Open Access. Powered by Scholars. Published by Universities.®

Finance Commons™

Open Access. Powered by Scholars. Published by Universities.®

Singapore Management University

Discipline
Keyword
Publication Year
Publication
Publication Type

Articles 391 - 420 of 505

Full-Text Articles in Finance

Off The Cliff And Back? Credit Conditions And International Trade During The Global Financial Crisis, Davin Chor, Kalina Manova Jul 2010

Off The Cliff And Back? Credit Conditions And International Trade During The Global Financial Crisis, Davin Chor, Kalina Manova

Research Collection School Of Economics

We study the collapse of international trade flows during the global financial crisis using detailed data on monthly US imports. We show that credit conditions were an important channel through which the crisis affected trade volumes, by exploiting the variation in the cost of capital across countries and over time, as well as the variation in financial vulnerability across sectors. Countries with higher interbank rates and thus tighter credit markets exported less to the US during the peak of the crisis. This effect was especially pronounced in sectors that require extensive external financing, have limited access to trade credit, or …

Go to article

Optimal Monetary Policy In A Model With Recursive Preferences, Sungbae An May 2010

Optimal Monetary Policy In A Model With Recursive Preferences, Sungbae An

Research Collection School Of Economics

This paper provides a simple and elegance approach for an empirical investigation of a model with Epstein-Zin (1989) preferences. The perturbation method implemented in Dynare is readily applicable for computation of equilibrium and welfare. A stylized new Keynesian economy with sticky prices is analyzed and optimal simple rules are accessed across various types of monetary policy rules.

Go to article

Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu Mar 2010

Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu

Research Collection School Of Economics

This paper overviews some recent advances on simulation-based methods of estimating time series models and asset pricing models that are widely used in finance. The simulation based methods have proven to be particularly useful when the likelihood function and moments do not have tractable forms and hence the maximum likelihood method (MLE) and the generalized method of moments (GMM) are difficult to use. They can also be useful for improving the finite sample performance of the traditional methods when financial time series are highly persistent and when the quantity of interest is a highly nonlinear function of system parameters. The …

Go to article

Monetary Policy Cooperation To Support Asian Economic Integration, Hwee Kwan Chow, Peter Nicholas Kriz, Roberto S. Mariano, Augustine H. H. Tan Mar 2010

Monetary Policy Cooperation To Support Asian Economic Integration, Hwee Kwan Chow, Peter Nicholas Kriz, Roberto S. Mariano, Augustine H. H. Tan

Research Collection School Of Economics

This paper considers the form of monetary policy coordination and regional exchange rate arrangement that would best support economic and financial integration in East Asia. In view of the region's economic diversity, we propose a graduated program of informal policy cooperation from weak forms of cooperation to more intensive modes of cooperation such as the adoption of common monetary policy objectives. An array of informal monetary arrangements rooted to the degree of institutional development can improve the effectiveness of both sovereign and regional institutions, and promote integration in East Asia. Drawing upon the European experience with the Exchange Rate Mechanism …

Go to article

The Optimal Degree Of Reciprocity In Tariff Reduction, Pao Li Chang Feb 2010

The Optimal Degree Of Reciprocity In Tariff Reduction, Pao Li Chang

Research Collection School Of Economics

This article clari.es the roles played by trade policy, in contrast with iceberg transport cost, in the popular setting of Melitz (2003), and characterizes the optimal reciprocal trade policy in such a setting. I show that import tariffs and iceberg transport cost are not equivalent in the strength of their trade-restricting e¤ects and their welfare implications. With all the con.icting effectsof import tari¤s on welfare considered, the optimal degree of reciprocity in multilateral tari¤ reduction turns out to be free trade.

Go to article

Firm And Industry Characteristics Of Exchange Rate Exposure And Optimal Hedging Strategy: Evidence On China, Fen Yan Jan 2010

Firm And Industry Characteristics Of Exchange Rate Exposure And Optimal Hedging Strategy: Evidence On China, Fen Yan

Dissertations and Theses Collection (Open Access)

Understanding the effect of foreign exchange rate movements on the value of firm is a critical element for the purpose of risk management. In this thesis, firm and industry specific exposures to exchange rate movements in the Chinese market before and after the exchange rate regime reform in 2005 are examined. We observe that at the one-week return horizon, among all the firms listed in the China Exchange Market before the year 2001, less than 10% of the firms exhibit significant "residual exposure" to bilateral exchange rate movements against China’s major trading partners before the reform. In contrast, the proportion …

Go to article

The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng Jan 2010

The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng

Dissertations and Theses Collection (Open Access)

