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Articles 31 - 60 of 89
Full-Text Articles in Macroeconomics
The Role Of The State In Singapore: Pragmatism In Pursuit Of Growth, Kim Song Tan, Manu Bhaskaran
The Role Of The State In Singapore: Pragmatism In Pursuit Of Growth, Kim Song Tan, Manu Bhaskaran
Research Collection School Of Economics
This paper looks at how government intervention shapes the evolution of the Singapore economy and accounts for its successes and failures over the past 50 years. Compared with other dynamic Asian economies, the Singapore government's approach to intervene in the economy is both more extensive and more intrusive, but with a narrow focus on GDP growth and surplus accumulation as the primary objectives. The ruling government's near complete dominance in politics has enabled it to mobilize resources to create the preconditions for strong GDP growth and high savings. But the impact on the broader development of the economy and the …
Predictability Of Exchange Rates With Taylor Rule Fundamentals: Evidence From Inflation-Targeting Emerging Countries, Joseph D. Alba, Donghyun Park, Taojun Xie
Predictability Of Exchange Rates With Taylor Rule Fundamentals: Evidence From Inflation-Targeting Emerging Countries, Joseph D. Alba, Donghyun Park, Taojun Xie
Research Collection School Of Economics
We investigate the out-of-sample predictability of U.S. dollar exchange rates with Taylor rule fundamentals in thirteen emerging countries with inflation-targeting monetary policy regimes. We find some evidence of out-of-sample exchange rate predictability for Brazil, Czech Republic, Hungary, Philippines, Thailand, and South Africa. Plots of the coefficients of U.S. inflation and Philippine inflation predict the direction of the U.S. dollar-Philippine peso exchange rates to be opposite to that predicted by the Taylor principle.
Foreign Investors Are Finding Vietnam Increasingly Attractive, Tony Diep, Hawkins Pham
Foreign Investors Are Finding Vietnam Increasingly Attractive, Tony Diep, Hawkins Pham
Asian Management Insights
A new wave of mergers and acquisitions and foreign direct investments is coming into Vietnam thanks to macro stability, an emerging middle class and changes in Asia’s manufacturing landscape.
Role And Impact Of Energy In The Business Cycle, Bao Tan Huynh
Role And Impact Of Energy In The Business Cycle, Bao Tan Huynh
Dissertations and Theses Collection (Open Access)
Given the fundamental role of energy in the economy, the macroeconomic literature contains a large body of work on the impact of oil/energy on the business cycle, with much of the attention focusing on energy supply shocks, mostly modeled as exogenous oil/energy price increases. And yet, the oil price hikes pre-2008 suggest that other shocks to the energy market may be the source of such instance of price disturbances, so that their effects on the economy are no longer predicted by exogenous energy supply shocks. In such scenario, it is no longer valid to treat energy price disturbances as exogenous …
China's Yuan: Asia's Future Anchor Currency?, Hwee Kwan Chow
China's Yuan: Asia's Future Anchor Currency?, Hwee Kwan Chow
Research Collection School Of Economics
The yuan is becoming more widely used in pricing and settling intra-regional trade and investment. Asian currencies' movements are likely to shift more in tandem with the yuan, leading to it becoming one of Asia's lead currencies. Singapore is now the world's second-most- important offshore yuan trading hub after Hong Kong.
Cyclical Public Policy And Financial Factors, Vishrut Dhirendra Rana
Cyclical Public Policy And Financial Factors, Vishrut Dhirendra Rana
Dissertations and Theses Collection (Open Access)
The Great Recession of 2009 motivated a growing body of research on the quantitative modeling of financial factors and appropriate policy responses. This dissertation is a part of that line of research and looks at the quantitative macroeconomic effects of financial factors on business cycles. The dissertation uses quantitative macroeconomic general equilibrium models (popular dynamic stochastic general equilibrium (DSGE)) that allow flexibility in micro-founded modeling of macroeconomic environments. The dissertation captures financial factors through explicit modeling of financial intermediation, featuring costly state verification and collateral constraints as financial frictions. The first chapter offers a new quantitative model of credit cycles …
Aggregate Consumption And Debt Accumulation: An Empirical Examination Of Us Household Behavior, Yun K. Kim, Mark Setterfield, Yuan Mei
Aggregate Consumption And Debt Accumulation: An Empirical Examination Of Us Household Behavior, Yun K. Kim, Mark Setterfield, Yuan Mei
Research Collection School Of Economics
The outbreak of the financial crisis in 2008 witnessed a significant contraction in US consumption spending, as households began deleveraging following a period marked by historically high levels of household borrowing. These events call into question the canonical life-cycle theory of consumption, with its benign view of debt as a neutral instrument of optimal intertemporal expenditure smoothing. This paper draws attention to an alternative, post-Keynesian account of consumption spending in which current income, household borrowing and household indebtedness all affect current consumption. Central to the analysis is an empirical investigation of US consumption spending since the 1950s. The results of …
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).
