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Articles 871 - 900 of 1733
Full-Text Articles in Economics
Unit Roots In Life: A Graduate Student Story, Peter C. B. Phillips
Unit Roots In Life: A Graduate Student Story, Peter C. B. Phillips
Research Collection School Of Economics
What follows is a graduate student story. It draws on the first part of the speech I gave that evening at the NZESG conference dinner. It mixes personal reflections with recollections of the extraordinary New Zealanders who shaped my thinking as a graduate student and beginning researcher-people who have had an enduring impact on my work and career as an econometrician. The story traces out these human initial conditions and unit roots that figure in my early life of teaching and research.
Nonlinearity Induced Weak Instrumentation, Ioannis Kasparis, Peter C. B. Phillips, Tassos Magdalinos
Nonlinearity Induced Weak Instrumentation, Ioannis Kasparis, Peter C. B. Phillips, Tassos Magdalinos
Research Collection School Of Economics
In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the regression function can significantly affect the relevance of the instruments. In particular, such instruments become weak when the signal of the regressor is strong, as it is in the NI case. Instruments based on integrable functions of lagged NI regressors display long range dependence and so remain relevant even at long lags, continuing to contribute to …
A Combined Approach To The Inference Of Conditional Factor Models, Yan Li, Liangjun Su, Yuewu Xu
A Combined Approach To The Inference Of Conditional Factor Models, Yan Li, Liangjun Su, Yuewu Xu
Research Collection School Of Economics
This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature -- the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new test statistics for investigating key hypotheses in the context of conditional factor models. Our tests can be performed on a single asset or jointly across multiple assets. We further propose a novel test to directly check whether the parametric model used in our first …
Shrinkage Estimation Of Regression Models With Multiple Structural Changes, Junhui Qian, Liangjun Su
Shrinkage Estimation Of Regression Models With Multiple Structural Changes, Junhui Qian, Liangjun Su
Research Collection School Of Economics
In this paper we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso (least absolute shrinkage and selection operator). We show that with probability tending to one our method can correctly determine the unknown number of breaks and the estimated break dates are sufficiently close to the true break dates. We obtain estimates of the regression coefficients via post Lasso and establish the asymptotic distributions of the estimates of both break ratios and regression coefficients. We also propose and validate a data-driven method to determine the tuning parameter. Monte Carlo …
The People Want The Fall Of The Regime: Schooling, Political Protest, And The Economy, Filipe R. Campante, Davin Chor
The People Want The Fall Of The Regime: Schooling, Political Protest, And The Economy, Filipe R. Campante, Davin Chor
Research Collection School Of Economics
We provide evidence that economic circumstances are a key intermediating variable for understanding the relationship between schooling and political protest. Using the World Values Survey, we find that individuals with higher levels of schooling, but whose income outcomes fall short of that predicted by their biographical characteristics, in turn display a greater propensity to engage in protest activities. We discuss a number of interpretations that are consistent with this finding, including the idea that economic conditions can affect how individuals trade off the use of their human capital between production and political activities. Our results could also reflect a link …
Governance Matter: Morningstar Stewardship Grades And Mutual Fund Performance, Xiaping Jerry Cao, Aurobindo Ghosh, Choo Yong, Jeremy Goh, Wee Seng Ng
Governance Matter: Morningstar Stewardship Grades And Mutual Fund Performance, Xiaping Jerry Cao, Aurobindo Ghosh, Choo Yong, Jeremy Goh, Wee Seng Ng
Research Collection School Of Economics
Mutual fund investors have the arduous task of disentangling luck from ability of mutual fund managers’ performance. In this paper we investigate the role of mutual fund corporate governance (measured by Morningstar Stewardship grade) in mutual fund performance. We propose an objective data-driven corporate governance score based on principal components of Morningstar Stewardship Grades. Furthermore, we establish corporate governance scores have Granger Causality on long-term risk-adjusted returns. The findings suggest that corporate governance grades of mutual funds carry information content beyond the usual star rating measures for predicting long-term mutual fund performance and provide an effective tool for selecting funds.
