Economics Commons^™

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

Part Ii Turbulent Macrodynamics, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Shaikh, A., PhD. (n.d.). Part II: Turbulent macrodynamics [Folder cover].

• Shaikh, A., PhD. (2007, February 17). Part III: Turbulent macrodynamics [Outline, pp. 7–8, with handwritten notes].

• Shaikh, A., PhD. (2004, October; 2007, February 17). Outline: The economic analysis of the developed world [Outline].

Web Page, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Shaikh, A., PhD. (2007, February 27). Web page [Folder cover with handwritten notes].

• Brooks, P. (2006, May). Homepage updating: See tips and tricks file [Instructions with handwritten notes].

• Hodson, C. (2007, February 21). Email regarding my homepage [Email with handwritten notes].

• Brooks, P. (2006, May). Homepage updating: See tips and tricks file [Clean copy of instructions].

• Shaikh, A., PhD. (n.d.). Jeff contact information [Handwritten note].

• Mars, C. (2005, November 3). Email regarding web instructions [Email with handwritten notes and forwarded thread].

Joint Prod. - Articles, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes,

• The Marxian theory of value and the problem of negative values. Stamatis, G. (n.d.). Preliminary English translation of an unpublished paper, with accompanying German version titled Die Marxsche Werttheorie und das Problem der negativen Arbeitswerte. Unpublished manuscript.

• Joint production. Shaikh, A., PhD. (2007, August 16). Handwritten notes discussing the viability of producing sheep for mutton and wool. Unpublished manuscript.

• Joint production, individual and average value. Shaikh, A., PhD. (2007, August 16). Handwritten notes discussing Marx’s distinction between individual and average values, prices of production, and Sraffian solutions. Unpublished manuscript.

• …

Vast Majority Index, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (n.d.). A green folder titled Vast Majority Index [Manuscript folder]. Anwar Shaikh, PhD, personal archives.

• Shaikh, A. (2007, January 18). Notes on a talk by Victor Yakovenko at the ESHIA Conference discussing Boltzmann-Gibb, exponential and Pareto distributions, and two-class income distribution [Handwritten manuscript]. Anwar Shaikh, PhD, personal archives.

• Shaikh, A. (2007, June 18). Notes on a talk by Kam Bloomquist at the ESHIA Conference discussing the Pareto distribution of US wage and salary income and the Lydall/Simon hypothesis [Handwritten manuscript]. Anwar Shaikh, PhD, personal archives.

• Shaikh, A. (n.d.). Handwritten policy notes for VMI Paper I …

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Nonresident Expenditure Totals By County, Norma Nickerson

Institute for Tourism and Recreation Research Publications

This report displays a map of Montana with expenditure totals listed for the six travel regions, as well as for each county during 2007.

Montana Travel Research: 2007, Norma P. Nickerson, Melissa Bruns-Dubois

Institute for Tourism and Recreation Research Publications

Outlook for 2007 and Review of 2006.

Pakistan’S External Sector, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

Recent media reports, commentators and editorials have raised questions about the growing trade deficit faced by Pakistan in the current fiscal year, as well as, about the rise in the absolute level of External Debt. In raising these issues a serious concern has been expressed about Pakistan’s ability to pay its external obligations and the impact on foreign reserves in the future. Alternatively, it is argued, that these obligations can be paid only by incurring higher debt from abroad and thus increasing debt burden.

Choices For Financing Fiscal And External Deficits, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

The on going debate on the growing trade and current account deficits and fiscal deficit needs to be encouraged as it creates awareness of economic issues among the general public and puts pressures on the policy makers to take corrective actions. However, this debate has so far been dominated by a superficial or highly perfunctory analysis perpetuated by two extreme positions. Those who wish to criticize and find fault with the government paint a doom and gloom day scenario and argue that deficits are a result of mismanagement and wrong economic policies pursued and pose a serious threat to macroeconomic …

Transmisi Kebijakan Moneter Di Indonesia: Credit View Atau Money View?, Sugiharso Safuan, Beta Yulianita G. Laksono

Jurnal Ekonomi dan Pembangunan Indonesia

One of some problematic issues of identification of the effectiveness of the monetary policy is the question on whether the monetary policy mechanism transmissions can perform fully in transmitting the changes of monetary policies into the national and regional level of economy. On earlier studies, Muelgini (2004) relatively compares the effectiveness of monetary policies of the five mechanism transmission channels at the national level of the economy employing impulse response function. The results show that prior to the economic crises in Indonesia credit channel is not effective, and for after crises periods interest rates, credit, and asset price channels are …

