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Articles 31 - 60 of 81
Full-Text Articles in Macroeconomics
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 …
A Structuralist Model Of The Small Open Economy In The Short, Medium And Long Run, Hian Teck Hoon, Edmund S. Phelps
A Structuralist Model Of The Small Open Economy In The Short, Medium And Long Run, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
Open-economy macroeconomics contains a monetary model in the Keynesian tradition that is deemed serviceable for analyzing the short run and a nonmonetary neoclassical model thought capable of handling the long run. But do the Keynesian and neoclassical models meet the challenges thrown out by the main events of the past few decades? We first indicate that the effects of these shocks on the open economy are not well captured by either the standard Keynesian model or the standard neoclassical theory. Next we provide a careful development of a nonmonetary model of the equilibrium path of the real exchange rate, share …
A Structuralist Model Of The Small Open Economy In The Short, Medium And Long Run, Hian Teck Hoon, Edmund S. Phelps
A Structuralist Model Of The Small Open Economy In The Short, Medium And Long Run, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
Open-economy macroeconomics contains a monetary model in the Keynesian tradition that is deemed serviceable for analyzing the short run and a nonmonetary neoclassical model thought capable of handling the long run. But do the Keynesian and neoclassical models meet the challenges thrown out by the main events of the past few decades—the ’80s shock to Europe from the sharp increase of external real interest rates; the kind of speculative shock experienced in the U.S. and parts of northern Europe in the second half of the ’90s: the prospect of new industries emerging in the future with needs for new capital; …
A Structuralist Model Of The Small Open Economy In The Short, Medium And Long Run, Hian Teck Hoon, Edmund S. Phelps
A Structuralist Model Of The Small Open Economy In The Short, Medium And Long Run, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
In open-economy macroeconomics there is a monetary model in the Keynesian tradition that is deemed serviceable for analyzing the short run and there is a nonmonetary neoclassical theory thought capable of handling the long run. But do the Keynesian and neoclassical models meet the challenges thrown out by the main events of the past few decades¡ªthe '80s shock to Europe taking the form of an external jump in real interest rates; the sort of shock experienced in the U.S. and parts of northern Europe in the second half of the '90s: the emerging prospect of new industries in the future …
Characterizing Exchange Rate Policy In East Asia: A Reconsideration, Hwee Kwan Chow, Yoonbai Kim, Wei Sun
Characterizing Exchange Rate Policy In East Asia: A Reconsideration, Hwee Kwan Chow, Yoonbai Kim, Wei Sun
Research Collection School Of Economics
Frankel and Wei (1994) developed and popularized a method for uncovering the implicit weights assigned to major international currencies constituting a currency basket. We extend the methodology in two dimensions: include regional competitive pressure and employ a vector autoregressive (VAR) model to overcome simultaneity bias. With these modifications, we confirm the prominent role of the US dollar in the exchange rate policy of East Asian economies beyond the short run. However, despite the high degree of commitment to nominal exchange rate stability prior to the crisis, fluctuations in most East Asian currencies are also significantly influenced by country specific shocks. …
Distance To Frontier And The Big Swings Of The Unemployment Rate: What Room Is Left For Monetary Policy?, Hian Teck Hoon, Kong Weng Ho
Distance To Frontier And The Big Swings Of The Unemployment Rate: What Room Is Left For Monetary Policy?, Hian Teck Hoon, Kong Weng Ho
Research Collection School Of Economics
This paper builds upon Hoon and Phelps (1992, 1997) to ask how much of the evolution of the unemployment rate over several decades in country can be explained by real factors in an equilibrium model of the natural rate where country's productivity growth depends upon its distance from the world's technological leader. One motivating contemporary example includes the evolution of unemployment rates in Europe as it recovered from the second world war and caught up technologically to the US. Another example that may be less familiar to many people is Singapore (the second fastest growing economy from 1960 to 2000 …
Financial Liberalization And Monetary Policy Cooperation In East Asia, Hwee Kwan Chow, Peter N. Kriz, Roberto S. Mariano, Augustine H. H. Tan
Financial Liberalization And Monetary Policy Cooperation In East Asia, Hwee Kwan Chow, Peter N. Kriz, Roberto S. Mariano, Augustine H. H. Tan
Research Collection School Of Economics
As the countries in East Asia embark on financial liberalization, a key issue that confronts policymakers is the greater complexity of risks that is injected into the financial system. In particular, capital account liberalization may potentially increase the vulnerability of individual countries to external financial shocks. This paper advocates the optimally cascading of financial liberalization that is consistent across three dimensions: extent of domestic financial liberalization; the degree of exchange rate flexibility; and the scope of capital account liberalization. Unless the process of liberalization is properly managed, it could provoke destabilizing capital flows and lead to volatile exchange rates. Smooth …
Asian Currency Baskets: A Useful Surveillance Tool?, Charles Adams, Hwee Kwan Chow
Asian Currency Baskets: A Useful Surveillance Tool?, Charles Adams, Hwee Kwan Chow
Research Collection School Of Economics
This paper considers whether an intra-regional currency basket and the associated divergence indicators could play a useful role in official exchange rate surveillance. Recently, proponents of an Asian currency basket have referred to the role the European Currency Unit played in constructing exchange rate divergence indicators as evidence of the usefulness of intra-regional currency baskets for exchange rate monitoring. The paper shows that such indicators have a number of features that can lead to them obscuring underlying changes in exchange rates and that the signals they emit will often be difficult to interpret. In addition, the use of regional currency …
Non-Fundamental Expectations And Economic Fluctuations: Evidence From Professional Forecasts, Keen Meng Choy, Kenneth Leong, Anthony S. Tay
Non-Fundamental Expectations And Economic Fluctuations: Evidence From Professional Forecasts, Keen Meng Choy, Kenneth Leong, Anthony S. Tay
Research Collection School Of Economics
It is theoretically possible that non-fundamental idiosyncratic shocks to agents’ rational expectations are a source of economic fluctuations. Studies using data on consumer and investor sentiment suggest that this is indeed an important source of fluctuations. We present the results of a study that uses forecasts from professional forecasters to extract non-fundamental shocks to expectations. In contrast to previous studies, we show that non-fundamental expectations are not a significant source of output fluctuations, although such shocks contributed to inflation.