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Full-Text Articles in Economics

Illusion Of Gender Parity In Education: Intrahousehold Resource Allocation In Bangladesh, Sijia Xu, Abu S. Shonchoy, Tomoki Fujii Apr 2019

Illusion Of Gender Parity In Education: Intrahousehold Resource Allocation In Bangladesh, Sijia Xu, Abu S. Shonchoy, Tomoki Fujii

Research Collection School Of Economics

A target in the Millennium Development Goals—gender parity in all levels of education—is widely considered to have been attained. However, measuring gender parity only through school enrollment is misleading, as girls may lag behind boys in other educational measures. We investigate this with four rounds of surveys from Bangladesh by decomposing households’ education decisions into enrollment, education expenditure, and share of the education expenditure allocated for the quality of education like private tutoring. We find a strong profemale bias in school enrollment but promale bias in the other two decisions. This contradirectional gender bias is unique to Bangladesh and partly …

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Robustly Optimal Reserve Price, Wei He, Jiangtao Li Apr 2019

Robustly Optimal Reserve Price, Wei He, Jiangtao Li

Research Collection School Of Economics

We study a robust version of the single-unit auction problem. The auctioneer has confidence in her estimate of the marginal distribution of a generic bidder's valuation, but does not have reliable information about the joint distribution. In this setting, we analyze the performance of second-price auctions with reserve prices in terms of revenue guarantee, that is, the greatest lower bound of revenue across all joint distributions that are consistent with the marginals. For any finite number of bidders, we solve for the robustly optimal reserve price that generates the highest revenue guarantee. Our analysis has interesting implications in large markets. …

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Weak Σ-Convergence: Theory And Applications, Jianning Kong, Peter C. B. Phillips, Donggyu Sul Apr 2019

Weak Σ-Convergence: Theory And Applications, Jianning Kong, Peter C. B. Phillips, Donggyu Sul

Research Collection School Of Economics

The concept of relative convergence, which requires the ratio of two time series to converge to unity in the long run, explains convergent behavior when series share commonly divergent stochastic or deterministic trend components. Relative convergence of this type does not necessarily hold when series share common time decay patterns measured by evaporating rather than divergent trend behavior. To capture convergent behavior in panel data that do not involve stochastic or divergent deterministic trends, we introduce the notion of weak σ-convergence, whereby cross section variation in the panel decreases over time. The paper formalizes this concept and proposes a simple-to-implement …

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Inference In Partially Identified Panel Data Models With Interactive Fixed Effects, Shengjie Hong, Liangjun Su, Yaqi Wang Apr 2019

Inference In Partially Identified Panel Data Models With Interactive Fixed Effects, Shengjie Hong, Liangjun Su, Yaqi Wang

Research Collection School Of Economics

This paper develops methods for statistical inferences in a partially identified nonparametric panel data model with endogeneity and interactive fixed effects. We consider the case where the number of cross-sectional units (N) is large and the number of time series periods (T).as well as the number of unobserved common factors (R) are fixed. Under some normalization rules, wecan concentrateout thelarge dimen-sional parameter vector of factor loadings and specify a set of conditional moment restriction that are involved with only the finite dimensional factor parameters along with the infinite dimensional nonpara-metric component. For a conjectured restriction on the parameter, we consider …

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M-Estimators Of U-Processes With A Change-Point Due To A Covariate Threshold, Lili Tan, Yichong Zhang Apr 2019

M-Estimators Of U-Processes With A Change-Point Due To A Covariate Threshold, Lili Tan, Yichong Zhang

Research Collection School Of Economics

Economic theory often predicts a “tipping point” effect due to multiple equilibria. Linear threshold regressions estimate the “tipping point” by assuming at the same time that the response variable is linear in an index of covariates. However, economic theory rarely imposes a specific functional form, but rather predicts a monotonic relationship between the response variable and the index. We propose new, rank-based, estimators for both the “tipping point” and other regression coefficients, exploiting only the monotonicity condition. We derive the asymptotic properties of these estimators by establishing a more general result for M-estimators of U-processes with a change-point due to …

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Dynamic Credit Default Swap Curves In A Network Topology, Xiu Xu, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle Mar 2019

Dynamic Credit Default Swap Curves In A Network Topology, Xiu Xu, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle

Sim Kee Boon Institute for Financial Economics

Systemically important banks are connected and their default probabilities have dynamic dependencies. An extraction of default factors from cross-sectional credit default swap (CDS) curves allows us to analyze the shape and the dynamics of default probabilities. In extending the Dynamic Nelson Siegel (DNS) model to an across firm multivariate setting, and employing the generalized variance decomposition of Diebold and Yilmaz [On the network topology of variance decompositions: Measuring the connectedness of financial firms. J. Econom., 2014, 182(1), 119–134], we are able to establish a DNS network topology. Its geometry yields a platform to analyze the interconnectedness of long-, middle- and …

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The Extensive And Intensive Margins Of Time Investments On The Skill Development Of Children And Adolescents, Yi Rachel Tan Mar 2019

The Extensive And Intensive Margins Of Time Investments On The Skill Development Of Children And Adolescents, Yi Rachel Tan

Dissertations and Theses Collection (Open Access)

The literature on time investments and skill development has focused on estimating the intensive margins of time investments; This study explores whether including extensive margins might provide additional insights. The extensive and intensive margins of maternal time investments and child time investments (or child self-investments) in three categories of activities (educational, structured and unstructured) on the cognitive and non-cognitive skill development of children (6 to 10 years) and adolescents (11 to 15 years) are quantified by fitting skill production functions with ordinary least squares and family fixed effects specifications. Cognitive skills are assessed by three achievement test scores which indicate …

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Optimal Social Insurance With Informal Child Care, Christine Ho Mar 2019

Optimal Social Insurance With Informal Child Care, Christine Ho

Research Collection School Of Economics

The possibility of engaging in household child care may exacerbate the incentives of parents and grandparents to falsely claim disability benefits as households also get to save on formal child care costs. This paper considers a multi-generational family model with persistence in privately observed shocks and presents an efficient implementation case for subsidizing formal child care costs of the disabled. An implementation of the optimal scheme that consists of capped formal day care subsidies, non-linear income taxation and asset-testing is proposed. Simulations based on a parametrization that targets key features of the US labor and child care markets suggest that …

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Maximum Likelihood Estimation For The Fractional Vasicek Model, Katsuto Tanaka, Weilin Xiao, Jun Yu Mar 2019

Maximum Likelihood Estimation For The Fractional Vasicek Model, Katsuto Tanaka, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper is concerned about the problem of estimating the drift parameters in the fractional Vasicek model from a continuous record of observations. Based on the Girsanov theorem for the fractional Brownian motion, the maximum likelihood (ML) method is used. The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the null recurrent case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter will change the asymptotic theory for the MLE, including the rate of …

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Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou Mar 2019

Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou

Research Collection School Of Economics

The linkage among the realized volatilities across component stocks are important when modeling and forecasting the relevant index volatility. In this paper, the linkage is measured via an extended Common Correlated Effects (CCE) approach under a panel heterogeneous autoregression model where unobserved common factors in errors are assumed. Consistency of the CCE estimator is obtained. The common factors are extracted using the principal component analysis. Empirical studies show that realized volatility models exploiting the linkage effects lead to significantly better out-of-sample forecast performance, for example, an up to 32% increase in the pseudo R2. We also conduct various forecasting exercises …

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Limit Theory For Moderate Deviations From Integrated Garch Processes, Yubo Tao Mar 2019

Limit Theory For Moderate Deviations From Integrated Garch Processes, Yubo Tao

Research Collection School Of Economics

This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zakoïan (2012, 2013).

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Central Place Theory And The Power Law For Cities, Wen-Tai Hsu, Zou Xin Mar 2019

Central Place Theory And The Power Law For Cities, Wen-Tai Hsu, Zou Xin

Research Collection School Of Economics

This chapter provides a review of the link between central place theory and the power laws for cities. A theory of city size distribution is proposed via a central place hierarchy a la Christaller (1933) either as an equilibrium results or an optimal allocation. Under a central place hierarchy, it is shown that a power law for cities emerges if the underlying heterogeneity in economies of scale across good is regularly varying. Furthermore, we show that an optimal allocation of cities conforms with a central place hierarchy if the underlying heterogeneity in economies of scale across good is a power …

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Why Are Americans So Divided On Refugee Policy?, Shilpa Madan, Shankha Basu, Aneeta Rattan, Krishna Savani Mar 2019

Why Are Americans So Divided On Refugee Policy?, Shilpa Madan, Shankha Basu, Aneeta Rattan, Krishna Savani

Research Collection Lee Kong Chian School Of Business

The U.S. will resettle the lowest number of refugees in fiscal year 2019 since the Refugee Act was passed in 1980. After taking office, President Donald Trump reduced the admission limit from 110,000 in 2017 to 45,000 in 2018, and to 30,000 in 2019. The reduction is not a result of fewer refugees seeking resettlement. On the contrary, the number of people seeking resettlement is on the rise.