In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes …

Go to article

Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti Jan 2010

Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti

Dissertations and Theses Collection (Open Access)

This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component, and by making labor demand sensitive to movements in these rates via a working capital constraint imposed on the representative firm. Moreover, it proposes two approaches to determining the stochastic processes for these interest rates: the independent country risk case and the induced country risk case. The induced country risk model calibrated to Argentine data …

Go to article

Risking Returns: Moving From Public To Private Equity, Aurobindo Ghosh Jan 2010

Risking Returns: Moving From Public To Private Equity, Aurobindo Ghosh

Research Collection School Of Economics

The notion of risk identifies a project that matches with the risk appetite of an entrepreneur not necessarily the investors. This can explain why entrepreneurs would start up companies but it cannot explain why ex-post the investors continue, given that a diversified portfolio of publicly traded assets could potentially generate similar return with lower risk. We re-evaluate the evidence through performance measures using relative probability distributions of public and private equity funds, and identify the nature of the deviations. We observe that the heterogeneity in different investor classes are greatly reduced using standard covariates to identify the choice between public …

Go to article

Managing Capital Flows: The Case Of Singapore, Hwee Kwan Chow Jan 2010

Managing Capital Flows: The Case Of Singapore, Hwee Kwan Chow

Research Collection School Of Economics

The resurgence of private capital inflows into Asia in recent years has raised the question of whether the region is susceptible to yet another financial crisis. While a sudden large-scale reversal of capital flows is not likely to result in a liquidity crunch or balance of payments crisis, the attendant sharp corrections in asset prices will have an adverse impact on the economy particularly through indirect channels. We present, in this study, Singapore’s experience in managing the risks posed by capital flows as well as the retention of control over exchange rates and monetary conditions. It is the overall package …

Go to article

Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu Nov 2009

Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets. Three relevant financial series are investigated, including a financial asset price (a house price index), a commodity price (the crude oil price), and one bond price (the spread …

Go to article

Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu Nov 2009

Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu

Research Collection School Of Economics

A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. Some asymptotic properties of the Evans …

Go to article

Monetary Policy And Asset Prices In A Small Open Economy: A Factor-Augmented Var Analysis For Singapore, Hwee Kwan Chow, Keen Meng Choy Oct 2009

Monetary Policy And Asset Prices In A Small Open Economy: A Factor-Augmented Var Analysis For Singapore, Hwee Kwan Chow, Keen Meng Choy

Research Collection School Of Economics

The ongoing global financial turmoil has revived the question of whether central bankers ought to tighten monetary policy preemptively in order to head off asset price misalignments before a sudden crash triggers financial instability. This study explores the issue of the appropriate monetary policy response to asset price swings in the small open economy of Singapore. Empirical analysis of monetary policy based on standard VAR models, unfortunately, is often hindered by the use of sparse information sets. To better reflect the extensive information monitored by Singapore’s central bank, including global economic indicators, we augment a monetary VAR model with common …

Go to article

Foreign Direct Investment And Foreign Portfolio Investment Under Asymmetric Information, Ruanjai Suwantaradon Oct 2009

Foreign Direct Investment And Foreign Portfolio Investment Under Asymmetric Information, Ruanjai Suwantaradon

Research Collection School Of Economics

This paper develops a model of international capital flows when there is asymmetric information between foreign investors and domestic managers. Direct investors have a direct influence on the management, thus overcoming agency and information problems. This information advantage, however, comes at the cost of having to acquire management expertise. The tradeoff between management costs and the costs of asymmetric information consequently determines the level and composition of a country’s international capital flows. Analyzing how this tradeoff changes with economic conditions in a country, the model can qualitatively capture the experiences of many crisis countries during the 1990s. Specifically, the model …

Go to article

Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu Sep 2009

Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A new methodology is proposed to estimate theoretical prices of financial contingent claims whose values are dependent on some other underlying financial assets. In the literature, the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples. This paper proposes a simulation-based method. When it is used in connection with ML, it can improve the finite-sample performance of the ML estimator while maintaining its good asymptotic properties. The method is implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond and …

Go to article

Subnational Credit Rating: A Comparative Review, Lili Liu, Kim Song Tan Aug 2009

Subnational Credit Rating: A Comparative Review, Lili Liu, Kim Song Tan

Research Collection School Of Economics

This paper surveys methodological issues in subnational credit ratings and highlights key challenges for developing countries. Subnational borrowing from capital markets has been on the rise owing to fiscal decentralization and demand for infrastructure investments. A prerequisite for accessing capital markets, subnational credit ratings have also emerged as a part of broader reform for fiscal sustainability. They facilitate a more transparent budgetary and financial management system. The global financial crisis makes subnational credit ratings more relevant, as they contribute to fiscal risk evaluations and fiscal adjustment. In addition to subnationals’ own credit strength, the creditworthiness of the sovereign and the …

