Asia

Sources of spatial welfare disparities in Indonesia: Household endowments or returns?

Journal of Asian Economics - 6 hours 37 min ago
Publication date: December 2013
Source:Journal of Asian Economics, Volume 29

Author(s): Emmanuel Skoufias , Sergio Olivieri

This article investigates (i) the extent to which the differences in the standard of living among districts in Indonesia are due to differences in the marginal welfare gains (returns) associated with household mobile endowments or differences in household endowments themselves; and (ii) whether the current allocation of fiscal expenditures by the central authorities is related to the main determinants of the spatial disparities in welfare among districts. Differences in the returns to household mobile characteristics are found to be the primary explanation of the welfare differences. The allocation of fiscal transfers to districts is found to be based on “needs” defined as low returns to household mobile endowments. This also suggests that the design of the fiscal transfer system is consistent with promoting the opportunities for welfare across districts as opposed to equalizing the level of welfare itself. Finally, the marginal welfare gains of most household mobile endowments are found to be higher in districts with more roads.





Categories: Asia, Economics

The determinants of Australian household debt: A macro level study

Journal of Asian Economics - 6 hours 37 min ago
Publication date: December 2013
Source:Journal of Asian Economics, Volume 29

Author(s): Xianming Meng , Nam T. Hoang , Mahinda Siriwardana

This paper employs a cointegrated Vector Autoregression (CVAR) model to explore the determinants of Australian household debt. The results show that housing prices, GDP and the population in the economy have a positive effect on household borrowing. Meanwhile, interest rates, the unemployment rate, the number of new dwellings and inflation are found to have a negative effect on Australian household debt. Of these, interest rates are the most significant. Based on these results, it is judicious to rein in household debt during economic booms through monitoring and intervening in the assets market and using monetary policy in a timely, comprehensive, and careful manner.





Categories: Asia, Economics

Bank opacity, intermediation cost and globalization: Evidence from a sample of publicly traded banks in Asia

Journal of Asian Economics - 6 hours 37 min ago
Publication date: December 2013
Source:Journal of Asian Economics, Volume 29

Author(s): Wahyoe Soedarmono , Amine Tarazi

This paper examines the relationship between opacity and the cost of intermediation in Asian banks. Using a sample of publicly traded commercial banks from 2002 to 2008, our empirical results show that higher opacity is associated with a lower intermediation cost in banking. Hence, bank managers in their efforts to overcome asymmetric information issues and to improve transparency tend to offset the higher cost of acquiring and disclosing information by increasing the cost of intermediation for entrepreneurs. Moreover, a deeper look at the country level indicates that the negative link between opacity and the cost of intermediation is reversed as globalization increases. Greater globalization therefore outweighs managerial entrenchment behavior to preserve bank opacity. Our findings highlight that bank opacity issues are even more costly in countries with higher globalization.





Categories: Asia, Economics

Family size, household shocks and chronic and transient poverty in the Philippines

Journal of Asian Economics - 6 hours 37 min ago
Publication date: December 2013
Source:Journal of Asian Economics, Volume 29

Author(s): Connie Bayudan-Dacuycuy , Joseph Anthony Lim

This research is one of the few attempts to analyze chronic and transient poverty in the Philippines. Results indicate that poverty in the Philippines is largely comprised of chronic poverty with households in rural areas and Mindanao regions being the most affected. Using quantile regressions, results show that both chronic and transient poverty are affected by negative shocks to households. Shocks in the labor market such as job loss or income reduction affect chronic poverty while natural disasters such as droughts affect transient poverty. Results also indicate that a higher dependency burden due to a large number of younger children positively affects chronic poverty but not transient poverty. Policy suggestions to lower both types of poverty in the Philippine context are provided.





Categories: Asia, Economics

Editorial Board

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28









Categories: Asia, Economics

Econometrics of financial markets in Asia

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Paresh Kumar Narayan







Categories: Asia, Economics

On the implementation and use of factor-augmented regressions in panel data

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Joakim Westerlund , Jean-Pierre Urbain

Practitioners are generally well aware of the fact that most standard approaches for estimation and inference in panel data regressions are based on assuming that the cross-sectional units are independent of each other, an assumption that is surely mistaken in applications, especially in macroeconomics and finance. Yet, applications involving anything but these standard approaches are very rare. The current paper can be seen as a reaction to this. The purpose is to point to some of the recent advances in the area of factor-augmented panel regressions, and to also provide some guidance regarding their implementation.
Highlights ► Most applications involving panel data regressions are based on OLS. ► Yet, OLS is known not to be robust to cross-section dependence. ► This paper point to some of the recent advances in the area of factor-augmented panel regressions. ► The implementation of these novel approaches is given a detailed treatment.