Minimum Investment Requirement, Financial Integration And Economic (In)Stability: A Refinement To Matsuyama (2004), Haiping Zhang
Minimum Investment Requirement, Financial Integration And Economic (In)Stability: A Refinement To Matsuyama (2004), Haiping Zhang
Research Collection School Of Economics
This note proposes a simple, more precise, necessary condition for symmetry breaking in Matsuyama (Financial Market Globalization, Symmetry-Breaking, and Endogenous Inequality of Nations, Econometrica, 2004 ), i.e., the positive interest rate response to income changes, which essentially arises from the assumptions of financial frictions and minimum investment size requirement of individual projects. This condition also holds under the more general settings. Thus, this note o ers an empirically testable hypothesis, i.e., Matsuyama's symmetry breaking is more likely, if the interest rate response to income changes is positive and sufficiently large.
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Research Collection School Of Economics
This study uses a newly developed bubble detection method (Phillips, Shi, and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, yet another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, this method has …
Policy Responses In An Unstable Globalized Economy: Multi-Stressed Low-Earning Families In Singapore, Irene Y. H. Ng, Kong Weng Ho
Policy Responses In An Unstable Globalized Economy: Multi-Stressed Low-Earning Families In Singapore, Irene Y. H. Ng, Kong Weng Ho
Research Collection School Of Economics
The Singapore government responded swiftly to the 2008 global recession, doling out a range of policies in aid of all levels of wage earners. This paper explores the impacts of economic trends and government policies on low-wage earners. Using a theoretical model and empirical data from a pilot study of recipients of a government Work Support Program, it demonstrates the effects of socioeconomic factors on multi-stressed low-earning families. It discusses the adequacy of current policies in addressing the multiple stressors experienced by low-wage earners.
Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide
Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide
Research Collection School Of Economics
This paper considers the prediction estimator as an efficient estimator for the population mean. The study may be viewed as an earlier study that proved that the prediction estimator based on the iteratively weighted least squares estimator outperforms the sample mean. The analysis finds that a certain moment condition must hold in general for the prediction estimator based on a Generalized-Method-of-Moment estimator to be at least as efficient as the sample mean. In an application to cost-effective double sampling, the authors show how prediction estimators may be adopted to maximize statistical precision (minimize financial costs) under a budget constraint (statistical …
Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii
Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii
Research Collection School Of Economics
We decompose the logarithmic change in the Divisia price index into the pure price, substitution, and preference effects, although the latter two effects are hard to distinguish in practice. This decomposition allows us to identify the incidence and contributing factors of inflation. In the Philippines, we find that the preference effect is much smaller than the pure price effect in all provinces. We also find that rich deciles have experienced a higher inflation than poor deciles between 1988 and 2006. However, the gap in the standards of living has actually widened because poor deciles lagged behind in consumption growth.
Singapore Inflation Expectations: Expecting The Unexpected, Aurobindo Ghosh, Jun Yu
Singapore Inflation Expectations: Expecting The Unexpected, Aurobindo Ghosh, Jun Yu
Research Collection School Of Economics
The study of inflation expectations of Singapore house-holds is a multi-disciplinary industry-relevant research that comes out of a partnership between Singapore Management University (SMU) and MasterCard. The research team for this MasterCard-SKBI Singapore Index of Inflation Expectations (SInDEx) project applied rigorous methods using current internet-based marketing survey tools for data-collection and advanced econometric techniques to analyse the data. The updates from the quarterly waves are keenly followed by policymakers, market watchers and the media because of the enormous importance of cost of living to individuals and businesses alike.
