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Full-Text Articles in Econometrics
Common Bubble Detection In Large Dimensional Financial Systems, Ye Chen, Peter C. B. Phillips, Shuping Shi
Common Bubble Detection In Large Dimensional Financial Systems, Ye Chen, Peter C. B. Phillips, Shuping Shi
Research Collection School Of Economics
Price bubbles in multiple assets are sometimes nearly coincident in occurrence. Such near-coincidence is strongly suggestive of co-movement in the associated asset prices and is likely driven by certain factors that are latent in the financial or economic system with common effects across several markets. Can we detect the presence of such common factors at the early stages of their emergence? To answer this question, we build a factor model that includes I(1), mildly explosive, and stationary factors to capture normal, exuberant, and collapsing phases in such phenomena. The I(1) factor models the primary driving force of market fundamentals. The …
Economic Forecasting In A Pandemic: Some Evidence From Singapore, Hwee Kwan Chow-Tan, Keen Meng Choy
Economic Forecasting In A Pandemic: Some Evidence From Singapore, Hwee Kwan Chow-Tan, Keen Meng Choy
Research Collection School Of Economics
This paper aims to investigate whether the predictive performance and behaviour of professional forecasters are different during the COVID-19 pandemic as compared with the global financial crisis of 2008 and normal times. To this end, we use a survey of professional forecasters in Singapore collated by the central bank to analyse the forecasting records for GDP growth and CPI inflation for the period 2000Q1–2021Q4. We first examine the point forecasts to document the extent of forecast failure duringthe two crises and explore various explanations for it, such as leader-following and herding behaviour. Then, using percentile-based summary measures of probability distribution …
Inflation Dynamics And Expectations In Singapore, Hwee Kwan Chow-Tan
Inflation Dynamics And Expectations In Singapore, Hwee Kwan Chow-Tan
Research Collection School Of Economics
Inflation dynamics in Singapore have primarily been shaped by foreign factors, including global inflationary pressures and external macroeconomic shocks. More recently, the normalisation phase of the Covid-19 pandemic crisis has led to domestic price pressures from pent-up demand and supply-chain disruptions. Meanwhile, the war in Ukraine has resulted in a hike in the global prices of food, energy, and industrial commodities. Using inflation forecasts from the MAS Survey of Professional Forecasters as our measure of inflation expectations, we show that short-term inflation expectations have shifted up recently. Moreover, greater disagreement amongst survey respondents in the more recent surveys suggests individual …
Cities In A Pandemic: Evidence From China, Badi H. Baltagi, Ying Deng, Li Jing, Zhenlin Yang
Cities In A Pandemic: Evidence From China, Badi H. Baltagi, Ying Deng, Li Jing, Zhenlin Yang
Research Collection School Of Economics
This paper studies the impact of urban density, city government efficiency, and medical resources on COVID-19 infection and death outcomes in China. We adopt a simultaneous spatial dynamic panel data model to account for (i) the simultaneity of infection and death outcomes, (ii) the spatial pattern of the transmission, (iii) the intertemporal dynamics of the disease, and (iv) the unobserved city-specific and time-specific effects. We find that, while population density increases the level of infections, government efficiency significantly mitigates the negative impact of urban density. We also find that the availability of medical resources improves public health outcomes conditional on …