nep-sea New Economics Papers
on South East Asia
Issue of 2009‒12‒11
eight papers chosen by
Kavita Iyengar
Asian Development Bank

  1. Interdependence of international tourism demand and volatility in leading ASEAN destinations By Chang, C-L.; Khamkaew, T.; McAleer, M.; Tansuchat, R.
  2. Modelling conditional correlations in the volatility of Asian rubber spot and futures returns By Khamkaew, T.; Tansuchat, R.; Chang, C-L.; McAleer, M.
  3. The Asian Green Revolution: By Hazell, Peter B.R.
  4. Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan By Chang, C-L.; McAleer, M.
  5. A Panel Threshold Model of Tourism Specialization and Economic Development By Chang, C-L.; Khamkaew, T.; McAleer, M.
  6. Early exercise boundary for American type of floating strike Asian option and its numerical approximation By Tomas Bokes; Daniel Sevcovic
  7. The Real Effects of Financial Constraints: Evidence from a Financial Crisis By Murillo Campello; John Graham; Campbell R. Harvey
  8. Land-tenure policy reforms: Decollectivization and the Doi Moi system in Vietnam By Kirk, Michael; Tuan, Nguyen Do Anh

  1. By: Chang, C-L.; Khamkaew, T.; McAleer, M.; Tansuchat, R. (Erasmus Econometric Institute)
    Abstract: International and domestic tourism are leading economic activities in the world today. Tourism has been known to generate goods and services directly and indirectly, attract foreign currency, stimulate employment, and provide opportunities for investment. It has also been recognized as an important means for achieving economic development. Substantial research has been conducted to evaluate the role of international tourism, and its associated volatility, within and across various economies. This paper applies several recently developed models of multivariate conditional volatility to investigate the interdependence of international tourism demand, as measured by international tourist arrivals, and its associated volatility in the four leading destinations in ASEAN, namely Indonesia, Malaysia, Singapore and Thailand. Each of these countries has attractive tourism characteristics, such as significant cultural and natural resources. Shocks to international tourism demand volatility could affect, positively or negatively, the volatility in tourism demand of neighbouring countries. The empirical results should encourage regional co-operation in tourism development among ASEAN member countries, and also mobilize international and regional organizations to provide appropriate policy actions.
    Keywords: tourism demand;ASEAN;multivariate GARCH;volatility spillovers;interdependence;economic development
    Date: 2009–11–23
  2. By: Khamkaew, T.; Tansuchat, R.; Chang, C-L.; McAleer, M. (Erasmus Econometric Institute)
    Abstract: Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is one of the world’s largest producers of rubber. As rubber prices are influenced by external markets, it is important to analyse the relationship between the relevant markets in Thailand, Japan and Singapore. The analysis is conducted using several alternative multivariate GARCH models. The empirical results indicate that the constant conditional correlations arising from the CCC model of Bollerslev (1990) lie in the low to medium range. The results from the VARMA-GARCH model of Ling and McAleer (2003) and the VARMA-AGARCH model of McAleer et al. (2009) suggest the presence of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional volatility. Finally, the DCC model of Engle (2002) suggests that the conditional correlations can vary dramatically over time. In general, the dynamic conditional correlations in rubber spot and futures returns shocks can be independent or interdependent.
    Keywords: multivariate GARCH;volatility spillovers;conditional correlations;Asian rubber prices;spot returns;futures returns
    Date: 2009–11–23
  3. By: Hazell, Peter B.R.
    Keywords: millions fed, Green Revolution, agricultural transformation,
    Date: 2009
  4. By: Chang, C-L.; McAleer, M. (Erasmus Econometric Institute)
    Abstract: Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily data from 1 January 1990 to 31 December 2008 are used to model the Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and a significant part of the global financial crisis of 2008-09. Inclusion of the exchange rate allows approximate daily price effects on Korean tourism arrivals to Taiwan to be captured. The Heterogeneous Autoregressive (HAR) model is used to capture long memory properties in exchange rates and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the conditional volatility estimates are not sensitive to the long memory nature of the conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models.
    Keywords: Korean tourist arrivals;exchange rates;approximate price effects;global financial crisis;Asian economic and financial crisis;GARCH;GJR;EGARCH;HAR;long memory;asymmetry;leverage
    Date: 2009–11–24
  5. By: Chang, C-L.; Khamkaew, T.; McAleer, M. (Erasmus Econometric Institute)
    Abstract: The significant impact of international tourism in stimulating economic growth is especially important from a policy perspective. For this reason, the relationship between international tourism and economic growth would seem to be an interesting empirical issue. In particular, if there is a causal link between international tourism demand and economic growth, then appropriate policy implications may be developed. The purpose of this paper is to investigate whether tourism specialization is important for economic development in East Asia and the Pacific, Europe and Central Asia, Latin America and the Caribbean, the Middle East and North Africa, North America, South Asia, and Sub-Saharan Africa, over the period 1991-2008. The impact of the degree of tourism specialization, which is incorporated as a threshold variable, on economic growth is examined for a wide range of countries at different stages of economic development. The empirical results from threshold estimation identify two endogenous cut-off points, namely 14.97% and 17.50%. This indicates that the entire sample should be divided into three regimes. The results from panel threshold regression show that there exists a positive and significant relationship between economic growth and tourism in two regimes, the regime with the degree of tourism specialization lower than 14.97% (regime 1) and the regime with the degree of tourism specialization between 14.97% and 17.50% (regime 2). However, the magnitudes of the impact of tourism on economic growth in those two regimes are not the same, with the higher impact being found in regime 2. An insignificant relationship between economic growth and tourism is found in regime 3, in which the degree of tourism specialization is greater than 17.50%. The empirical results suggest that tourism growth does not always lead to economic growth.
    Keywords: international tourism;economic development;tourism specialization;threshold variable;panel data
    Date: 2009–11–24
  6. By: Tomas Bokes; Daniel Sevcovic
    Abstract: In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jorgensen 2000) by including a continuous dividend rate $q$ and a general method of averaging of the floating strike. We focus on the qualitative and quantitative analysis of the early exercise boundary. The first order Taylor series expansion of the early exercise boundary close to expiry is constructed. We furthermore propose an efficient numerical algorithm for determining the early exercise boundary position based on the front fixing method. Construction of the algorithm is based on a solution to a nonlocal parabolic partial differential equation for the transformed variable representing the synthesized portfolio. Various numerical results and comparisons of our numerical method and the method developed by (Dai and Kwok 2006) are presented.
    Date: 2009–12
  7. By: Murillo Campello; John Graham; Campbell R. Harvey
    Abstract: We survey 1,050 CFOs in the U.S., Europe, and Asia to assess whether their firms are credit constrained during the global credit crisis of 2008. We study whether corporate spending plans differ conditional on this measure of financial constraint. Our evidence indicates that constrained firms planned deeper cuts in tech spending, employment, and capital spending. Constrained firms also burned through more cash, drew more heavily on lines of credit for fear banks would restrict access in the future, and sold more assets to fund their operations. We also find that the inability to borrow externally causes many firms to bypass attractive investment opportunities, with 86% of constrained U.S. CFOs saying their investment in attractive projects was restricted during the credit crisis of 2008. More than half of the respondents say they will cancel or postpone their planned investment. Our results also hold in Europe and Asia, and in many cases are stronger in those economies.
    JEL: G31
    Date: 2009–12
  8. By: Kirk, Michael; Tuan, Nguyen Do Anh
    Keywords: millions fed, food security, rice, Land tenure, Land reform, Doi Moi, Decollectivization,
    Date: 2009

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