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Return And Volatility Spillovers Between The Renminbi And Asian Currencies, Hwee Kwan CHOW-TAN 2018 Singapore Management University

Return And Volatility Spillovers Between The Renminbi And Asian Currencies, Hwee Kwan Chow-Tan

Research Collection School Of Economics

This paper examines the extent of interdependence between the Chinese Renminbi and Asian currenciesafter the global financial crisis. We combine the distinct influence of offshore Renminbi with the impact ofthe onshore rate on eight Asian currencies (including the Australian dollar). Diebold-Yilmaz spilloverindexes reveal Asian foreign exchange markets are subject to considerable cross-border transmissions. Interms of the US dollar bilateral exchange rates, cross-border transfers of daily return are strongercompared to daily volatility reflecting currency management by regional authorities to curb excessiveexchange rate volatility. Return spillovers from the Renminbi markets to individual Asian foreignexchange markets are generally on par with that from ...


Homogeneity Pursuit In Panel Data Models: Theory And Application, Wuyi WANG, Peter C. B. PHILLIPS, Liangjun SU 2018 Jinan University - China

Homogeneity Pursuit In Panel Data Models: Theory And Application, Wuyi Wang, Peter C. B. Phillips, Liangjun Su

Research Collection School Of Economics

This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being homogeneous within the same group but heterogeneous across groups. To identify the unknown group structure of vector parameters, we design an algorithm called Panel-CARDS. We show that it can identify the true group structure asymptotically and estimate the model parameters consistently at the same time. Simulations evaluate the performance and corroborate the asymptotic theory in several practical design settings. The empirical application reveals the heterogeneous grouping effect of income on democracy.


Synthetic Control And Dynamic Panel Estimation: A Case Study Of Iran, Orkideh Gharehgozli 2018 The Graduate Center, City University of New York

Synthetic Control And Dynamic Panel Estimation: A Case Study Of Iran, Orkideh Gharehgozli

All Dissertations, Theses, and Capstone Projects

International sanctions imposed on Iran, targeting primarily Iran’s key energy sector and its ability to access the international financial system, have harmed Iran’s economic growth, specifically from 2011 to 2014. This thesis uses this case to study and compare the applicability of two different popular approaches used in comparative case studies exploring the effect of a policy intervention.

In the Chapter 1 we study the synthetic control method. Using this method, we estimate the effect of the intensification of sanctions on Iran’s GDP during the period 2011 to 2014. The year of 2011 was Iran’s first ...


Younger Federal District Court Judges Favor Presidential Power, Tom Campbell, Nathaniel T. Wilcox 2018 Chapman University, Fowler School of Law

Younger Federal District Court Judges Favor Presidential Power, Tom Campbell, Nathaniel T. Wilcox

ESI Working Papers

From 1960 to 2015, Federal District Court opinions involving challenges to Executive Branch authority show that U.S. Federal District Court judges (trial judges) support such authority less as they age, with a sharp decline beginning near age 57. We argue that District judges know that elevation to the Federal Circuit Court of Appeals becomes increasingly improbable, and hence have less reason to ‘cooperate’ with the Executive, with advancing age. Political variables (and other variables) introduced as extra regressors do not reverse our main results. When there are contemporaneous vacancies on their Circuit courts, District judges in the eleven State ...


Non-Linear Time Series Modelling With Applications To Equity And Fixed Income Markets, Galyna Grynkiv 2018 The University of Western Ontario

Non-Linear Time Series Modelling With Applications To Equity And Fixed Income Markets, Galyna Grynkiv

Electronic Thesis and Dissertation Repository

My thesis focuses on theoretical and empirical aspects of modelling time series during different financial and economic conditions. It consists of three separate chapters in which the properties of Threshold Vector Autoregressive Model (TVAR) models are addressed with subsequent applications to equity and fixed income markets. In the first chapter, which is a joint work with my supervisor Lars Stentoft, we examine the steady state properties of the TVAR model. Assuming the trigger variable is exogenous and the regime process follows a Bernoulli distribution, we derive the necessary and sufficient conditions for existence of a stationary distribution. The derived stationarity ...


Partners Or Strangers? Cooperation, Monetary Trade, And The Choice Of Scale Of Interaction, Maria Bigoni, Gabriele Camera, Marco Casari 2018 University of Bologna

Partners Or Strangers? Cooperation, Monetary Trade, And The Choice Of Scale Of Interaction, Maria Bigoni, Gabriele Camera, Marco Casari

ESI Working Papers

We show that monetary exchange facilitates the transition from small to large-scale economic interactions. In an experiment, subjects chose to play an “intertemporal cooperation game” either in partnerships or in groups of strangers where payoffs could be higher. Theoretically, a norm of mutual support is sufficient to maximize efficiency through large-scale cooperation. Empirically, absent a monetary system, participants were reluctant to interact on a large scale; and when they did, efficiency plummeted compared to partnerships because cooperation collapsed. This failure was reversed only when a stable monetary system endogenously emerged: the institution of money mitigated strategic uncertainty problems.


