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Articles 121 - 150 of 1733
Full-Text Articles in Economics
High Frequency Principal Component Analysis Based On Correlation Matrix That Is Robust To Jumps, Microstructure Noise And Asynchronous Observation Times, Dachuan Chen
Research Collection School Of Economics
This paper developed the high frequency estimation for the principal component analysis (PCA) based on correlation matrix. This estimation methodology is robust to jumps, microstructure noise and asynchronous observation times simultaneously, which is enabled by the newly proposed Truncated and Smoothed Two-Scales Realized Volatility (Truncated S-TSRV) estimator. The general framework of our methodology is constructed based on the estimation of realized spectral functions with respect to the spot correlation matrix. A new asymptotic representation for the element-wise estimation error of the spot correlation matrix estimate has been derived, resulting in a new bias correction term which is much more complex …
Bootstrap Inference For Quantile Treatment Effects In Randomized Experiments With Matched Pairs, Liang Jiang, Xiaobin Liu, Peter C B Phillips, Yichong Zhang
Bootstrap Inference For Quantile Treatment Effects In Randomized Experiments With Matched Pairs, Liang Jiang, Xiaobin Liu, Peter C B Phillips, Yichong Zhang
Research Collection School Of Economics
This paper examines methods of inference concerning quantile treatment effects (QTEs) in randomized experiments with matched-pairs designs (MPDs). Standard multiplier bootstrap inference fails to capture the negative dependence of observations within each pair and is therefore conservative. Analytical inference involves estimating multiple functional quantities that require several tuning parameters. Instead, this paper proposes two bootstrap methods that can consistently approximate the limit distribution of the original QTE estimator and lessen the burden of tuning parameter choice. Most especially, the inverse propensity score weighted multiplier bootstrap can be implemented without knowledge of pair identities.
Life Satisfaction Changes And Adaptation In The Covid-19 Pandemic: Evidence From Singapore, Terence C. Cheng, Seonghoon Kim, Kanghyock Koh
Life Satisfaction Changes And Adaptation In The Covid-19 Pandemic: Evidence From Singapore, Terence C. Cheng, Seonghoon Kim, Kanghyock Koh
Research Collection School Of Economics
We provide novel evidence on how COVID-19 affected overall life satisfaction using a monthly longitudinal survey of middle-aged and older Singaporeans. We study how the subjective well-being of individuals evolves over the course of 18 months including the outbreak of the pandemic, the implementation of the lockdown and the spike of cases due to the delta variant in a country where COVID-19 is controlled in a sustained manner. Using an event-study design framework, we find large declines in overall life satisfaction in the lead-up to and following the lockdown. Fifteen months after the outbreak of the pandemic, and 13 months …
Obfuscation And Rational Inattention, Aljoscha Janssen, Johannes Kasinger
Obfuscation And Rational Inattention, Aljoscha Janssen, Johannes Kasinger
Research Collection School Of Economics
We study the behavior of duopolistic firms that can obfuscate their prices before competing on price. Obfuscation affects the rational inattentive consumers' optimal information strategy, which determines the probabilistic demand. Our model advances related models by allowing consumers to update their unrestricted prior beliefs with an informative signal of any form. We show that the game may result in an obfuscation equilibrium with high prices or a transparency equilibrium with low prices and no obfuscation, providing an argument for market regulation. Obfuscation equilibria cease to exist for low information costs and if one firm seems a priori considerably more attractive.
Migration And Resource Misallocation In China, Xiaolu Li, Lin Ma, Yang Tang
Migration And Resource Misallocation In China, Xiaolu Li, Lin Ma, Yang Tang
Research Collection School Of Economics
We structurally estimate the firm-level frictions across prefectures in China and quantify their aggregate and distributional implications. Based on a general equilibrium model with input and output distortions and migration, we show that the firm-level frictions are less dispersed and less correlated with firm productivity in richer prefectures. Counterfactual exercises show that reducing the within-prefecture misallocation increases aggregate welfare, discourages migration toward large prefectures, and reduces spatial inequality. Moreover, internal migration alleviates micro-frictions’ impacts on aggregate welfare and worsens their effects on spatial inequality.