Profit Sharing Dan Moral Hazard Dalam Penyaluran Dana Pihak Ketiga Bank Umum Syariah Di Indonesia, Mustafa Edwin Nasution, Ranti Wiliasih

Jurnal Ekonomi dan Pembangunan Indonesia

There are two purposes that want to be assessed in this paper. The first purpose is to indicate whether the moral hazard problems are occurred in the Indonesian Sharia Bank (The moral hazard in this paper is the Indirect Moral Hazard which is the negligence of bank in the financing process influencing the moral hazard problems of the debtor in the other side. The second purpose is to assess whether the financing policies in the Sharia Banking are influenced by profit sharing system. The data for assessing this paper are acquired from the monthly financial reports published by Sharia Banks …

A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang

Research outputs pre 2011

There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in the model and examines only bilateral relationships. When forming a monetary union, the member countries need to renounce their monetary policy autonomy. If shocks to respective economies are symmetric, the cost of relinquishing the discretionary monetary policy is likely to be …

Poverty Reduction: An Evaluation Of Micro Finance And Foreign Aid, Wade Summers

Honors Program Theses

Over the last 50 years, the United States has been pouring money into foreign aid, yet this aid has failed to bring the poor out of poverty. Micro finance institutions claim to they are able to increase the wealth of the poor. This paper will compare micro finance's ability to alleviate poverty against traditional uses of foreign aid. The results of this paper are while the profitability of micro finance is not clear, independent studies indicate that it has been successful in bringing the poor out of poverty. This paper concludes that micro finance should receive a larger portion of …

The Private Rates Of Return To Undergraduate Education By Major, Nick Johnson

Honors Program Theses

The private returns to undergraduate education are important to understand for high school graduates trying to decide between the work force and college. The IRR method is the best measure of the private returns to education because it allows for important variables to be accounted for and includes the time value of money. Using data from the National Longitudinal Study of 1972, there are large differences in the returns to college by major. This model allows the returns to college to vary by college selectivity and, through ability, within an individual major.

Macro, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Godley, W., & Lavoie, M. (2007). Monetary economics: An integrated approach to credit, money, income, production and wealth [Annotated excerpts from Chapter 11, pp. 384-393, with title page]. Palgrave Macmillan.
• Shaikh, A. (2007, February 9). PK version of classical accumulation (saving rate = fixed) [Annotated chart printout].
• Godley, W., & Lavoie, M. (2007). Monetary economics: An integrated approach to credit, money, income, production and wealth [Annotated excerpts from Chapter 11, pp. 412-413, with title page]. Palgrave Macmillan.
• Shaikh, A. (2007, February 13). Investment & effective DD and ROP [Handwritten notes by Anwar Shaikh, PhD].
• Shaikh, A. (2007, …

Wal-Mart Bank In Mexico: Money To The Masses And The Home-Host Hole, Anna Gelpern

Georgetown Law Faculty Publications and Other Works

In November 2006 Wal-Mart's Mexican subsidiary received approval to open a bank. The application faced little opposition in Mexico, unlike the company's failed effort to start a bank in the United States. This was partly because in Mexico, Wal-Mart's entry was generally regarded as increasing competition in a historically concentrated banking sector. With over three-quarters of all Mexicans unbanked, the authorities also looked to Wal-Mart to reach the underserved. Along with the promise, Wal-Mart's entry presents a transnational regulatory dilemma with implications beyond Wal-Mart and Mexico. Because it is Wal-Mart's only banking venture, the new institution will have its Mexican …

The Hausman Test, And Some Alternatives, With Heteroskedastic Data, Viera Chmelarova

LSU Doctoral Dissertations

The Hausman test is used in applied economic work as a test of misspecification. It is most commonly thought of (wrongly some would say) as a test of whether one or more explanatory variables in a regression model is endogenous. There are several versions of the test available with modern software, some of them suggesting opposite conclusions about the null hypothesis. We explore the size and power of the alternative tests to find the best option. Secondly, the usual Hausman contrast test requires one estimator to be efficient under the null hypothesis. If data are heteroskedastic, the least squares estimator …

Lawyers And Community Economic Development, William H. Simon

Faculty Scholarship

The Articles in this symposium and the experiences they report show that, for lawyers, Community Economic Development (CED) has become a more expansive and more complex subject than it was when we discovered it two decades or so ago.