International Transmission Of Interest Rates And The Open Economy Trilemma In Asia, Hwee Kwan Chow
International Transmission Of Interest Rates And The Open Economy Trilemma In Asia, Hwee Kwan Chow
Research Collection School Of Economics
There has recently been much discussion on the relevance of the open economy trilemma in the context of deepening financial integration of countries across the world (see for instance, Rey (2013) and Devereux and Yetman (2014)). The open economy trilemma is an important issue for the countries in Asia not least because their financial systems are small and exchange rate stability is crucial to their economic growth. This paper investigates whether the economies in Asia are still bound by the "impossible trinity" by examining the interest rate transmission from the US to the region before and after the onset of …
Bayesian Analysis Of Bubbles In Asset Prices, Andras Fulop, Jun Yu
Bayesian Analysis Of Bubbles In Asset Prices, Andras Fulop, Jun Yu
Research Collection School Of Economics
We develop a new asset price model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a stochastic long run mean. This latter is allowed to account for possible smooth structural change. The second regime reflects the bubble period with explosive behavior. Stochastic switches between two regimes and non-constant probabilities of exit from the bubble regime are both allowed. A Bayesian learning approach is employed to jointly …
Trade And Financial Integration, Extensive Margin, And Income Divergence, Haiping Zhang
Trade And Financial Integration, Extensive Margin, And Income Divergence, Haiping Zhang
Research Collection School Of Economics
We revisit the classical question on economic integration and income convergence in a two-sector OLG model with financial frictions and sectoral heterogeneity in minimum investment requirements (MIR, hereafter). The extensive margin of investment is a critical channel through which aggregate income may become a determinant of comparative advantage. Free trade allows the rich (poor) country to specialize partially or completely in the high-MIR (low-MIR) sector which has a high (low) return endogenously. The specialization effect interacts with the neoclassical effect, which may lead to income divergence among inherently identical countries. Similarly, financial integration may also lead to income divergence through …
Marriage And Child Bearing, Kong Weng Ho
Marriage And Child Bearing, Kong Weng Ho
Research Collection School Of Economics
This chapter considers the impact of existing incentives and policies to encourage marriage and child-birth, and other direct and indirect ways to raise the total fertility rate (TFR).
Why Cpf-Style Systems Generally Work Better, Hian Teck Hoon
Why Cpf-Style Systems Generally Work Better, Hian Teck Hoon
Research Collection School Of Economics
The Central Provident Fund (CPF) has been in existence since 1955, and plays an important role in the lives of millions of Singaporeans. But this does not mean there is nothing to be learnt from asking some fundamental questions about its usefulness.
How Effective Can Ex Post Destruction Alleviate The Hold-Up Problem?, Huan Wang, Juyuan Zhang, Yi Zhang
How Effective Can Ex Post Destruction Alleviate The Hold-Up Problem?, Huan Wang, Juyuan Zhang, Yi Zhang
Research Collection School Of Economics
We first investigate whether or not ex post destruction can possibly alleviate the hold-up problem in a one-shot game between a supplier and a buyer. The answer is yes but only when the buyer believes that the supplier might be a Homo reciprocans agent with sufficiently strong propensity for reciprocity. Under incomplete information with informed supplier, investment is made feasible by the “mismatch” between the buyer’s belief of stronger supplier reciprocal propensity and a de facto weaker one. Under incomplete information with uninformed supplier, the “mismatch” between the buyer’s belief of weaker supplier reciprocal propensity and a stronger ex post …
Random Dictatorship Domains, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
Random Dictatorship Domains, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
Research Collection School Of Economics
A domain of preference orderings is a random dictatorship domain if every strategy-proof random social choice function satisfying unanimity defined on the domain is a random dictatorship. Gibbard (1977) showed that the universal domain is a random dictatorship domain. We ask whether an arbitrary dictatorial domain is a random dictatorship domain and show that the answer is negative by constructing dictatorial domains that admit anonymous, unanimous, strategy-proof random social choice functions which are not random dictatorships. Our result applies to the constrained voting model. Lastly, we show that substantial strengthenings of linked domains (a class of dictatorial domains introduced in …
Sequential Investment, Hold-Up, And Ownership Structure, Juyuan Zhang, Yi Zhang
Sequential Investment, Hold-Up, And Ownership Structure, Juyuan Zhang, Yi Zhang
Research Collection School Of Economics
We construct a sequential investment model to investigate individual firms’ strategic choices of organizational forms when outsourcing their intermediate products. Our results indicate that as a result of the encouragement effect of sequential complementary investments, sequential investment alleviates the underinvestment caused by the hold-up problem. Thereafter, we analyze the impact of sequential investment on the choice of ownership structure. We show that contrary to the result of the standard property rights theory, strictly complementary assets could be owned separately.
Singapore’S Competitiveness At Risk, Augustine H. H. Tan
Singapore’S Competitiveness At Risk, Augustine H. H. Tan
Research Collection School Of Economics
Singapore’s disappointing second-quarter growth of 2.1 per cent compared with the same period last year has raised concerns about the impact of economic restructuring. When compared with the last quarter, growth even dipped 0.8 per cent. At the same time, productivity performance has been dismal. After rising by 2.2 per cent in 2011, productivity dropped by 1.4 per cent in 2012 and another 0.2 per cent last year.