The Distributional Impacts Of Transportation Networks In China, Lin Ma, Yang Tang
The Distributional Impacts Of Transportation Networks In China, Lin Ma, Yang Tang
Research Collection School Of Economics
We document that the quality of roads and railroads vary substantially over time and space in China, and neglecting these variations biases the distributional impacts of transportation networks. To account for quality differences, we construct a new panel dataset and approximate quality using the design speed of roads and railroads that varies by vintage, class, and terrain at the pixel level. We then build a dynamic spatial general equilibrium model for multiple modes, transportation routes, and forward-looking migration decisions. Our findings demonstrate that disregarding quality differences leads to a median bias of approximately 31% in estimating real wage growth rates …
Panel Data Models With Time-Varying Latent Group Structures, Yiren Wang, Peter C. B. Phillips, Liangjun Su
Panel Data Models With Time-Varying Latent Group Structures, Yiren Wang, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism, the model may have different numbers of groups and/or different group memberships before and after the break. With preliminary nuclear norm regularized estimation followed by row- and column-wise linear regressions, we estimate the break point based on the idea of binary segmentation and the latent group structures together with the number of groups before and after the break by sequential testing K-means algorithm simultaneously. It is …
Interim Regret Minimization, Wei He, Jiangtao Li, Kexin Wang
Interim Regret Minimization, Wei He, Jiangtao Li, Kexin Wang
Research Collection School Of Economics
We consider a robust version of monopoly pricing when the seller only knows the bound on valuations and the mean of the distribution of the buyer’s value. The seller seeks to minimize interim regret, the forgone expected revenue due to not knowing the distribution of the buyer’s value. The optimal pricing policy randomizes over a range of prices; the support of the pricing policy is bounded away from zero.
Who Watched Pre/Post-Lecture Tutorial Videos? Does Flipped Learning Help Beginners In Economics?, Bei Hong
Who Watched Pre/Post-Lecture Tutorial Videos? Does Flipped Learning Help Beginners In Economics?, Bei Hong
Research Collection School Of Economics
The modern-day classroom is characterized by academic diversity, with students from varied backgrounds and with different levels of prior knowledge. To cater to the diverse abilities of students, this paper explored the use of flipped learning as a teaching approach in an introductory economics course. We investigated the effectiveness of 40 pre-lecture videos covering basic concepts and 27 post-lecture tutorial videos focusing on practice in improving students' exam outcomes, especially for beginners in economics who may require more support from instructors than other students. We collected data about video engagement and students' grades in progress assessments. Surveys were conducted to …
Testing The Dimensionality Of Policy Shocks, Jia Li, Viktor Todorov, Qiushi Zhang
Testing The Dimensionality Of Policy Shocks, Jia Li, Viktor Todorov, Qiushi Zhang
Research Collection School Of Economics
This paper provides a nonparametric test for deciding the dimensionality of a policy shock as manifest in the abnormal change in asset returns' stochastic covariance matrix, following the release of a macroeconomic announcement. We use high-frequency data in local windows before and after the event to estimate the covariance jump matrix, and then test its rank. We find a one-factor structure in the covariance jump matrix of the yield curve resulting from the Federal Reserve's monetary policy shocks prior to the 2007-2009 financial crisis. The dimensionality of policy shocks increased afterwards due to the use of unconventional monetary policy tools.
Optimal Inference For Spot Regressions, Tim Bollerslev, Jia Li, Yuexuan Ren
Optimal Inference For Spot Regressions, Tim Bollerslev, Jia Li, Yuexuan Ren
Research Collection School Of Economics
Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas with high-frequency data. The "local Gaussian" property of the generic continuous-time benchmark model enables optimal "finite-sample" inference in a well-defined sense. It also affords more reliable inference in empirically realistic settings compared to conventional large-sample approaches. Two applications pertaining to the tracking performance of leveraged ETFs and an intraday event study illustrate the practical usefulness of the new procedures.