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Actuarial Modeling And Analysis Of The Hong Kong Life Annuity Scheme, Koon Shing Kwong, Wai-Sum Chan, Johnny Siu-Hang Li Mar 2019

Actuarial Modeling And Analysis Of The Hong Kong Life Annuity Scheme, Koon Shing Kwong, Wai-Sum Chan, Johnny Siu-Hang Li

Research Collection School Of Economics

The Hong Kong Mortgage Corporation (HKMC) Limited, which was established in March 1997 and is wholly owned by the government of the Hong Kong Special Administrative Region, has a major mission to develop and provide different financial retirement instruments to Hong Kong residents to help address the income poverty of retirees. In June 2017, HKMC Annuity Limited, a wholly-owned subsidiary of the HKMC was incorporated to implement a new life annuity scheme which would be launched by mid-2018 to cater for the needs of cash-rich Hong Kong old age residents. The objective of the scheme is to provide an additional …

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Does Foreign Direct Investment Lead To Industrial Agglomeration?, Wen-Tai Hsu, Yi Lu, Xuan Luo, Lianming Zhu Mar 2019

Does Foreign Direct Investment Lead To Industrial Agglomeration?, Wen-Tai Hsu, Yi Lu, Xuan Luo, Lianming Zhu

Research Collection School Of Economics

This paper studies the effect of foreign direct investment (FDI) on industrial agglomeration.Using the differential effects of FDI deregulation in 2002 in China on different industries, we find that FDI actually affects industrial agglomeration negatively. This result is somewhat counter-intuitive, as the conventional wisdom tends to suggest that FDI attracts domestic firms to cluster for various agglomeration benefits, in particular technology spillovers. To reconcile our empirical findings and the conventional wisdom, we develop a theory of FDI and agglomeration based on two counter-veiling forces. Technology diffusion from FDI attracts domestic firms to cluster, but fiercer competition drives firms away. Which …

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Bicentennial Commemoration Has To Be More Than Just An Anniversary, Tan K. B. Eugene Feb 2019

Bicentennial Commemoration Has To Be More Than Just An Anniversary, Tan K. B. Eugene

Research Collection Yong Pung How School Of Law

In a commentary, SMU Associate Professor of Law Eugene Tan examined the significance of the bicentennial commemoration to mark the 200th anniversary of the arrival of Sir Stamford Raffles on January 29, 1819. He cautioned that such commemorations cannot be just about sentimentality, novelty or the feel-good factor of how far Singapore has come along but should instead encourage us to think and remember as well as to learn the invaluable lessons of our past.

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Social Policy Reform And Rigidity In Singapore's Authoritarian Developmental State, Lily Zubaidah Rahim, Lam Keong Yeoh Feb 2019

Social Policy Reform And Rigidity In Singapore's Authoritarian Developmental State, Lily Zubaidah Rahim, Lam Keong Yeoh

Research Collection School Of Economics

Singapore’s economic achievements have been widely applauded as a model worthy of emulation, particularly by authoritarian and rapidly industrialising economies. Yet, the city-state retains the dubious distinction of being one of the most inequitable countries in the world—in income inequality terms. Singapore is the only developed economy where workers are not entitled to a minimum wage or compulsory retrenchment benefits. However, following the 2011 electoral backlash against the long-serving People’s Action Party (PAP) government, numerous social policy reforms were introduced. But have these social policy reforms been effective in qualitatively addressing income and socio-economic inequality? To address this question, the …

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Regional Prevalence Of Health Worker Absenteeism In Tanzania, Tomoki Fujii Feb 2019

Regional Prevalence Of Health Worker Absenteeism In Tanzania, Tomoki Fujii

Research Collection School Of Economics

Absenteeism of health workers in developing countries is common and can severely undermine the reliability of the health system. Therefore, it is important to understand where the prevalence of absenteeism is high. We develop a simple imputation method that combines a Service Delivery Indicators survey and a Service Provision Assessment survey to estimate the prevalence of absenteeism of health workers at the level of regions in Tanzania. The resulting estimates allow one to identify the regions in which the prevalence of absenteeism is significantly higher or lower than the national average and help policymakers determine priority areas for intervention.