Past, Present And Future Of Maine's Pulp And Paper Industry, Ariel Listo 2018 University of Maine

Past, Present And Future Of Maine's Pulp And Paper Industry, Ariel Listo

Electronic Theses and Dissertations

The pulp and paper industry has historically been of paramount importance for the state of Maine, both from cultural and economic perspectives. The industry has been a vital part of the forest products economy and a large contributor to employment and state gross domestic product (GDP). However, the number of pulp and paper mills in Maine has declined sharply in the last few decades, deeply harming employment levels, local economies and the forest products sector of the most heavily forested state in the nation. This phenomenon has sparked efforts to understand the factors behind the downfall of Maine's pulp ...


Environmental Policies In The Transportation Sector: Taxes, Subsidies, Mandates, Restrictions, And Investment, Justin Beaudoin, Yuan Chen, David R. Heres, Khaled H. Kheiravar, Gabriel E. Lade, Fujin Yi, Wei Zhang, C.-Y. Cynthia Lin Lawell 2018 University of Washington, Tacoma

Environmental Policies In The Transportation Sector: Taxes, Subsidies, Mandates, Restrictions, And Investment, Justin Beaudoin, Yuan Chen, David R. Heres, Khaled H. Kheiravar, Gabriel E. Lade, Fujin Yi, Wei Zhang, C.-Y. Cynthia Lin Lawell

Economics Working Papers

The transportation sector is associated with many negative externalities, including air pollution, global climate change, and traffic congestion. In this paper we discuss several possible policies for addressing the emissions and other environmental externalities from the transportation sector, including taxes, subsidies, mandates, restrictions, and investment. Most economists generally recommend that policy-makers use incentive- (or market-) based instruments as opposed to command and control policies whenever possible. However, various economic and political constraints can preclude policy instruments that would in theory achieve a first-best outcome from being employed, and policy-makers have often implemented alternative policies such as subsidies, mandates, restrictions, and ...


The Connection Between Race And Performance Of Nba Draft Picks, Jeremiah Mitchell 2018 CUNY Hunter College

The Connection Between Race And Performance Of Nba Draft Picks, Jeremiah Mitchell

School of Arts & Sciences Theses

This paper examines the relationship between race and performance in terms of one of the highest forms of efficiency in basketball, field goal percentage, based on college statistics, with regard to draft position, career earnings and NBA win shares.


The Catalyst Effect Of Historic Preservation: A Spatial Analysis Of The Impact Of Historic District Designation On Housing Renovations In New York City, Ali R. Mostafa 2018 CUNY Hunter College

The Catalyst Effect Of Historic Preservation: A Spatial Analysis Of The Impact Of Historic District Designation On Housing Renovations In New York City, Ali R. Mostafa

School of Arts & Sciences Theses

The constraints on property use along with the economic merits of historic districts are critical points in the debate over preservation policies. Improving the existing housing stock is a substantial economic activity and a significant part of the nation’s overall construction industry. The purpose of this study is to present an empirical analysis of the relationship between historic district designation and renovation decisions. The results of the analysis found that historic preservation does not inhibit the renovation activity of single-family homeowners. However, contrary to the claims made by proponents, it does not give a powerful incentive for owners in ...


Energy Use And Policy Implications For Energy Security In Asia: A Panel Data Approach, Anh Tru Nguyen 2018 The University of Newcastle

Energy Use And Policy Implications For Energy Security In Asia: A Panel Data Approach, Anh Tru Nguyen

Journal of Asian Energy Studies

The article aims to investigate impacts of determinants on energy use in 13 Asian countries for the past two decades (1996-2015) by employing a panel database. We found that electric power per capita, fossil fuel consumption, fuel exports, and gross domestic product (GDP) per unit of energy use have positives influences on energy use in Asia. However, fuel imports and investment in energy with participation of the private negatively affects energy use in this region. Our results also addressed that energy use in Asian countries still heavily depends upon fossil energy such as coal, oil, and natural gas. Indeed, our ...


Resilience And The U.S. Labor Market: A Cross-Scale Analysis On The Role Of Industrial Diversity And Specialization, Christian D. Sprague 2018 Boise State University

Resilience And The U.S. Labor Market: A Cross-Scale Analysis On The Role Of Industrial Diversity And Specialization, Christian D. Sprague

Boise State University Theses and Dissertations

This thesis examines how the effects of industrial diversity and specialization vary across geographical scales and classification levels. The notion of a robust institutional design, in conjunction with a regional resilience framework, is used to model how diversity and modularity affect unemployment through-out economic cycles. We use fixed effects models on employment data from the Bureau of Labor Statistics and Census Bureau in all available U.S. counties from 1998-2015. Key results suggest the optimal structure of industrial composition varies across scale, namely, that fine levels of industrial diversity are beneficial at higher levels of geographical scale (regions), whereas a ...