Enhancing Sell-Type Home Reversion Products For Retirement Financing, Koon Shing Kwong, Jing Rong Goh, Ting Lin Collin Chua
Enhancing Sell-Type Home Reversion Products For Retirement Financing, Koon Shing Kwong, Jing Rong Goh, Ting Lin Collin Chua
Research Collection School Of Economics
Loan-type reverse mortgage plans and sell-type home reversion plans for retirement financing are two well-known equity release plans that entitle homeowners not only to release cash from their properties but also to allow them to age in place. Recently, a new hybrid equity release plan was proposed to incorporate the home reversion plan’s features with an option of staying in the property for a fixed period without being subject to survival. This additional option provides flexibility to homeowners to better meet their retirement financial and personal needs by reducing the financial uncertainty of home reversion products. In this article, we …
Cross-Border Technology Investments In Recession, Juliana Yu Sun, Huanhuan Zheng
Cross-Border Technology Investments In Recession, Juliana Yu Sun, Huanhuan Zheng
Research Collection School Of Economics
Utilizing industry-level foreign direct investment (FDI) from 72 source markets to 122 destination markets between 2003 to 2018, we evaluate how cross-border technology investments respond to economic recessions. We find that FDI embedded with intensive research and development (R&D) drops when the destination market is in a recession and the source market is in a normal state and recovers to the pre-recession levels when both destination and source markets are in recession. However, there is little evidence that recessions affect cross-border investments in other aspects of technology measured by the penetration of robots, intellectual property products and information and communications …
The Long And Short-Run Spatial Impacts Of Trade, Lin Ma, Yunlong Song, Yang Tang
The Long And Short-Run Spatial Impacts Of Trade, Lin Ma, Yunlong Song, Yang Tang
Research Collection School Of Economics
We explore how the spatial impacts of trade evolve over time using a dynamic spatial model that incorporates capital accumulation and skill acquisition. We show that in the short run, the spatial impacts of trade mainly depend on the initial conditions, especially the endowments of physical and human capital across locations. However, in the long run, trade shocks shape the distribution of production factors across space through factor accumulation and migration, resulting in significantly different spatial impacts. In the context of China’s WTO accession, we find that international trade is seven times more effective in driving the population towards coastal …
Optimal Nonparametric Range-Based Volatility Estimation, Tim Bollerslev, Jia Li, Qiyuan Li
Optimal Nonparametric Range-Based Volatility Estimation, Tim Bollerslev, Jia Li, Qiyuan Li
Research Collection School Of Economics
We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures.
Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yui Lim Lui, Peter C. B. Phillips, Jun Yu
Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yui Lim Lui, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new test has stable size properties unlike conventional test statistics that typically lead to size distortion and inconsistency in the presence of strongly dependent equation errors. The new procedure can be used to consistently time-stamp the origination and termination of an explosive episode under similar conditions of long memory errors. Simulations are conducted to assess the finite …
High-Dimensional Iv Cointegration Estimation And Inference, Peter C. B. Phillips, Igor L. Kheifets
High-Dimensional Iv Cointegration Estimation And Inference, Peter C. B. Phillips, Igor L. Kheifets
Research Collection School Of Economics
A semiparametric triangular systems approach shows how multicointegrating linkages occur naturally in an I(1) cointegrated regression model when the long run error variance matrix in the system is singular. Under such singularity, cointegrated I(1) systems embody a multicointegrated structure that makes them useful in many empirical settings. Earlier work shows that such systems may be analyzed and estimated without appealing to the associated I(2) system but with suboptimal convergence rates and potential asymptotic bias. The present paper develops a robust approach to estimation and inference of such systems using high dimensional IV methods that have appealing asymptotic properties like those …
Childlessness And Sibling Positioning In Upward Intergenerational Support: Insights From Singapore, Dahye Kim, Christine Ho, Bussarawan Teerawichitchainan
Childlessness And Sibling Positioning In Upward Intergenerational Support: Insights From Singapore, Dahye Kim, Christine Ho, Bussarawan Teerawichitchainan
Research Collection School Of Economics
Objective: This brief report aims to explore the role of child-lessness and its interaction with sibling positioning (i.e., birth order and gender) in upward intergenerational support within the context of Asian familial and patrilineal values. Background: Despite the increasing rates of childlessness in Asia, little is known about how childless individuals deviate from or adhere to the patrilineal gendered practices of supporting their older parents. Singapore, a rapidly aging nation that emphasises Confucian familism values and patrilineal practices in guiding its welfare policies, provides an ideal setting for this research investigation. Method: We analysed a sample of 475 Singaporeans aged …
Statistical Discrimination And Duration Dependence In A Semistructural Model, Ismail Baydur, Jianhuan Xu
Statistical Discrimination And Duration Dependence In A Semistructural Model, Ismail Baydur, Jianhuan Xu
Research Collection School Of Economics
This article develops a job-search model with unobserved worker heterogeneity and learning about worker types from unemployment duration. The model features negative duration dependence that stems from unobserved heterogeneity, skill depreciation, and statistical discrimination. We estimate job-finding rates implied by our model using microlevel data from the Current Population Survey. We find that removing interview costs counterfactually, thereby eliminating statistical discrimination, substantially increases the job-finding rates of the long-term unemployed. The performance of low-skill workers at the interview stage with discriminating firms plays a key role in explaining our counterfactual result.
