The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore最新文献_第3页

Non Central Moments of the Truncated Normal Variable 截断正态变量的非中心矩

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2016-07-12 DOI: 10.2139/SSRN.2818861

Fausto Corradin, D. Sartore

引用次数: 0

On the (Ab)Use of Omega? 关于ω的(Ab)用法?

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2016-07-11 DOI: 10.2139/ssrn.2559216

M. Caporin, Michele Costola, Gregory Mathieu Jannin, Bertrand B. Maillet

{"title":"On the (Ab)Use of Omega?","authors":"M. Caporin, Michele Costola, Gregory Mathieu Jannin, Bertrand B. Maillet","doi":"10.2139/ssrn.2559216","DOIUrl":"https://doi.org/10.2139/ssrn.2559216","url":null,"abstract":"Several recent finance articles employ the Omega measure, proposed by Keating and Shadwick (2002) - defined as a ratio of potential gains out of possible losses - for gauging the performance of funds or active strategies (e.g. Eling and Schuhmacher, 2007; Farinelli and Tibiletti, 2008; Annaert et al., 2009; Bertrand and Prigent, 2011; Zieling et al., 2014; Kapsos et al., 2014; Hamidi et al., 2014), in substitution of the traditional Sharpe ratio (1966), with the arguments that return distributions are not Gaussian and volatility is not, always, the relevant risk metric. Other authors also use the same criterion for optimizing (non-linear) portfolios with important downside risk. However, we wonder in this article about the relevance of such approaches. First, we show through a basic illustration that the Omega ratio is inconsistent with the Strict Inferior Second-order Stochastic Dominance criterion. Furthermore, we observe that the trade-off between return and risk, corresponding to the Omega measure, may be essentially influenced by the mean return. Next, we illustrate in static and dynamic frameworks that Omega-based optimal portfolios can be associated with traditional optimization paradigms depending on the chosen threshold used in the computation of Omega. Finally, we present some robustness checks on long-only asset and hedge fund databases that all confirm our general results.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"65 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90358467","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 18

The Weighting Role of Normalisation in a Multidimensional Analysis of Social Inclusion 规范化在社会包容多维分析中的权重作用

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2015-11-09 DOI: 10.2139/ssrn.2713000

Ludovico Carrino

{"title":"The Weighting Role of Normalisation in a Multidimensional Analysis of Social Inclusion","authors":"Ludovico Carrino","doi":"10.2139/ssrn.2713000","DOIUrl":"https://doi.org/10.2139/ssrn.2713000","url":null,"abstract":"In the context of the multidimensional measurement of complex phenomena, the major focus of the recent literature has been on the choice of the dimensions� weights and the shape of the aggregation function, while few studies have concentrated on how normalisation influences the results. With the aim of building a measure of Social Inclusion for European regions between 2004 and 2012, we adopt a CES aggregation framework and compare two alternative normalisation strategies: a data-driven min-max function, where the parameters depends solely on the available data, and an expert-based function where parameters are elicited through a survey at the University of Venice Ca� Foscari. Regardless of the adopted strategy, we show that normalisation plays a crucial part in defining variables� weighting and trade-offs. The data-driven strategy produces trade-offs that are hard to interpret in economic terms and debatable from a social desirability perspective, thus generating an aggregate measure with a �positive� interpretation. Moreover, it softens the aftermaths of the recent economic crisis on Social Inclusion, by putting a consistent weight on the longevity variable. Conversely, the expert-based normalisation has strikingly different parameters and allows for a normative interpretation of the resulting index. Furthermore, it emphasizes the worsening trends in long- term unemployment and the relevance of early school leaving in the Social Inclusion measure. As a result, numerous rank-reversals occur between regions when switching the normalisation methods.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81794576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Choice of Bass Model Coefficients to Forecast Diffusion for Innovative Products: An Empirical Investigation for New Automotive Technologies 预测创新产品扩散的Bass模型系数选择:基于汽车新技术的实证研究

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2015-08-01 DOI: 10.2139/ssrn.2903850