Rhode Island Current Conditions Index -- August 2018, Leonard Lardaro 2018 University of Rhode Island

Rhode Island Current Conditions Index -- August 2018, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.


Financial Bubble Implosion And Reverse Regression, Peter C. B. PHILLIPS, Shu-Ping SHI 2018 Singapore Management University

Financial Bubble Implosion And Reverse Regression, Peter C. B. Phillips, Shu-Ping Shi

Research Collection School Of Economics

Expansion and collapse are two key features of a financial asset bubble. Bubble expansionmay be modeled using a mildly explosive process. Bubble implosion may take several differentforms depending on the nature of the collapse and therefore requires some flexibility in modeling.This paper first strengthens the theoretical foundation of the real time bubble monitoringstrategy proposed in Phillips, Shi and Yu (2015a,b, PSY) by developing analytics and studyingthe performance characteristics of the testing algorithm under alternative forms of bubbleimplosion which capture various return paths to market normalcy. Second, we propose a newreverse sample use of the PSY procedure for detecting ...


Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin YANG 2018 Singapore Management University

Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang

Research Collection School Of Economics

It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with short panels. In this paper, a unified Mestimation method is proposed for estimating the fixed-effects SDPD models containing three major types of spatial effects, namely spatial lag, spatial error and space-time lag. The method is free from the specification of the distribution of the initial observations and robust against nonnormality ...


Spatial Dynamic Panel Data Models With Correlated Random Effects, Liyao LI, Zhenlin YANG 2018 Singapore Management University

Spatial Dynamic Panel Data Models With Correlated Random Effects, Liyao Li, Zhenlin Yang

Research Collection School Of Economics

In this paper, M-estimation and inference methods are developed for spatial dynamic panel data models with correlated random effects, based on short panels. The unobserved individual-specific effects are assumed to be correlated with the observed time-varying regressors linearly or in a linearizable way, giving the so-called correlated random effects model, which allows the estimation of effects of time-invariant regressors. The unbiased estimating functions are obtained by adjusting the conditional quasi-scores given the initial observations, leading to M-estimators that are consistent, asymptotically normal, and free from the initial conditions except the process starting time. By decomposing the estimating functions into sums ...


Pretrial Release And Failure-To-Appear In Mclean County, Il, Jonathan Monsma 2018 Illinois State University

Pretrial Release And Failure-To-Appear In Mclean County, Il, Jonathan Monsma

Stevenson Center for Community and Economic Development to Stevenson Center for Community and Economic Development—Student Research

Actuarial risk assessment tools increasingly have been employed in jurisdictions across the U.S. to assist courts in the decision of whether someone charged with a crime should be detained or released prior to their trial. These tools should be continually monitored and researched by independent 3rd parties to ensure that these powerful tools are being administered properly and used in the most proficient way as to provide socially optimal results. McLean County, Illinois began using the Public Safety Assessment-CourtTM (PSA-Court or simply PSA) risk assessment tool beginning in 2016. This study culls data from the McLean County ...


Aging, Depression, Non-Communicable Diseases And Disabilities In South Africa, Manoj K. Pandey, Vani S. Kulkarni, Raghav Gaiha 2018 Australian National University

Aging, Depression, Non-Communicable Diseases And Disabilities In South Africa, Manoj K. Pandey, Vani S. Kulkarni, Raghav Gaiha

Population Center Working Papers (PSC/PARC)

This is the first study that offers a comprehensive analysis of depression among the old (60+ years) in South Africa. This study uses four waves of a panel survey of the South Africa National Income Dynamics Study (SA-NIDS) during 2008-2014. A state-of-art econometric methodology has been used to unravel the factors underlying depression among the old over the period 2008-2014. Depending on whether the dependent variable is binary (self-reported depression for ≥ 3 days in a week) or continuous (as in measures of overall depression and severe depression), we use random effects probit with Mundlak adjustment or simply random effects with ...


Rhode Island Current Conditions Index -- July 2018, Leonard Lardaro 2018 University of Rhode Island

Rhode Island Current Conditions Index -- July 2018, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.


Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi H. BALTAGI, Alain PIROTTE, Zhenlin YANG 2018 Syracuse University

Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi H. Baltagi, Alain Pirotte, Zhenlin Yang

Research Collection School Of Economics

We propose tests for homoskedasticity in spatial econometric models, based on joint or concentrated score functions and an Outer-Product-of-Martingale-Difference (OPMD) estimate of the variance of the joint or concentrated score functions. Versions of these tests robust against non-normality are also given. Asymptotic properties of the proposed tests are formally examined using a cross-section model and a panel model with fixed effects. Monte Carlo results show that the proposed tests based on the concentrated score function have good finite sample properties. Finally, the generality of the proposed approach in constructing tests for homoskedasticity is further demonstrated using a spatial dynamic panel ...


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