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Research Collection School Of Economics
This study uses a newly developed bubble detection method (Phillips, Shi and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, the method finds a …
Singapore Consumer’S Inflation Expectations And Creation Of Singapore Index Of Inflation Expectations, Aurobindo Ghosh, Jun Yu
Singapore Consumer’S Inflation Expectations And Creation Of Singapore Index Of Inflation Expectations, Aurobindo Ghosh, Jun Yu
Research Collection School Of Economics
The aim of this report is to highlight a broad spectrum of issues that brings about the measurement of the disagreement and the uncertainity and the formation of inflation expectations among economic agents in Singapore.
Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii
Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii
Research Collection School Of Economics
We propose a method to decompose the logarithmic change of the Divisia price index into the pure price effect, the preference effect and the substitution effect. Our empirical results in the Philippines shows the effects of preference change on the Divisia price index are heterogeneous but positive across all regions and income deciles. However, they are dominated by the pure price effect.
Macroeconomic Effects Of Over-Investment In Housing In An Aggregative Model Of Economic Activity, Hian Teck Hoon
Macroeconomic Effects Of Over-Investment In Housing In An Aggregative Model Of Economic Activity, Hian Teck Hoon
Research Collection School Of Economics
Is there a theoretical basis for the view that the end of a period of over-investment necessarily leads to a period of below-normal employment as the excess capital stock is run down? We study the repercussions of a false boom in housing driven by prior expectations of future housing prices not justified by fundamentals. When these expectations are corrected, the result is a precipitous drop in housing prices and, on that account alone, some drop in employment. There is also a bulge in the housing stock. In the case of a closed economy, the downward shift of the term structure …
Macroeconomic Effects Of Over-Investment In Housing In An Aggregative Model Of Economic Activity, Hian Teck Hoon
Macroeconomic Effects Of Over-Investment In Housing In An Aggregative Model Of Economic Activity, Hian Teck Hoon
Research Collection School Of Economics
Is there a theoretical basis for the view that the end of a period of over-investment necessarily leads to a period of below-normal employment as the excess capital stock is run down? We study the repercussions of a false boom in housing driven by prior expectations of future housing prices not justified by fundamentals. When these expectations are corrected, the result is a precipitous drop in housing prices and, on that account alone, some drop in employment. There is also a bulge in the housing stock. In the closed economy case, the downward shift of the term structure of interest …
Analyzing And Forecasting Business Cycles In A Small Open Economy: A Dynamic Factor Model For Singapore, Hwee Kwan Chow, Keen Meng Choy
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 analysing business cycles in a small open economy. The empirical results suggest that four common factors – which can broadly be interpreted as world, regional, electronics and domestic economic cycles – capture a large proportion of the co-variation in the quarterly time series. The estimated factor model also 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 …
Asian Currency Baskets: An Answer In Search Of A Question?, Charles Adams, Hwee Kwan Chow
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 …
Can A Representative-Agent Model Represent A Heterogeneous-Agent Economy, Sungbae An, Yongsung Chang, Sun-Bin Kim
Can A Representative-Agent Model Represent A Heterogeneous-Agent Economy, Sungbae An, Yongsung Chang, Sun-Bin Kim
Research Collection School Of Economics
Accounting for observed fluctuations in aggregate employment, consumption, and real wage using the optimality conditions of a representative household requires preferences that are incompatible with economic priors. In order to reconcile theory with data, we construct a model with heterogeneous agents whose decisions are difficult to aggregate because of incomplete capital markets and the indivisible nature of labor supply. If we were to explain the model-generated aggregate time series using decisions of a stand-in household, such a household must have a nonconcave or unstable utility as is often found with the aggregate US data.