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao
Research Collection School Of Economics
Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC) recently developed in Li et al. (2014b) to determine the best candidate model. RDIC is a better information criterion than the widely used deviance information criterion (DIC) when latent variables are involved in candidate models. Empirical analysis using US data shows that the optimal model selected by RDIC can be different from that by DIC.
Deviance Information Criterion For Comparing Var Models, Tao Zeng, Yong Li, Jun Yu
Deviance Information Criterion For Comparing Var Models, Tao Zeng, Yong Li, Jun Yu
Research Collection School Of Economics
Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC) recently developed in Li et al. (2014b) to determine the best candidate model. RDIC is a better information criterion than the widely used deviance information criterion (DIC) when latent variables are involved in candidate models. Empirical analysis using US data shows that the optimal model selected by RDIC can be different from that by DIC.
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Research Collection School Of Economics
The paper proposes a self-exciting asset pricing model that takes into account cojumps between prices and volatility and self-exciting jump clustering. We employ a dence of self-exciting jump clustering since the 1987 market crash, and its importance Bayesian learning approach to implement real time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. It is found that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting and option pricing.
Managing Private Vehicles In Asian Cities, Sock-Yong Phang
Managing Private Vehicles In Asian Cities, Sock-Yong Phang
Research Collection School Of Economics
Asia's rapid urbanization and growing incomes have resulted in a corresponding booming market in motor vehicle sales. In 2013, an estimated 18 million new passenger cars were sold in China. Motor vehicle users generate congestion, pollution, accidents, noise and road damage. Yet, in most cities motor vehicle users often do not pay the full social costs and are therefore implicitly subsidized by non-users. According to the Tom Tom Traffic Index, which is based on GPS data, motorists in the worst congested cities in developed countries spend up to 40% more time for peak hour commutes. This level of delay is …
Is The Renminbi East Asia’S Dominant Reference Currency? A Reconsideration, Hwee Kwan Chow
Is The Renminbi East Asia’S Dominant Reference Currency? A Reconsideration, Hwee Kwan Chow
Research Collection School Of Economics
Recent empirical studies show that the Chinese currency renminbi is either becoming or has become a dominant reference currency in Asia. However, the high correlation between the US dollar and renminbi movements hampers the identification of their individual effects on the Asian currencies. In particular, the application of Frankel-Wei regressions to determine the weights of the US dollar and the (unorthogonalized) renminbi in the implicit currency baskets could suffer from endogeneity problems that produce an upward bias in renminbi’s estimated weight. This paper reviews the evidence by applying country-specific VAR models to daily exchange rate data from nine Asian economies …
Specification Sensitivity In Right‐Tailed Unit Root Testing For Explosive Behaviour, Peter C. B. Phillips, Shuping Shi, Jun Yu
Specification Sensitivity In Right‐Tailed Unit Root Testing For Explosive Behaviour, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b). We analyze and compare the limit theory of the recursive test under different hypotheses and model specifications. The size and power properties of the test under various scenarios are examined and some recommendations for empirical practice are given. Some new results on the consistent estimation of localizing drift exponents are obtained, which are useful in assessing model specification. Empirical applications to stock markets illustrate these specification issues and reveal their practical …
“Monetary And Currency Policy Management In Asia” By M. Kawai, P.J. Morgan And S. Takaji [Book Review], Hwee Kwan Chow-Tan
“Monetary And Currency Policy Management In Asia” By M. Kawai, P.J. Morgan And S. Takaji [Book Review], Hwee Kwan Chow-Tan
Research Collection School Of Economics
No abstract provided.
A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiao-Bin Liu, Jun Yu
A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiao-Bin Liu, Jun Yu
Research Collection School Of Economics
A new Bayesian test statistic is proposed to test a point null hypothesis based on of regular conditions and follows a chi-squared distribution when the null hypothesis is correct. The new statistic has several important advantages that make it appeal in practical applications. First, it is well-defined under improper prior distributions. Second, it avoids Jeffrey-Lindley’s paradox. Third, it is relatively easy to compute, even for models with latent variables. Finally, it is pivotal and its threshold value can be easily obtained from the asymptotic chi-squared distribution. The method is illustrated using some real examples in economics and finance.