Jérôme Massiani, Andreas Gohs

{"title":"The Choice of Bass Model Coefficients to Forecast Diffusion for Innovative Products: An Empirical Investigation for New Automotive Technologies","authors":"Jérôme Massiani, Andreas Gohs","doi":"10.2139/ssrn.2903850","DOIUrl":"https://doi.org/10.2139/ssrn.2903850","url":null,"abstract":"Bass diffusion models are one of the competing paradigms to forecast the diffusion of innovative products or technologies. This approach posits that diffusion patterns can be modelled through two mechanisms: Innovators adopt the new product and imitators purchase the new product when getting in contact with existing users. Crucial for the implementation of the method are the values assigned to the two parameters, usually referred to as p and q, which mathematically describe innovation and imitation mechanisms. The present paper investigates how to select adequate values for the Bass model parameters to forecast new automotive technologies diffusion with a focus on Electric Vehicles. It considers parameters provided by the literature as well as ad hoc parameter estimations based on real market data for Germany. Our investigation suggests that researchers may be in trouble in electing adequate parameter values since the different eligible parameter values exhibit dramatic variations. Literature values appear discussible and widely variable while ad hoc estimates appear poorly conclusive. A serious problem is that ad-hoc estimates of the Bass p value are highly sensitive to the assumed market potential M. So for plausible values of M, p varies on a high scale. Unless more consolidation takes place in this area, or more confidence can be placed on ad hoc estimates, these findings issue a warning for the users of such approaches and on the policy recommendations that would derive from their use.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"44 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90774351","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 104

A Procedure for the Ex-Ante Assessment of Compulsory Municipal Amalgamation Programs 强制性市政合并计划事前评估程序

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2015-07-07 DOI: 10.2139/ssrn.2629927

Dino Rizzi, M. Zanette

{"title":"A Procedure for the Ex-Ante Assessment of Compulsory Municipal Amalgamation Programs","authors":"Dino Rizzi, M. Zanette","doi":"10.2139/ssrn.2629927","DOIUrl":"https://doi.org/10.2139/ssrn.2629927","url":null,"abstract":"The aim of the paper is to develop a procedure that allows policy makers to make an ex-ante assessment of a general compulsory amalgamation policy, providing quantitative indications about the possible financial effects. The amalgamation of small municipalities is a widespread practice all over the world. This policy is based on the assumption that local public service provision is characterized by economies of scale and economies of scope. However, population size is not the only determinant of economies of scale, which depend on many other factors. For these reasons, the expected effects of any amalgamation program are uncertain, and ex-post empirical analyses are unable to offer unambiguous indications to policy makers since all programs differ. After a brief discussion of the relevant issues concerning amalgamation, we present the procedure used to simulate the economics and administrative effects of a general compulsory amalgamation policy. The procedure is tested with reference to the municipalities of Veneto, a region of Italy and we provide the results of a number of simulations under alternative amalgamation policies. The main result is that amalgamation policies based only on the a priori rule that small municipalities should merge may be very inefficient because the expenditure reduction following an amalgamation policy may depend to a considerable extent on other territorial and socio-economic characteristics of the municipalities involved.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81671298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

The Statistical Combination Procedure in Measures for Risk in Financial Systems 金融系统风险度量中的统计组合程序

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2015-04-17 DOI: 10.2139/ssrn.2595655

Francesca Parpinel

引用次数: 0

The Effects of Fiscal Policy on Employment: An Analysis of the Aggregate Evidence 财政政策对就业的影响:一个综合证据的分析

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2015-02-09 DOI: 10.2139/ssrn.2563667