Misaligned Incentives And Mortgage Lending In Asia, Richard Green, Roberto S. Mariano, Andrey Pavlov, Susan Wachter
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 …
Analyzing And Forecasting Business Cycles In A Small Open Economy: A Dynamic Factor Model For Singapore, Hwee Kwan Chow, Keen Meng Choy
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 …
A Centered Index Of Spatial Concentration: Axiomatic Approach With An Application To Population And Capital Cities, Filipe R. Campante, Quoc-Anh Do
A Centered Index Of Spatial Concentration: Axiomatic Approach With An Application To Population And Capital Cities, Filipe R. Campante, Quoc-Anh Do
Research Collection School Of Economics
We construct an axiomatic index of spatial concentration around a center or capital point of interest, a concept with wide applicability from urban economics, economic geography and trade, to political economy and industrial organization. We propose basic axioms (decomposability and monotonicity) and refinement axioms (order preservation, convexity, and local monotonicity) for how the index should respond to changes in the underlying distribution. We obtain a unique class of functions satisfying all these properties, defined over any n-dimensional Euclidian space: the sum of a decreasing, isoelastic function of individual distances to the capital point of interest, with specific boundaries for the …
Can A Representative Agent Model Represent A Heterogeneous Agent Economy?, Sungbae An, Yongsung Chang, Sun-Bin Kim
Can A Representative Agent Model Represent A Heterogeneous Agent Economy?, Sungbae An, Yongsung Chang, Sun-Bin Kim
Research Collection School Of Economics
Accounting for observed fluctuations in aggregate employment, consumption, and real wage using the optimality conditions of a representative household requires preferences that are incompatible with economic priors. In order to reconcile theory with data, we construct a model with heterogeneous agents whose decisions are difficult to aggregate because of incomplete capital markets and the indivisible nature of labor supply. If we were to explain the model-generated aggregate time series using decisions of a stand-in household, such a household must have a nonconcave or unstable utility as is often found with the aggregate US data.
Target Saving In An Overlapping Generations Model, Brishti Guha, Ashok S. Guha
Target Saving In An Overlapping Generations Model, Brishti Guha, Ashok S. Guha
Research Collection School Of Economics
We examine a model in which the utility function has been engineered so that it is optimal for consumers to aim for a fixed target level of retirement resources. In this case, consumption displays excess sensitivity to current income as well as perfect old age insurance. In an overlapping generations model, this leads naturally to multiple and unstable equilibria. Under static expectations, it also leads to a well-defined dynamics, including possible historical traps, implosions involving ever-diminishing capital stock and ever-increasing interest rates, and the feasibility of optimal one-time interventions.
Target Saving In An Overlapping Generations Model, Ashok S. Guha, Brishti Guha
Target Saving In An Overlapping Generations Model, Ashok S. Guha, Brishti Guha
Research Collection School Of Economics
We examine a model in which the utility function has been engineered so that it is optimal for consumers to aim for a fixed target level of retirement resources. In this case consumption displays excess sensitivity to current income as well as perfect old age insurance. In an overlapping generations model, this leads naturally to multiple and unstable equilibria. Under static expectations, it also leads to a well-defined dynamics, including possible historical traps, implosions involving ever-diminishing capital stock and ever-increasing interest rates, and the feasibility of optimal one-time interventions.
Singapore's Exchange Rate Policy: Some Implementation Issues, Hwee Kwan Chow
Singapore's Exchange Rate Policy: Some Implementation Issues, Hwee Kwan Chow
Research Collection School Of Economics
Reflecting the small open nature of its economy, Singapore has adopted an exchange rate-centered monetary policy framework since 1981. The exchange rate regime in Singapore is an intermediate regime that follows the basket-band-crawl system. With this managed float system, the MAS has successfully deterred speculators from attacking the domestic currency for most of the past three decades. At the same time, the flexibility accorded by the managed float system aided Singapore in escaping from the 1997–1998 Asian crisis relatively unscathed. In order to advance our understanding of the hitherto successful operation of Singapore's exchange rate policy, we examine the following …
Some Empirics On Economic Growth Under Heterogeneous Technology, Peter C. B. Phillips, Donggyu Sul
Some Empirics On Economic Growth Under Heterogeneous Technology, Peter C. B. Phillips, Donggyu Sul
Research Collection School Of Economics
A new econometric approach to testing for economic growth convergence is overviewed. The method is applicable to panel data, involves a simple regression based one-sided t-test, and can be used to form a clustering algorithm to assess the existence of growth convergence clubs. The approach allows for heterogeneous technology, utilizes some new asymptotic theory for nonlinear dynamic factor models, and is easy to implement. Some background growth theory is given which shows the form of augmented Solow regression (ASR) equations in the presence of heterogeneous technology and explains sources of potential misspecification that can arise in conventional formulations of ASR …