Equal Predictive Ability Tests Based On Panel Data With Applications To Oecd And Imf Forecasts, Oguzhan Akgun, Alain Pirotte, Giovanni Urga, Zhenlin Yang
Equal Predictive Ability Tests Based On Panel Data With Applications To Oecd And Imf Forecasts, Oguzhan Akgun, Alain Pirotte, Giovanni Urga, Zhenlin Yang
Research Collection School Of Economics
We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, S-statistics, focuses on the overall EPA hypothesis, which states that the EPA holds, on average, over all panel units and over time. The second type, C-statistics, focuses on the clustered EPA hypothesis where the EPA holds jointly for a fixed number of clusters of panel units. The asymptotic properties of the proposed tests are evaluated under weak and strong cross-sectional dependence. An extensive Monte Carlo simulation shows that the proposed tests have very good finite sample properties, …
On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Jun Yu, Chen Zhang
On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Jun Yu, Chen Zhang
Research Collection School Of Economics
This paper investigates the performance of different forecasting formulas with fractional Brownian motion based on discrete and finite samples. Existing literature presents two formulas for generating optimal forecasts when continuous records are available. One formula relies on a history over an infinite past, while the other is designed for a record limited to a finite past. In reality, only observations at discrete time points over a finite past are available. In this case, the forecasting formula, which has been widely used in the literature, is the one obtained by Gatheral et al. (2018) that truncates and discretizes the formula based …
A Conditional Linear Combination Test With Many Weak Instruments, Dennis Lim, Wenjie Wang, Yichong Zhang
A Conditional Linear Combination Test With Many Weak Instruments, Dennis Lim, Wenjie Wang, Yichong Zhang
Research Collection School Of Economics
We consider a linear combination of jackknife Anderson-Rubin (AR) and orthogonalized Lagrangian multiplier (LM) tests for inference in IV regressions with many weak instruments and heteroskedasticity. We choose the weight in the linear combination based on a decision-theoretic rule that is adaptive to the identification strength. Under both weak and strong identifications, the proposed linear combination test controls asymptotic size and is admissible. Under strong identification, we further show that our linear combination test is the uniformly most powerful test against local alternatives among all tests that are constructed based on the jackknife AR and LM tests only and invariant …
The Depth Of Preferential Trade Agreements, Pao-Li Chang, Wei Jin, Kefang Yao
The Depth Of Preferential Trade Agreements, Pao-Li Chang, Wei Jin, Kefang Yao
Research Collection School Of Economics
Preferential trade agreements (PTAs) have increased rapidly in number since the 1990s, and have extended their traditional focus on tariff reduction to include deeper integration in policy areas such as competition policy, intellectual property rights, investments, and movement of capital. This paper uses a comprehensive dataset on the content of PTAs to quantify the impacts of the depth of trade agreements on bilateral trade flows and national welfare across the world for the period 1980–2015. The results indicate that agreements that are deeper (by different definitions) contribute to larger trade growth and welfare gains. Furthermore, the results imply that the …
Dynamic Factor Copula Models With Estimated Cluster Assignments, Dong Hwan Oh, Andrew John Patton
Dynamic Factor Copula Models With Estimated Cluster Assignments, Dong Hwan Oh, Andrew John Patton
Research Collection School Of Economics
This paper proposes a dynamic multi-factor copula for use in high-dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned using SIC industry codes, market capitalization ranks, or other ad hoc methods. We adapt the k-means clustering algorithm for use in our application and show that it has excellent finite-sample properties. Applying the new model to returns on 110 US equities, we find around 20 clusters to be optimal. In out-of-sample forecasts, we find that a model with as few as five …
Market For Patents, Monopoly, And Misallocation, Shang-Jin Wei, Jianhuan Xu, Ge Yin, Xiaobo Zhang
Market For Patents, Monopoly, And Misallocation, Shang-Jin Wei, Jianhuan Xu, Ge Yin, Xiaobo Zhang
Research Collection School Of Economics
