Asymmetric Trade Flows, Monetary And Business Cycle Asynchronization Among Ecowas Member Countries: Feasibility Of Ecowas Monetary Union Formation Beyond 2020,
2021
Federal University, Lafia
Asymmetric Trade Flows, Monetary And Business Cycle Asynchronization Among Ecowas Member Countries: Feasibility Of Ecowas Monetary Union Formation Beyond 2020, Joseph Okwori, Walter O. Ugwuoke
Bullion
The formation of the West African Monetary Union which was initially slated for 2003 was postponed severally in 2005, 2009, 2015 and 2020. This raises the curiosity of investigating the possibility of its formation beyond 2020. It is against this backdrop that this paper investigated asymmetric trade flows, monetary policy and business cycle asynchronization among ECOWAS member countries: Feasibility of ECOWAS Monetary union formation beyond 2020. The objective was addressed using Pearson correlation analysis on computed zscores and the seemingly unrelated regression estimation (SURE). The finding shows that the flow of trade within ECOWAS member countries were highly asymmetric indicating …
External Sector Liberalization And Output Growth In Nigeria,
2021
University of Uyo, Uyo
External Sector Liberalization And Output Growth In Nigeria, Emmanuel A. Onwioduokit, Obong E. Effiong
Bullion
The paper investigates the impact of external sector liberalization (foreign direct investment, external debt stock, trade openness and exchange rate) on the output growth in Nigeria from the period 1981 to 2019, utilizing correlation analysis, Granger causality test and vector autoregression (VAR). The results indicate that foreign direct investment, external debt stock, trade openness and exchange rate all correlate positively with gross domestic product. Also, the granger causality test indicates that foreign direct investment, trade openness and exchange rate granger cause the output growth in Nigeria. From the VAR result foreign direct investment exerted positive and significant impact on the …
Pass-Through Effects Of Standing Facilities On Bank Interest Rates In Nigeria,
2021
Central Bank of Nigeria
Pass-Through Effects Of Standing Facilities On Bank Interest Rates In Nigeria, Victor Ezeora Eleam, Chinyelu Gloria Ekwom, Chibueze Charles Ariolu, Chukwubuzo Jackson Umebali, Adewale Timothy Balogun
Economic and Financial Review
The paper investigates the pattern of pass-through effects of standing facilities rates on commercial bank retail interest rates in Nigeria. Monthly data spanning 2007:06 to 2019:12 and the Gregory-Hansen cointegration method that accounts for structural breaks are used in the empirical analysis. The adjustment parameters for the standing deposit and lending facilities are found to be significant, but with a low speed of adjustment. This provides some evidence on the nature of the interest rate channel of monetary policy transmission in the country. Furthermore, the study could not confirm asymmetry in the adjustment of retail rates to their long-run equilibria. …
Rationalizable Implementation In Finite Mechanisms,
2021
Singapore Management University
Rationalizable Implementation In Finite Mechanisms, Y-C Chen, Takashi Kunimoto, Y Sun, S. Xiong
Research Collection School Of Economics
We prove that the Maskin monotonicity condition (proposed by Bergemann et al. (2011)) fully characterizes exact rationalizable implementation in an environment with lotteries and transfers. Different from previous papers, our approach possesses many appealing features simultaneously, e.g., finite mechanisms with no integer game or modulo game are used; no transfers are made in any rationalizable profile; the message space is small; the implementation is robust to information perturbations in the sense of Oury and Tercieux (2012).