Go to article

Asian Currency Baskets: An Answer In Search Of A Question?, Charles Adams, Hwee Kwan Chow Jul 2009

Asian Currency Baskets: An Answer In Search Of A Question?, Charles Adams, Hwee Kwan Chow

Research Collection School Of Economics

This paper considers how a regional currency basket and the associated divergence indicators could be used in official surveillance. Recently, proponents of Asian currency baskets have referred to the role the ECU played in constructing exchange rate divergence indicators in Europe as evidence of the intrinsic usefulness of currency baskets for exchange rate monitoring. We show in this paper a number of problems with the use of regional currency-basket based divergence indicators. First, at a technical level, such indicators involve tracking regional exchange rates against a moving currency basket and can obscure underlying movements in bilateral exchange rates. Second, currency …

Go to article

An Empirical Analysis Of Stock Market Integration: Comparison Study Of Singapore And Malaysia, Zheng Yi, Swee Liang Tan Jun 2009

An Empirical Analysis Of Stock Market Integration: Comparison Study Of Singapore And Malaysia, Zheng Yi, Swee Liang Tan

Research Collection School Of Economics

Using a GARCH (1,1) model, this paper compares the extent to which financial sector liberalization in Singapore and Malaysia each has led to integration of its domestic equity market with external markets. The results show that the level of integration of the domestic markets with the external markets is higher when MSCI regional and global data are used, as compared to when individual country data are used to proxy regional and global markets. Inferences are made about the preferred pace of liberalization in Singapore, as well as, the impact of the Asian financial crisis and capital control measures imposed in …

Go to article

Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin Jun 2009

Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin

Research Collection School Of Economics

This paper develops a regression limit theory for discrete choice nonstationary panels with large cross section (N) and time series (T) dimensions. Some results emerging from this theory are directly applicable in the wider context of M-estimation. This includes an extension of work by Wooldridge [Wooldridge, J.M., 1994. Estimation and Inference for Dependent Processes. In: Engle, R.F., McFadden, D.L. (Eds.). Handbook of Econometrics, vol. 4, North-Holland, Amsterdam] on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models. It is shown that the maximum likelihood (ML) estimator is consistent without an incidental parameters problem …

Go to article

Hype My Stock: Do Firms Really Want Biased Research?, Roger Loh May 2009

Hype My Stock: Do Firms Really Want Biased Research?, Roger Loh

Research Collection Lee Kong Chian School Of Business

Analyst research is alleged to be biased because of conflicts of interest when analysts’ employers underwrite securities for the firms covered. I posit that affiliated analyst optimism should be the strongest for offering firms with a desire to over-inflate stock prices. I hypothesize that a firm’s corporate governance and its CEO incentives are related to the affiliation bias. Using stock recommendations data, I find evidence that the affiliation bias is indeed more pervasive for firms with high CEO wealth sensitivity to stock price (i.e., high CEO delta). The larger affiliation bias for high delta firms remains even after the introduction …

Go to article

Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka May 2009

Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection School Of Economics

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Unlike the Easley, Hvidkjaer, and O'Hara (2002) approach, which uses the aggregate numbers of daily buy and sell orders to estimate PIN, our methodology allows for interactions between consecutive buy-sell orders and accounts for the duration between trades and the volume of trade. We extend the Easley–Hvidkjaer–O'Hara framework by allowing the probabilities of good news and bad news …

Go to article

Misaligned Incentives And Mortgage Lending In Asia, Richard Green, Roberto S. Mariano, Andrey Pavlov, Susan Wachter Mar 2009

Misaligned Incentives And Mortgage Lending In Asia, Richard Green, Roberto S. Mariano, Andrey Pavlov, Susan Wachter

Research Collection School Of Economics

This paper provides a conceptual basis for the price discovery potential for tradable market instruments and specifically the development of mortgage securitization in Asia and the potential dangers of such markets. Nonetheless we argue for the potential importance of securitization in Asia because of its possible role in increasing transparency of the financial sector of Asian economies. We put forth a model explaining how misaligned incentives can lead to bank generated real estate crashes and macroeconomic instability, with or without securitization under certain circumstances. We examine the banking sector’s performance in Asia compared to securitized real estate returns, to provide …

Go to article

Can Liquidity Shifts Explain The Lockup Expiration Effect In Stock Returns?, Chandrasekhar Krishnamurti, Avanidhar Subrahmanyam, Tiong Yang Thong Feb 2009