The paper studies a possible “dark side” of patent trade in enhancing the market power of monopolists. We explore the different effects of China’s 2008 tax reform on patent innovations and sales across industries. In particular, although easier patent trade leads to more patent creation, the new patents are disproportionately connected to existing monopolists and are more likely to be acquired by them. Using an endogenous growth model with patent trade, we show that subsidizing patent trade could skew investors’ research to appeal to the monopolists, increase the latter’s monopoly power, and reduce social welfare. An optimal subsidy policy for …
Gender Divergence In Premarket Skill Acquisition And Wage Inequality, Sunha Myong
Gender Divergence In Premarket Skill Acquisition And Wage Inequality, Sunha Myong
Research Collection School Of Economics
I study the changes in premarket skills and the evolution of the wage distribution across two cohorts using the NLSY79 and NLSY97. To estimate the relative importance of changes in premarket skills and changes in skill prices in explaining the evolution of the wage distribution, I apply the DiNardo, Fortin, and Lemieux decomposition method (DiNardo et al. 1996). I find a substantial gender divergence in premarket skill acquisition and wage gain across the two cohorts. Women's wage gain associated with changes in premarket skills is greater than that of men's at all levels of the wage distribution. Changes in premarket …
Decomposability And Strategy-Proofness In Multidimensional Models, Shurojit Chatterji, Huaxia Zeng
Decomposability And Strategy-Proofness In Multidimensional Models, Shurojit Chatterji, Huaxia Zeng
Research Collection School Of Economics
We introduce the notion of a multidimensional hybrid preference domain on a (finite) set of alternatives that is a Cartesian product of finitely many components. We demonstrate that in a model of public goods provision, multidimensional hybrid preferences arise naturally through assembling marginal preferences under the condition of semi-separability - a weakening of separability. The main result shows that under a suitable “richness” condition, every strategy-proof rule on this domain can be decomposed into component-wise strategy-proof rules, and more importantly every domain of preferences that reconciles decomposability of rules with strategy-proofness must be a multidimensional hybrid domain.
Information Loss In Volatility Measurement With Flat Price Trading, Peter C. B. Phillips, Jun Yu
Information Loss In Volatility Measurement With Flat Price Trading, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
A model of financial asset price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the effcient price and a Bernoulli process that determines the extent of price trading. The approach is related to sticky price modeling and the Calvo pricing mechanism in macroeconomic dynamics. A limit theory for the conventional realized volatility (RV) measure of integrated volatility is developed. The results show that RV is still consistent but has an inflated asymptotic variance that depends on the probability of flat trading. Estimated quarticity is …
How Tiktok “Locks In” Its Users With Reference To What Happened In The Homeland Version Douyin Application, Yang Yang, Li Zi'ang, Zhigen Zhao, Sabrina (Zi Tong) Peng, Liyu Dou, Changyu Li, Yinqi Wang
How Tiktok “Locks In” Its Users With Reference To What Happened In The Homeland Version Douyin Application, Yang Yang, Li Zi'ang, Zhigen Zhao, Sabrina (Zi Tong) Peng, Liyu Dou, Changyu Li, Yinqi Wang
Research Collection School Of Economics
In October 2022, Douyin, the homeland version of TikTok, introduced a new rule requiring all its users to promote only Douyin-approved products during their live-streaming events and in their non-live short-videos. This requirement essentially restricts its users to monetize their content strictly through Douyin-approved products, as promoting products has become the most important source of income for Douyin users. This requirement essentially creates a lock-in effect.
Financial Crisis And Female Entrepreneurship: Evidence From South Korea, Jungho Lee, Sunha Myong
Financial Crisis And Female Entrepreneurship: Evidence From South Korea, Jungho Lee, Sunha Myong
Research Collection School Of Economics
We document a drastic increase in female-owned manufacturing firms in South Korea after the 1997 financial crisis. During the crisis, a major banking sector reform was conducted, and many underperforming bank branches were forced to close down. Using a geographical variation of bank branch closures during the reform, we show that the banking sector reform resulted in a rise in female entrepreneurship. We present evidence that male-owned firms were preferred by the closeddown bank branches, despite female-owned firms exhibiting lower risks and higher returns. The banking sector reform, although not explicitly aimed at addressing gender disparities, substantially benefited female entrepreneurs …