Categories: Asia, Economics

Simple unit root testing in generally trending data with an application to precious metal prices in Asia

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Joakim Westerlund

This paper proposes a new unit root test that is general enough to accommodate a potentially non-linear deterministic trend function, making it one of the most general tests around. However, the main advantage lies with its simple implementation. In particular, the asymptotic critical values are shown to be “almost” independent of the deterministic trend function, and as a result the test can be implemented without the need for model-specific critical values. The new test is applied to a sample consisting of monthly prices of four precious metals for a number of Asian countries.





Categories: Asia, Economics

Information asymmetry, market segmentation, and cross-listing: Implications for event study methodology

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Lulu Gu , W. Robert Reed

This paper connects three subjects related to international financial markets – (i) information asymmetry, (ii) market segmentation, and (iii) cross-listings – and highlights their implication for event study methodology. When firms list equities on more than one exchange, and the exchanges are characterized by different information sets, a problem arises as to which exchange(s) to include in the event study sample. If market segmentation impedes the arbitrage of these multiple responses, then the use of a single listing (for a firm that is cross-listed) can yield abnormal return estimates that are biased. In such circumstances, using returns from all the markets in which a firm's securities are listed not only increases the sample size (often an important consideration when undertaking event studies in emerging markets), but also enables full-information abnormal return estimates to be obtained. What is required is a method that extracts the independent information from each listing while counting the common information only once. In this paper, we develop an estimation procedure that achieves these twin objectives. We then apply our approach to an event study of Chinese overseas mergers and acquisitions, and compare results from alternative samples and estimators. We demonstrate that including return data from cross-listings of the same firm can result in substantially different conclusions.





Categories: Asia, Economics

Foreign exchange markets and oil prices in Asia

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Seema Narayan

In this paper, we examine whether oil price can predict exchange rate returns for 14 Asian countries. A new GLS-based time series predictive regression model proposed by Westerlund and Narayan (WN, 2012) is used. The main finding is that higher oil price leads to future depreciation of the Vietnamese dong but future appreciations of the local currencies of Bangladesh, Cambodia, and Hong Kong. A comparison of the widely used Lewellen (2004) and WN (2012) estimators show that both provide similar results in in-sample analysis, although WN is relatively superior at longer horizons in out-of-sample analysis.





Categories: Asia, Economics

Oil price uncertainty and sovereign risk: Evidence from Asian economies

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Susan Sunila Sharma , Kannan Thuraisamy

In this paper, we test whether oil price uncertainty predicts credit default swap (CDS) returns for eight Asian countries. We use the Westerlund and Narayan (2011, 2012) predictability test that accounts for any persistence in and endogeneity of the predictor variable. The estimator also accounts for any heteroskedasticity in the regression model. In-sample evidence reveals that oil price uncertainty predicts CDS returns for three Asian countries, whereas out-of-sample evidence suggests that oil price uncertainty predicts CDS returns for six countries.





Categories: Asia, Economics

On the predictability of realized volatility using feasible GLS

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Sonia R. Bentes , Rui Menezes

This study deals with the out-of-sample predictability of realized volatility induced by implied volatility using FGLS. The original dataset was collected from Bloomberg and includes price and implied volatility indices from the US, Hong Kong, China, South Korea and India. Prices were then transformed into realized volatility indices. The relation between realized and implied volatility is important insofar as market expectations about future turbulence may affect the investor's behavior in advance. However, there are some features of the financial data which turn problematic the choice of the OLS estimator. These features include endogeneity and persistence of the predictor, and also conditional heteroskedasticity of the predicted innovations. Consequently, OLS becomes biased and inefficient. The FGLS estimator accounts for these characteristics and, therefore, performs better than OLS-based estimators, as indicated by many of our results.





Categories: Asia, Economics

The relationship between Asian equity and commodity futures markets

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Kannan S. Thuraisamy , Susan Sunila Sharma , Huson Joher Ali Ahmed

In this paper, we test spillover effects between Asian equity market volatility and the volatility of the two most dominant commodities, namely, crude oil and gold futures. We consider a total of 14 Asian markets. We find that volatility shocks in established and mature equity markets, such as the Japanese market, spill over to the crude oil and gold futures markets, while immature markets tend to have spillover effects from commodity futures to equity markets. We also report evidence of increased bi-directional volatility transmission during the recent global financial crisis period. Like the volatility of crude oil futures, the volatility of gold futures matters to the equity market. As far as equity market volatility is concerned, the impact of volatility shocks from the gold futures market is as important as the volatility shocks from the crude oil futures market.





Categories: Asia, Economics

Optimum international reserves and sovereign risk: Evidence from India

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Prabheesh K.P.