Singapore As A Sustainable City: Past, Present And The Future,
2021
Singapore Management University
Singapore As A Sustainable City: Past, Present And The Future, Tomoki Fujii, Rohan Ray
Research Collection School Of Economics
Singapore has achieved impressive economic growth over the last half-century. This chapter provides an overview of the major sustainability challenges Singapore has experienced and the policies that have been adopted to address them, particularly in the areas of land use, transportation, waste management, water, and energy. It argues that Singapore has been successful in addressing these challenges owing to sound long-term vision and planning as well as flexibility in the implementation of the policies to tackle them. The chapter provides some discussion on policy options, challenges, and opportunities for making Singapore more sustainable and liveable. Leaders of Singapore have recognised …
Three Essays On Exchange Rate Models And Their Applications,
2021
CUNY Graduate Center
Three Essays On Exchange Rate Models And Their Applications, Azza A. Mansour
Dissertations, Theses, and Capstone Projects
Chapter 1: This chapter attempts to identify the determinant of exchange rate pass-through into producer and destination prices using highly disaggregated firm-level data of importers and exporters of the Egyptian economy from 2009 to 2013. The main findings assert the hypothesis of complete exchange rate pass-through into destination prices at the lowest level of significance for the average exporting firm that is also importing. Furthermore, the firm with the highest import intensity has a lower percentage of pass-through into destination prices, indicating that the marginal cost channel plays a more significant role in determining the speed of the exchange rate …
Entrepreneurship In Singapore,
2021
Singapore Management University
Entrepreneurship In Singapore, Jungho Lee
Research Collection School Of Economics
Singapore has completed its catch-up growth phase and needs to find a new growth engine. Entrepreneurship can contribute to a nation’s productivity growth. The purpose of this chapter is twofold. First, a theoretical framework is presented, along with empirical evidence, to understand government interventions aimed at boosting entrepreneurship. Second, using the framework, the chapter discusses whether Singapore’s current policies are suitable for helping entrepreneurship. The theory demonstrates four reasons why government intervention is needed: (1) resource misallocation, (2) positive externality, (3) entrepreneurial human capital, and (4) tax and default policies. Singapore’s government has implemented various policies that potentially fix market …
Conflict In The Pool: A Field Experiment,
2021
University of Innsbruck
Conflict In The Pool: A Field Experiment, Loukas Balafoutas, Marco Faravelli, Roman Sheremeta
ESI Working Papers
We conduct a field experiment on conflict in swimming pools. When all lanes are occupied, an actor joins the least crowded lane and asks one of the swimmers to move to another lane. The lane represents a contested scarce resource. We vary the actor’s valuation (high and low) for the good through the message they deliver. Also, we take advantage of the natural variation in the number of swimmers to proxy for their valuation. Consistent with theoretical predictions, a swimmer’s propensity to engage in conflict increases in scarcity (incentive effect) and decreases in the actor’s valuation (discouragement effect). We complement …
Dynamic Resource Allocation With Cost Externality,
2021
Chapman University
Dynamic Resource Allocation With Cost Externality, Hao Zhao, David Porter
ESI Working Papers
The inter-temporal resource allocation efficiency of a property rights-based common-pool resource system is challenged by a cost externality when one user’s extraction raises the extraction cost for others. This paper builds a dynamic resource allocation model to illustrate the efficiency loss from a standard property rights market. We then create a novel inter-temporal allocation mechanism that preserves dynamic efficiency. Our dynamic resource allocation mechanism includes an optimal planning stage where the agents collectively determine a binding extraction target for each period and a market stage where agents can exchange their extraction rights assigned within each period. The theoretical model demonstrates …
Uncertainty And Reputation Effects In Credence Goods Markets,
2021
Chapman University
Uncertainty And Reputation Effects In Credence Goods Markets, Eric Schniter, J. Dustin Tracy, Vojtěch Zíka
ESI Working Papers
Credence-goods experiments have focused on stylized settings in which experts can perfectly identify the buyer’s best option and that option works without fail. However, in nature, credence goods involve uncertainties that complicate assessing the quality of service and advice. We introduce two sources of uncertainty. The first is diagnostic uncertainty; experts receive a noisy signal of buyer type so might make an ‘honest’ mistake when advising what is in buyers’ best interests. The second is service uncertainty; the services available to the buyers do not always work. Both sources of uncertainty make detection of expert dishonesty more difficult, so are …