Extremal Quantile Regressions For Selection Models And The Black White Wage Gap, Xavier D'Haultfoeuille, Arnaud Maurel, Yichong Zhang
Extremal Quantile Regressions For Selection Models And The Black White Wage Gap, Xavier D'Haultfoeuille, Arnaud Maurel, Yichong Zhang
Research Collection School Of Economics
We consider the estimation of a semiparametric location-scale model subject to endogenous selection, in the absence of an instrument or a large support regressor. Identification relies on the independence between the covariates and selection, for arbitrarily large values of the outcome. In this context, we propose a simple estimator, which combines extremal quantile regressions with minimum distance. We establish the asymptotic normality of this estimator by extending previous results on extremal quantile regressions to allow for selection. Finally, we apply our method to estimate the black-white wage gap among males from the NLSY79 and NLSY97. We find that premarket factors …
The Fundamental Law Of Highway Congestion Revisited: Evidence From National Expressways In Japan, Wen-Tai Hsu, Hongliang Zhang
The Fundamental Law Of Highway Congestion Revisited: Evidence From National Expressways In Japan, Wen-Tai Hsu, Hongliang Zhang
Research Collection School Of Economics
The fundamental law of highway congestion states that when congested, the travel speed on an expanded expressway reverts to its previous level before the capacity expansion. In this paper, we propose a theory that generalizes this statement and finds that if there exists a coverage effect, that is, the effect of longer road length on traffic conditional on capacity, then the new equilibrium travel speed could be lower than its previous level. Given the fundamental law, the theory predicts that the elasticity of traffic to road capacity is at least 1. We estimate this elasticity for national expressways in Japan …
Maximum Likelihood Estimation Of Partially Observed Diffusion Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Maximum Likelihood Estimation Of Partially Observed Diffusion Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Research Collection School Of Economics
This paper develops a maximum likelihood (ML) method to estimate partially observed diffusion models based on data sampled at discrete times. The method combines two techniques recently proposed in the literature in two separate steps. In the first step, the closed form approach of Aït-Sahalia (2008) is used to obtain a highly accurate approximation to the joint transition probability density of the latent and the observed states. In the second step, the efficient importance sampling technique of Richard and Zhang (2007) is used to integrate out the latent states, thereby yielding the likelihood function. Using both simulated and real data, …
On Confidence Intervals For Autoregressive Roots And Predictive Regression, Peter C. B. Phillips
On Confidence Intervals For Autoregressive Roots And Predictive Regression, Peter C. B. Phillips
Research Collection School Of Economics
Local to unity limit theory is used in applications to construct confidence intervals (CIs) for autoregressive roots through inversion of a unit root test (Stock (1991)). Such CIs are asymptotically valid when the true model has an autoregressive root that is local to unity (rho = 1 + c/n), but are shown here to be invalid at the limits of the domain of definition of the localizing coefficient c because of a failure in tightness and the escape of probability mass. Failure at the boundary implies that these CIs have zero asymptotic coverage probability in the stationary case and vicinities …
A Theory Of Aggregate Consumption, Yun K. Kim, Mark Setterfield, Yuan Mei
A Theory Of Aggregate Consumption, Yun K. Kim, Mark Setterfield, Yuan Mei
Research Collection School Of Economics
We develop a Keynesian model of aggregate consumption. Our theory emphasizes the importance of the relative income hypothesis and debt finance for understanding household consumption behavior. It is shown that particular importance attaches to how net debtor households service their debts, and that the treatment of debt-servicing commitments as a substitute for savings by these households creates the potential for 'sudden stops' in consumption spending (and hence aggregate demand).
Long-Term Health Effects Of Malaria Exposure Around Birth: Evidence From Colonial Taiwan, Simon Chang, Belton Fleisher, Seonghoon Kim, Shi-Yung Liu
Long-Term Health Effects Of Malaria Exposure Around Birth: Evidence From Colonial Taiwan, Simon Chang, Belton Fleisher, Seonghoon Kim, Shi-Yung Liu
Research Collection School Of Economics
In the early 20th century, the Japanese colonial government initiated an island-wide malaria eradication campaign in Taiwan, resulting in not only a rapid decline in malaria across time but also elimination of disparity across regions. Exploiting variations in malaria deaths caused by the campaign, we estimate causal effects of malaria exposure around birth on the health of elderly born in the colonial period. To mitigate potential biases caused by measurement errors and omitted confounders, we employ climatic factors to instrument for malaria deaths. Our findings suggest that people who were exposed to a high malaria risk around birth tend to …
Further Evidence On The Spatio-Temporal Model Of House Prices In The United States, Badi H. Baltagi, Jing Li
Further Evidence On The Spatio-Temporal Model Of House Prices In The United States, Badi H. Baltagi, Jing Li
Research Collection School Of Economics
Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158: 160–173) use a panel of 49 states over the period 1975–2003 to show that state-level real housing prices are driven by economic fundamentals, such as real per capita disposable income, as well as by common shocks, such as changes in interest rates, oil prices and technological change. They apply the common correlated effects estimator of Pesaran (Econometrica 2006; 74(4): 967–101), which takes into account spatial interactions that reflect both geographical proximity and unobserved common factors. This paper replicates their results using a panel of 381 metropolitan statistical areas observed over the …