A. Tafuro

{"title":"The Effects of Fiscal Policy on Employment: An Analysis of the Aggregate Evidence","authors":"A. Tafuro","doi":"10.2139/ssrn.2563667","DOIUrl":"https://doi.org/10.2139/ssrn.2563667","url":null,"abstract":"This study investigates whether fiscal policy is able to affect the trend of employment rate, triggering hysteresis independently from GDP behavior. I attempt to shed a light on this issue analyzing a Panel of 17 OECD countries, covering the period 1980-2009 with annual data. The effects of fiscal policy are estimated with a SVAR, where the exogenous fiscal shock is identified employing a recent dataset provided by the IMF, containing predetermined fiscal policy changes due to fiscal consolidation issues. My results suggest that a fiscal shock can modify the employment equilibrium level even without influencing potential output. The fiscal multiplier for the employment rate trend after two years is -0.55 and accounts for almost half of the multiplier for overall employment rate (which is -1.10), while is -0.11 � and not significant � for the potential output. The multiplier for the real per capita GDP is -1.04, which sharply contrasts with the �expansionary austerity� hypothesis. Various extensions are presented, considering the role of composition, monetary policy, and state-dependency. Spending cuts affect employment more than tax increases, while tax effects are larger on real per capita GDP. Such a result may be explained by different reactions of monetary policy. The evidence advocates that the multiplier is state-dependent, i.e. larger during recessions, and such effect is stronger on employment trend.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82795772","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Eligibility and Inclusiveness of Long-Term Care Institutional Frameworks in Europe: A Cross-Country Comparison 欧洲长期护理制度框架的资格和包容性:一项跨国比较

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2014-12-18 DOI: 10.2139/ssrn.2541246

Ludovico Carrino, C. Orso

{"title":"Eligibility and Inclusiveness of Long-Term Care Institutional Frameworks in Europe: A Cross-Country Comparison","authors":"Ludovico Carrino, C. Orso","doi":"10.2139/ssrn.2541246","DOIUrl":"https://doi.org/10.2139/ssrn.2541246","url":null,"abstract":"Although economic literature has recently started to concentrate on the design, the scope and the regulations of main public programmes of Long-Term-Care in Europe, no analysis have, so far, compared different systems in terms of their degree of inclusiveness with respect to vulnerable elderly�s health status. Focusing on several European countries, this paper investigate how LTC regulations assess vulnerability, as well as how they define a minimum level of objective-dependency that would entitle individuals to receive public benefits (in-kind or in-cash) for home-based care. Our contribution is threefold. We provide detailed information on assessment and eligibility frameworks for eleven LTC programmes in Europe. We show that substantial heterogeneities exist both at the extensive margin (the health-outcomes that are included in the vulnerability-assessment) and at the intensive margin (the minimum vulnerability threshold that defines benefit eligibility) of the assessment strategies. Building on this information, we compare LTC programmes in terms of their degree of inclusiveness, i.e., we investigate the extent to which each programme is able to cover a standard population of elderly individuals facing functional and cognitive limitations. The comparison is performed following both a directly- and an indirectly- adjusted strategy using SHARE data.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"13 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81928157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 15

Modeling Firm Heterogeneity in International Trade: Do Structural Effects Matter? 国际贸易中的企业异质性建模:结构效应重要吗?

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2014-07-22 DOI: 10.2139/ssrn.2471496

R. Roson, Kazuhiko Oyamada

{"title":"Modeling Firm Heterogeneity in International Trade: Do Structural Effects Matter?","authors":"R. Roson, Kazuhiko Oyamada","doi":"10.2139/ssrn.2471496","DOIUrl":"https://doi.org/10.2139/ssrn.2471496","url":null,"abstract":"This paper analyzes the qualitative properties of a multisectoral, multiregional computable general equilibrium model where some industries include heterogeneous firms as in Melitz (2003). The model, formulated according to Roson, R. and Oyamada (2014), adds endogenous productivity effects to a standard Walras-Ricardian framework. We argue that the inclusion of such effects changes the magnitude and distribution of welfare benefits obtainable by reductions in trade barriers, due to of comparative advantages. Abstract We illustrate the point through a numerical example, in which alternative model formulations are assessed. A standard neoclassic GE model, a basic Melitz model and a hybrid model are then compared. The three model versions are all calibrated with the same data set and an identical simulation experiment (a 50% reduction of transport costs between two regions) is carried out in the three cases. The results show that the hybrid model displays the largest welfare gains, as it combines Ricardian comparative advantages with Melitz average productivity improvements. However, they also show that new effects, not present in the original Ricardo and Melitz frameworks, are at a work.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88271455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Endogenous Market Structures and International Trade - II: Optimal Trade Policy 内生市场结构与国际贸易- II:最优贸易政策

The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore Pub Date : 2012-07-01 DOI: 10.2139/ssrn.2192015

Federico Etro

引用次数: 1