Can Liquidity Shifts Explain The Lockup Expiration Effect In Stock Returns?, Chandrasekhar Krishnamurti, Avanidhar Subrahmanyam, Tiong Yang Thong

Research Collection Lee Kong Chian School Of Business

Several studies on the expiration of IPO lockups document a strong negative reaction even though the unlock event is devoid of any informational content. The empirical finding has remained a conundrum. In this paper, we find that changes in liquidity can account for the observed stock price reaction around lockup expiration. Specifically, firms which show improvement in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice versa. Another interesting conclusion that emerges from our research is that liquidity changes can predict future abnormal returns. Our results remain robust to the use of alternate …

Go to article

Analyzing And Forecasting Business Cycles In A Small Open Economy: A Dynamic Factor Model For Singapore, Hwee Kwan Chow, Keen Meng Choy Feb 2009

Analyzing And Forecasting Business Cycles In A Small Open Economy: A Dynamic Factor Model For Singapore, Hwee Kwan Chow, Keen Meng Choy

Research Collection School Of Economics

A dynamic factor model is applied to a large panel dataset of Singapore’s macroeconomic variables and global economic indicators with the initial objective of analyzing business cycles in a small open economy. The empirical results suggest that four common factors are present in the quarterly time series, which can broadly be interpreted as world, regional, electronics and domestic economic cycles. The estimated factor model explains well the observed fluctuations in real economic activity and price inflation, leading us to use it in forecasting Singapore’s business cycles. We find that the forecasts generated by the factors are generally more accurate than …

Go to article

Markov Switching Var Model Of Speculative Pressure: An Application To The Asian Financial Crisis, Gregorio Iii Alfredo Vargas Jan 2009

Markov Switching Var Model Of Speculative Pressure: An Application To The Asian Financial Crisis, Gregorio Iii Alfredo Vargas

Dissertations and Theses Collection (Open Access)

Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the …

Go to article

Multivariate Garch Models For The Greater China Stock Markets, Xiaojun Song Jan 2009

Multivariate Garch Models For The Greater China Stock Markets, Xiaojun Song

Dissertations and Theses Collection (Open Access)

This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during …

Go to article

Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu Dec 2008

Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These approaches range from crude Euler-type approximations and higher order stochastic Taylor series expansions to more complex polynomial-based expansions and infill approximations to the likelihood based on a continuous time data record. The methods are discussed, their properties are outlined and their relative finite sample performance compared in a simulation experiment with the nonlinear CIR diffusion model, which …

Go to article

Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps Nov 2008

Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps

Research Collection School Of Economics

We study the effects of future tax and budgetary shocks in a non-monetary and possibly non-Ricardian economy. An (unanticipated) temporary labor tax cut to be effective on a given future date—a delayed “debt bomb”—causes at once a drop in the (unit) value placed on the firms' business asset, the customer, with the result that share prices, the hourly wage, and employment drop in tandem. This paradox of reduced activity through announcement of future “stimulus” does not hinge on an upward jump of long interest rates. A future tax-rate cut lacking a “sunset” provision has the same negative effects.

Go to article

Financial Frictions And International Trade, Ruanjai Suwantaradon Aug 2008

Financial Frictions And International Trade, Ruanjai Suwantaradon

Research Collection School Of Economics

This paper studies the effects of financial market imperfections on a firm’s operating and exporting decisions. I introduce financial frictions into a trade model with heterogeneous firms along the line of Melitz (2003). With the presence of financial constraints, even among a group of firms with the same productivity level, firms that are more financially constrained operate on a less efficient scale, and as a result, may no longer find operating and/or exporting profitable. In addition, financial frictions may create a distortion compared to the Melitz (2003) world since operation and export participation may be undertaken by those with better …

Go to article

Earnings Asymmetric Timeliness And Shareholder Distributions, Richard M. Frankel, Yan Sun, Rong Wang Jul 2008

Earnings Asymmetric Timeliness And Shareholder Distributions, Richard M. Frankel, Yan Sun, Rong Wang

Research Collection Lee Kong Chian School Of Business

We study whether more asymmetrically timely earnings constrain payouts to shareholders in the presence of bad news. Our goal is to provide evidence on the ex post contracting benefits of accounting conservatism. We distinguish between cash flow asymmetric timeliness and accrual asymmetric timeliness to examine how each relates to asymmetric sensitivity of shareholder payouts. We find that only the asymmetric timeliness of cash flows is significantly related to the asymmetric sensitivity of shareholder payouts. Other measures of conservatism (earnings skewness and accumulated nonoperating accruals) are also not significantly related to the sensitivity of shareholder payouts given bad news. These results …

Go to article

First Prev Next Last