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Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung Feb 2019

Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung

Research Collection School Of Economics

Non-response is a commonly encountered problem in many population-based surveys. Broadly speaking, non-response can be due to refusal or failure to contact the sample units. Although both types of non-response may lead to bias, there is much evidence to indicate that it is much easier to reduce the proportion of non-contacts than to do the same with refusals. In this article, we use data collected from a nationally-representative survey under the Demographic and Health Surveys program to study non-response due to refusals to HIV testing in Malawi. We review existing estimation methods and propose novel approaches to the estimation of …

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Sanctions For Nuclear Inhibition: Comparing Sanctions Conditions Between Iran And North Korea, Inwook Kim, Jung-Chul Lee Feb 2019

Sanctions For Nuclear Inhibition: Comparing Sanctions Conditions Between Iran And North Korea, Inwook Kim, Jung-Chul Lee

Research Collection School of Social Sciences

Whendo sanctions succeed in nuclear inhibition? Is there a generalizable frameworkto estimate sanction effectiveness against nuclear aspirants? Instead ofrelying on partial equilibrium analysis, we conceptualize sanctions as threesequential phases—imposition of economic pain, conversation to politicalpressure, and creation (or failure thereof) of zone of possible agreement(ZOPA). The effectiveness of each phase is subject to phase-specific contextualvariables, an aggregation of which helps measure individual sanction’s effectiveness,conduct cross-case comparison, and estimate one’s replicability in other cases.To illustrate its analytical utility, we analyze the divergent sanctionoutcomes between Iran in 2012-2015 and North Korea 2013-2017. Iran waseconomically more vulnerable, politically less resilient, and its bargainingposition …

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Efficient Estimation Of Integrated Volatility Functionals Via Multi-Scale Jackknife, Jia Li, Yunxiao Liu, Dacheng. Xiu Feb 2019

Efficient Estimation Of Integrated Volatility Functionals Via Multi-Scale Jackknife, Jia Li, Yunxiao Liu, Dacheng. Xiu

Research Collection School Of Economics

We propose semiparametrically efficient estimators for general integrated volatility functionals of multivariate semimartingale processes. A plug-in method that uses nonparametric estimates of spot volatilities is known to induce high-order biases that need to be corrected to obey a central limit theorem. Such bias terms arise from boundary effects, the diffusive and jump movements of stochastic volatility and the sampling error from the nonparametric spot volatility estimation. We propose a novel jackknife method for bias correction. The jackknife estimator is simply formed as a linear combination of a few uncorrected estimators associated with different local window sizes used in the estimation …

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Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu Feb 2019

Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method …

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Stock Recommendations In China: Buyer Beware, Singapore Management University Jan 2019

Stock Recommendations In China: Buyer Beware, Singapore Management University

Perspectives@SMU

Research analysts have incentives to issue positive recommendations; social ties with fund managers exert considerable influence

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The World In 2019, Vaibhav Sahgal Jan 2019

The World In 2019, Vaibhav Sahgal

Library Events

The speaker shared the key themes that will shape the world in 2019. Some of the themes include the economics of artificial intelligence (AI), central macroeconomics forecast drivers, country outlooks of important countries in Asia / ASEAN region and major global forecast risk in 2019.

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Climate Risks And Market Efficiency, Harrison Hong, Frank Weikai Li, Jiangmin Xu Jan 2019

Climate Risks And Market Efficiency, Harrison Hong, Frank Weikai Li, Jiangmin Xu

Research Collection Lee Kong Chian School Of Business

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each year based on their long-term trends toward droughts using the Palmer Drought Severity Index. A poor trend ranking for a country forecasts relatively poor profit growth for food companies in that country. It also forecasts relatively poor food stock returns in that country. This return predictability is consistent with food stock prices underreacting to climate change risks.

