

Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin

Research Collection School Of Economics

We propose a heterogeneous time-varying panel data model with a latent group structure that allows the coefficients to vary over both individuals and time. We assume that the coefficients change smoothly over time and form different unobserved groups. When treated as smooth functions of time, the individual functional coefficients are heterogeneous across groups but homogeneous within a group. We propose a penalized-sieve-estimation-based classifier-Lasso (C-Lasso) procedure to identify the individuals’ membership and to estimate the group-specific functional coefficients in a single step. The classification exhibits the desirable property of uniform consistency. The C-Lasso estimators and their post-Lasso versions achieve the oracle …

Building An Equitable And Inclusive City Through Housing Policies: Singapore’S Experience, Sock Yong Phang

Research Collection School Of Economics

Inequality is an age-old concern. In recent years, the rise of income inequality has received worldwide media and policy attention, beginning with the Occupy movement of 2011-2012 and a wave of notable scholastic books such as Stiglitz (2012), Piketty (2014), and Atkinson (2015). Piketty’s Capital in the 21st Century, an unlikely bestseller, contained a vast amount of data showing that the rich are taking rising shares of income and wealth in the advanced economies. Piketty’s approach towards capital and wealth is an aggregative one, and he does not treat real estate or land as a different or distinct form of …