Measuring Palatability As A Linear Combination Of Nutrient Levels In Food Items,
2021
Murray State University
Measuring Palatability As A Linear Combination Of Nutrient Levels In Food Items, Jeffrey S. Young
Faculty & Staff Research and Creative Activity
It well known that palatability and nutritional quality of foods and/or diets are viewed as being in tension with one another. While there exist multiple measures of healthiness, there are no such measures for tastiness. This gap limits the degree to which researchers can investigate this tension and its implications for dietary behavior and hence public health and nutrition policy. The scope of future work concerning the dietary behavior of Americans would expand greatly if researchers better understood consumers’ willingness to eat certain foods, which matters as much as recommending those foods for them to eat in the first place. …
Different Strokes For Different Folks: Long Memory And Roughness,
2021
Singapore Management University
Different Strokes For Different Folks: Long Memory And Roughness, Shuping Shi, Jun Yu
SMU Economics and Statistics Working Paper Series
The log realized volatility of financial assets is often modeled as an autoregressive fractionally integrated moving average model (ARFIMA) process, denoted by ARFIMA(p, d, q), with p = 1 and q = 0. Two conflicting results have been found in the literature regarding the dynamics. One stream shows that the data series has a long memory (i.e., the fractional parameter d > 0) with strong mean reversion (i.e., the autoregressive coefficient |α1| ≈ 0). The other stream suggests that the volatil-ity is rough (i.e., d < 0) with highly persistent dynamic (i.e., α1 → 1). To consolidate the findings, this paper first examines the finite sample properties of alternative estimation methods employed in the literature for the ARFIMA(1, d, 0) model and then applies the outperforming techniques to a wide range of financial assets. The candidate methods include two parametric maximum likeli-hood (ML) methods (the maximum time-domain modified profile likelihood (MPL) and maximum frequency-domain likelihood) and two semiparametric methods (the local Whittle method and log periodogram estimation method). The two parametric methods work well across all parameter set-tings, with the MPL method outperforming. In contrast, the two semiparametric methods have a very large upward bias for d and an equally large downward bias for α1 when α1 is close to unity. The poor performance of the semiparametric methods in the presence of a highly persistent dynamic might lead to a false conclusion of long memory. In the empirical applications, we find that the log realized volatilities of exchange rate futures over the past decade have a long memory, where the point estimate of d is between 0.4 and 0.5 and the estimate of α1 is near zero. For other finan-cial assets considered (including stock indices and industry indices), we find that they have rough volatility, with the point estimate of d being negative and the point estimates of α1 close to unity.
Data For "Uncertainty And Reputation Effects In Credence Goods Markets",
2021
Chapman University
Data For "Uncertainty And Reputation Effects In Credence Goods Markets", Eric Schniter, J. Dustin Tracy, Vojtěch Zíka
ESI Data Sets
Credence-goods experiments have focused on stylized settings in which experts can perfectly identify the buyer’s best option and that option works without fail. However, in nature credence goods involve uncertainties that complicate assessing the quality of service and advice. We introduce two sources of uncertainty into a credence goods experiment. The first is diagnostic uncertainty; experts receive a noisy signal of buyer type so might make an ‘honest’ mistake when advising what is in buyers’ best interests. The second is service uncertainty; the services available to the buyer do not always work. Both sources of uncertainty make detection of expert …
Government Expenditure And Economic Dimensions: Determinants Of Fiscal Policy,
2021
De La Salle University, Manila
Government Expenditure And Economic Dimensions: Determinants Of Fiscal Policy, Jay Pee A. Maalihan
Angelo King Institute for Economic and Business Studies (AKI)
Government expenditure is a known tool of fiscal policy. For a fiscal policy to fit the economic needs of a country, nuances regarding government expenditure such as economic dimensions must be considered as determinants of fiscal policy. This study assessed an econometric model of the significance of economic dimensions to government expenditure by utilizing data from 50 countries throughout 1999–2019. Hence, statistical tests and econometric methods such as fixed effects regression are executed to determine objectives of interest. This study contributes to the economic undertakings of various countries to plan and implement their strategic economic directions.