This paper empirically determines the optimal level of international reserves for India by explicitly incorporating the country's sovereign risk associated with the default on external debt. The optimum level of reserves is determined by minimizing the central bank's cost function, which consists of costs due to high reserve holdings and costs due to reserve depletion. The simulated optimum reserves for the period 1994–2010 indicate that actual reserves are higher than the optimum value across the sample period, except during 1997–1998.





Categories: Asia, Economics

Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Ai-ru (Meg) Cheng , Kuntal Das , Takeshi Shimatani

This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on the daily realized volatility of USD/JPY exchange rates using high frequency data. Following Huang and Tauchen (2005) and Barndorff-Nielsen and Shephard (2004, 2006), we use bi-power variation to decompose daily realized volatility into two components: the smooth persistent and the discontinuous jump components. We model exchange rate returns, the different components of realized volatility and the central bank intervention using a system of simultaneous equations. We find strong support that interventions by Bank of Japan had increased both the continuous and the jump components of daily realized volatility. This suggests that the interventions by Bank of Japan had increased market volatility which not only caused short-lived positive jumps, but were also persistent over time. We did not find any evidence that interventions were effective in influencing the exchange rate returns for the entire sample period.
Highlights • We model the effect of Bank of Japan's intervention on exchange rate volatility. • We decompose daily realized volatility into continuous and jump components. • We find intervention increased the continuous component for USD/JPY. • For USD/JPY, jumps increased when interventions were infrequent and large. • Interventions were unsuccessful in influencing USD/JPY returns.




Categories: Asia, Economics

Intraday liquidity patterns in Indian stock market

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): R. Krishnan , Vinod Mishra

This paper is an empirical study of the intraday liquidity patterns on the National Stock Exchange (NSE) of India. Using trade and quotes data on stocks contained in the NIFTY index, we find that most of the volume and spread related to liquidity measures are U-shaped, similar to those found in a quote driven market. Such patterns also indicate a contradictory feature of concurrent high trading volume and wide spreads, a feature that is new to an order driven market such as the NSE. Additionally, this paper also measures marketwise liquidity by checking for commonality among liquidity measures. Empirical results show that there is only weak evidence of commonality, suggesting sensitivity to commonality need not be a priced risk.
Highlights • The paper attempts to study intraday liquidity patterns in Indian stock market. • We also test for commonality among various liquidity measures. • Most liquidity measures follow a U-shaped pattern within a day. • We found weak evidence of commonality across various liquidity measures.




Categories: Asia, Economics

Detecting bubbles in Hong Kong residential property market

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Matthew S. Yiu , Jun Yu , Lu Jin

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 also found a bubble in early 2011 in the overall market, and in the mass segment but not in the luxury segment. This result suggests that the bubble in early 2011 in the Hong Kong real estate market was caused primarily by the mass segment under the demand pressure from end-users of small-to-medium sized apartments.





Categories: Asia, Economics

Has political instability contributed to price clustering on Fiji's stock market?

Journal of Asian Economics - 6 hours 37 min ago
Publication date: October 2013
Source:Journal of Asian Economics, Volume 28

Author(s): Paresh Kumar Narayan , Russell Smyth

The goal of this article is to examine evidence of stock price clustering on the South Pacific Stock Exchange, located in Fiji, and explore its determinants. We find that stock prices cluster at the decimal of 0 and 5, with almost half of prices settling on these two decimals. Upon investigating the determinants of price clustering on the South Pacific Stock Exchange we find that price level and volume of trade have a statistically significant positive effect on price clustering. We also propose and test a ‘panic trading’ hypothesis which states political instability induces price clustering. We find evidence that political instability in Fiji induces price clustering behaviour.





Categories: Asia, Economics

Editorial Board

Journal of Asian Economics - 6 hours 37 min ago
Publication date: August 2013
Source:Journal of Asian Economics, Volume 27









Categories: Asia, Economics

A sequential test for pair-wise convergence in Chinese provincial income

Journal of Asian Economics - 6 hours 37 min ago
Publication date: August 2013
Source:Journal of Asian Economics, Volume 27

Author(s): Joakim Westerlund

In this paper a recently proposed method to sequentially determine the proportion of stationary units in a panel is employed to investigate per-capita GDP convergence in China. The main advantage of this method, in addition to being able to accommodate virtually any serial and cross-section dependence, is its ability to identify arbitrarily small convergence clubs, thereby avoiding potential pre-classification bias inherent in many existing methods. Our main conclusion is that the evidence of convergence is basically nonexistent, and that the little evidence that does exist indicates the existence of a small number of very small convergence clubs.





Categories: Asia, Economics
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