The Articles and the experiences are particularly revealing about what I would guess have been the two central preoccupations of lawyers in the field. The first, of course, is what we mean by community, and more specifically, how a community can become – or be regarded as – a legal and political actor. The second concerns lawyer accountability. Progressive lawyers have …

The Role Of Networks In Labor Markets, Nongnuch Soonthornchawakan

LSU Doctoral Dissertations

Networks of relationships play an important role in the social and economic operation of the labor market. Social connections have been shown to be crucial in influencing the transition and efficiency in the labor market because they can quickly spread information over large segments of society. In particular in “small world” networks everyone can connect to others through very few intermediaries and information can spread far and fast over such a small-world network. The first chapter of this dissertation starts with the formal elements of social network analysis and graph theory. It then provides an overview of the emerging literature …

Reemployment And Earnings Recovery Among Older Unemployment Insurance Claimants, Christopher J. O'Leary, Randall W. Eberts

Upjohn Institute Working Papers

The rate of involuntary job loss among older workers has increased in recent years. Previous research has found that after job separation older workers take longer to get back in jobs, and experience bigger earnings declines than younger prime age workers. These studies were based on surveys targeted at older and dislocated workers, which rely on retrospective interviews of strategic samples from the general labor force. Previous studies have not explicitly accounted for the availability of unemployment insurance (UI) benefits between jobs. This paper compares the adjustment to involuntary unemployment of older and younger prime age UI claimants, using a …

Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

Maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size and large cross section sample size asymptotics. This paper proposes a general, computationally inexpensive method of bias reduction that is based on indirect inference, shows unbiasedness and analyzes efficiency. Monte Carlo studies show that our procedure achieves substantial bias reductions with only mild increases in variance, thereby substantially reducing root mean square errors. The method is compared with certain consistent estimators and is shown to have superior finite sample properties to the generalized method of …

Statistics With Estimated Parameters, Zhenlin Yang, Yiu Kuen Tse, Zhidong Bai

Research Collection School Of Economics

This paper studies a general problem of making inferences for functions of two sets of parameters where, when the first set is given, there exists a statistic with a known distribution. We study the distribution of this statistic when the first set of parameters is unknown and is replaced by an estimator. We show that under mild conditions the variance of the statistic is inflated when the unconstrained maximum likelihood estimator (MLE) is used, but deflated when the constrained MLE is used. The results are shown to be useful in hypothesis testing and confidence-interval construction in providing simpler and improved …

Temporal Aggregation And Risk-Return Relation, Xing Jin, Leping Wang, Jun Yu

Research Collection School Of Economics

The function form of a linear intertemporal relation between risk and return is suggested by Merton's [1973. Econometrica 41, 867–887] analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk–return relation at discrete horizons, and on its implications on the reliability of the resulting inference about the risk–return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's [1993. Review …

To Use Or Not To Use?: Poverty Mapping In Cambodia, Tomoki Fujii

Research Collection School Of Economics

No abstract provided.

Indeterminacy And Market Instability, Kong Weng Ho, Nicholas Sim

Research Collection School Of Economics

No abstract provided.

Albert Rex Bergstrom: 1925-2005, Peter C. B. Phillips

Research Collection School Of Economics

No abstract provided.

Limit Theory For Moderate Deviations From A Unit Root Under Weak Dependence, Peter C. B. Phillips, Tassos Magadalinos

Research Collection School Of Economics

An asymptotic theory is given for autoregressive time series with weakly dependent innovations and a root of the form rho_{n} = 1+c/n^{alpha}, involving moderate deviations from unity when alpha in (0,1) and c in R are constant parameters. The limit theory combines a functional law to a diffusion on D[0,infinity) and a central limit theorem. For c > 0, the limit theory of the first order serial correlation coefficient is Cauchy and is invariant to both the distribution and the dependence structure of the innovations. To our knowledge, this is the first invariance principle of its kind for explosive processes. The …

Temporal Aggregation And Risk-Return Relation, Jin Xing, Leping Wang, Jun Yu

Research Collection School Of Economics

The function form of a linear intertemporal relation between risk and return is suggested by Merton's [1973. Econometrica 41, 867–887] analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk–return relation at discrete horizons, and on its implications on the reliability of the resulting inference about the risk–return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's [1993. Review …

Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu

Research Collection School Of Economics

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …

Open Vs Sealed Bid Auctions: Testing For Revenue Equivalence Under Singapore's Vehicle Quota System, Roberto S. Mariano, Winston T. H. Koh, Yiu Kuen Tse

Research Collection School Of Economics

Using data from the auction of vehicle quota licenses in Singapore, we study if revenue equivalence holds when the auction format was switched from a sealed-bid format (May 1990 to June 2001) to an open bidding format since July 2001. Our econometric analysis indicates the change in auction format led to a change in bidding behavior. On average, the quota license premium under the open bidding format is about US$1000 (about 7.5% of the Category E license price in June 2001) lower, compared to the forecast level that would have prevailed if there had been no change in the auction …