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Intraday Information From S&P 500 Index Futures Options, Kian Guan Lim, Chen Ying, Kian Leong Nelson Yap Jan 2019

Intraday Information From S&P 500 Index Futures Options, Kian Guan Lim, Chen Ying, Kian Leong Nelson Yap

Research Collection Lee Kong Chian School Of Business

In this paper we employ intraday transaction prices of liquid E-mini S&P 500 index futuresoptions to form 10-minutes ahead risk-neutral skewness forecasts and show profitable optionstrading strategy net of transaction costs. We do not find profitable trading based on 10-minutesahead risk-neutral volatility and only very marginal cases of profitable trading using kurtosisforecasts. The skewness profitability anomaly may be an indication of informational marketinefficiency in intraday S&P 500 futures options markets, which is contrary to findings usinglonger-span daily and weekly moments. Our results lend credence to the persistence of intradaytrading activities in the markets.

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A Two-Round In-Class Trading Game On The Principle Of Comparative Advantage And The Theory Of Reciprocal Demand, Bei Hong Jan 2019

A Two-Round In-Class Trading Game On The Principle Of Comparative Advantage And The Theory Of Reciprocal Demand, Bei Hong

Research Collection School Of Economics

This paper outlines a classroom trading game that explores equilibrium terms of trade using the principle of comparative advantage and theory of reciprocal demand. Students are divided into eight groups. Each group is assigned a country with hypothetical productivity and each country seeks its trading partner based on comparative advantage. Students simulate the trading of goods between countries with the objective of achieving the best possible terms of trade. The game encourages students to reflect on their learning of the principle of comparative advantage, consider improvements in trade terms through negotiation, and summarize the conditions for mutually beneficial terms of …

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Nonstationary Panel Models With Latent Group Structures And Cross-Section Dependence, Wenxin Huang, Sainan Jin, Peter C. B. Phillips, Liangjun Su Jan 2019

Nonstationary Panel Models With Latent Group Structures And Cross-Section Dependence, Wenxin Huang, Sainan Jin, Peter C. B. Phillips, Liangjun Su

Research Collection School Of Economics

This paper proposes a novel Lasso-based approach to handle unobserved parameter heterogeneity and cross-section dependence in nonstationary panel models. In particular, a penalized principal component (PPC) method is developed to estimate group-specific long-run relationships and unobserved common factors and jointly to identify the unknown group membership. The PPC estimators are shown to be consistent under weakly dependent innovation processes. But they suffer an asymptotically non-negligible bias from correlations between the nonstationary regressors and unobserved stationary common factors and/or the equation errors. To remedy these shortcomings we provide three bias-correction procedures under which the estimators are re-centered about zero as both …

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Volatility Spillovers Among Oil And Stock Markets In The Us And Saudi Arabia, Marinela Adriana Finta, Bart Frijns, Alireza Tourani-Rad Jan 2019

Volatility Spillovers Among Oil And Stock Markets In The Us And Saudi Arabia, Marinela Adriana Finta, Bart Frijns, Alireza Tourani-Rad

Research Collection Lee Kong Chian School Of Business

In this article, we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the times when oil’s trading hours overlap with the US and Saudi Arabian stock markets, the volatility spillover from oil to the stock markets is higher than the other way around. We highlight the importance of taking into consideration the information present during continuous trading hours of oil, especially during simultaneous trading hours with the stock markets. …

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Competition, Markups, And Gains From Trade: A Quantitative Analysis Of China Between 1995 And 2004, Wen-Tai Hsu, Yi Lu, Guiying Laura Wu Jan 2019

Competition, Markups, And Gains From Trade: A Quantitative Analysis Of China Between 1995 And 2004, Wen-Tai Hsu, Yi Lu, Guiying Laura Wu

Research Collection School Of Economics

This paper provides a quantitative analysis of gains from trade in a model with head-to-head competition using Chinese firm-level data from Economic Censuses in 1995 and 2004. We find a significant reduction in trade cost during this period, and total gains from such improved openness during this period is 7:1%. The gains are decomposed into a Ricardian component and two pro-competitive ones. The procompetitive effects account for 20% of the total gains. Moreover, the total gains from trade are 13 31% larger than what would result from the formula provided by ACR (Arkolakis, Costinot, and Rodríguez-Clare 2012), which nests a …

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