Wild Bootstrap For Instrumental Variable Regressions With Weak And Few Clusters,
2021
Singapore Management University
Wild Bootstrap For Instrumental Variable Regressions With Weak And Few Clusters, Wenjie Wang, Yichong Zhang
Research Collection School Of Economics
We study the wild bootstrap inference for instrumental variable (quantile) regressions in the framework of a small number of large clusters, in which the number of clusters is viewed as fixed and the number of observations for each cluster diverges to infinity. For subvector inference, we show that the wild bootstrap Wald test with or without using the cluster-robust covariance matrix controls size asymptotically up to a small error as long as the parameters of endogenous variables are strongly identified in at least one of the clusters. We further develop a wild bootstrap Anderson-Rubin (AR) test for full-vector inference and …
Glivenko-Cantelli Theorems For Integrated Functionals Of Stochastic Processes,
2021
Singapore Management University
Glivenko-Cantelli Theorems For Integrated Functionals Of Stochastic Processes, Jia Li, Congshan Zhang, Yunxiao Liu
Research Collection School Of Economics
We prove a Glivenko-Cantelli theorem for integrated functionals of latent continuous-time stochastic processes. Based on a bracketing condition via random brackets, the theorem establishes the uniform convergence of a sequence of empirical occupation measures towards the occupation measure induced by underlying processes over large classes of test functions, including indicator functions, bounded monotone functions, Lipschitz-in-parameter functions, and Hölder classes as special cases. The general Glivenko-Cantelli theorem is then applied in more concrete high-frequency statistical settings to establish uniform convergence results for general integrated functionals of the volatility of efficient price and local moments of microstructure noise.
Volatility Coupling,
2021
Singapore Management University
Volatility Coupling, Jean Jacod, Jia Li, Zhipeng Liao
Research Collection School Of Economics
This paper provides a strong approximation, or coupling, theory for spot volatility estimators formed using high-frequency data. We show that the t-statistic process associated with the nonparametric spot volatility estimator can be strongly approximated by a growing-dimensional vector of independent variables defined as functions of Brownian increments. We use this coupling theory to study the uniform inference for the volatility process in an infill asymptotic setting. Specifically, we propose uniform confidence bands for spot volatility, beta, idiosyncratic variance processes, and their nonlinear transforms. The theory is also applied to address an open question concerning the inference of monotone nonsmooth integrated …
Efficient Estimation Of Integrated Volatility Functionals Under General Volatility Dynamics,
2021
Singapore Management University
Efficient Estimation Of Integrated Volatility Functionals Under General Volatility Dynamics, Jia Li, Yunxiao Liu
Research Collection School Of Economics
We provide an asymptotic theory for the estimation of a general class of smooth nonlinear integrated volatility functionals. Such functionals are broadly useful for measuring financial risk and estimating economic models using high-frequency transaction data. The theory is valid under general volatility dynamics, which accommodates both Itô semimartingales (e.g., jump-diffusions) and long-memory processes (e.g., fractional Brownian motions). We establish the semiparametric efficiency bound under a nonstandard nonergodic setting with infill asymptotics, and show that the proposed estimator attains this efficiency bound. These results on efficient estimation are further extended to a setting with irregularly sampled data.
Keeping A Clean Reputation: More Evidence On The Perverse Effects Of Disclosure,
2021
Chapman University
Keeping A Clean Reputation: More Evidence On The Perverse Effects Of Disclosure, Cary Deck, J. Dustin Tracy
ESI Working Papers
When a principal relies on an agent, a conflict of interest can encourage the agent to provide biased advice. Conventional wisdom suggests that such behavior can be reduced through disclosure requirements. However, disclosure has been shown to exacerbate self-serving bias and can actually lead to greater harm for the principal in one-shot interactions. But in many naturally occurring settings, agents form reputations, a mechanism that could diminish the incentive to provide biased advice. We test for bias in the advice agents provide when faced with reputation concerns, and examine the impact of disclosure in such an environment. In controlled laboratory …
The Economic Impact Of Lockdowns: A Theoretical Assessment,
2021
Chapman University
The Economic Impact Of Lockdowns: A Theoretical Assessment, Gabriele Camera, Alessandro Gioffré
ESI Working Papers
The sudden appearance of the SARS-CoV-2 virus and the onset of the COVID-19 pandemic triggered extreme and open-ended “lockdowns” to manage the disease. Should these drastic interventions be the blueprint for future epidemics? We construct an analytical framework, based on the theory of random matching, which makes explicit how epidemics spread through economic activity. Imposing lockdowns by assumption prevents contagion and reduces healthcare costs, but also disrupts income-generation processes. We characterize how lockdowns impact the contagion process and social welfare. Numerical analysis suggests that protracted, open-ended lockdowns are generally suboptimal, bringing into question the policy responses seen in many countries.
