nep-sea New Economics Papers
on South East Asia
Issue of 2010‒02‒27
eight papers chosen by
Kavita Iyengar
Asian Development Bank

  1. Development Strategies: Lessons from the Experiences of South Korea, Malaysia, Thailand and Vietnam By Khan, Haider A
  2. Analysis on International Trade of CLM Countries By Nu Nu Lwin
  3. Equity-Linked Pension Schemes with Guarantees By J. Aase Nielsen; Klaus Sandmann; Erik Schlogl
  4. Transport Infrastructure and Poverty Infrastructure By Sununtar Setboonsarng
  5. Foreign Currency Debt, Financial Crises and Economic Growth: A Long Run View By Bordo, Michael D.; Meissner, Christopher M.; Stuckler, David
  6. Affordable homeownership policy: implications for housing markets By Sock Yong Phang
  7. Econometric Analysis of Continuous Time Models: A Survey of Peter Philip¡¯s Work and Some New Results By Jun YU
  8. Forecasting Realized Volatility Using A Nonnegative Semiparametric Model By Daniel PREVE; Anders ERIKSSON; Jun YU

  1. By: Khan, Haider A
    Abstract: This piece synthesizes the development strategies of Korea, Malaysia, Thailand and Vietnam and draws some relevant lessons. Using a complex adaptive systems approach, strategic openness, a set of heterodox macroeconomic policies, creation of institutions for productive investment in both agriculture and industry, avoidance of severe inequalities and political conflict, special initial conditions and willingness to learn from unexpected developments are found to be some of these factors. Although no country can succeed by following mechanically the experience of another country cautious experimentation, rapid feedback and flexible, pragmatic policy-making with a strategic medium to long run perspective, can be helpful. Dynamic learning and flexible institution building are essential components of such a strategic approach to development.
    Keywords: development strategy, complex systems, heterodox policies, institution building, dynamic learning
    Date: 2010
  2. By: Nu Nu Lwin
    Abstract: Since their accession to AFTA, trade volumes of CLM countries have being grown rapidly while their trade patterns and directions have significantly changed. Recognizing the importance of international trade in CLM economies, this study attempts to analyze the trade patterns of CLM countries based the gravity model. The empirical analysis is conducted to identify the determining factors of each country’s bilateral trade flows and policy implications for promoting their trade.
    Keywords: CLM Countries, ASEAN, East Asia, FTA, Bilateral Trade, Cambodia, Laos, Myanmar, International Trade
    JEL: F14
    Date: 2009–08
  3. By: J. Aase Nielsen (Department of Mathematical Sciences, University of Aarhus); Klaus Sandmann (Department of Finance, University of Bonn); Erik Schlogl (School of Finance and Economics, University of Technology, Sydney)
    Abstract: This paper analyses the relationship between the level of a return guarantee in an equity-linked pension scheme and the proportion of an investor's contribution needed to finance this guarantee. Three types of schemes are considered: investment guarantee, contribution guarantee and participation surplus. The evaluation of each scheme involves pricing an Asian option, for which relatively tight upper and lower bounds can be calculated in a numerically efficient manner. We find a negative (and for two contracts pecifications also concave) relationship between the participation in the surplus return of the investment strategy and the guarantee level in terms of a minimum rate of return. Furthermore, the introduction of a possibility of early termination of the contract (e.g. due to the death of the investor) has no qualitative and very little quantitative impact on this relationship.
    Keywords: pension funds; forward risk adjusted measure; Asian option
    JEL: G13 G23
    Date: 2010–01–01
  4. By: Sununtar Setboonsarng
    Abstract: The main issues surrounding this concern and provides a range of policy, regulatory, and institutional measures that could help strengthen the impact of transport infrastructure on poverty reduction are summarized.
    Keywords: institutional measures, policy, transport, infrastructure, gender dimensions, poverty reduction, investment, income, India, Thailand, rural, savings, developing countries
    Date: 2010
  5. By: Bordo, Michael D. (Rutgers University and NBER); Meissner, Christopher M. (University of California, Davis and NBER); Stuckler, David (Christ Church College, University of Oxford)
    Abstract: Foreign currency debt is widely believed to increase risks of financial crisis, especially after being implicated as a cause of the East Asian crisis in the late 1990s. In this paper, we study the effects of foreign currency debt on currency and debt crises and its indirect effects on short-term growth and long-run output effects in both 1880-1913 and 1973-2003 for 45 countries. Greater ratios of foreign currency debt to total debt is associated with increased risks of currency and debt crises, although the strength of the association depends crucially on the size of a country's reserve base and its policy credibility. We found that financial crises, driven by exposure to foreign currency, resulted in significant permanent output losses. We estimate some implications of our findings for the risks posed by currently high levels of foreign currency liabilities in eastern Europe.
    JEL: F34 F36 F43 N10
    Date: 2009–10
  6. By: Sock Yong Phang (School of Economics, Singapore Management University)
    Abstract: Affordable homeownership is a policy that is often accorded a great deal of policy attention by governments of many countries. In this paper, we examine the market implications of setting a housing price to income ratio target for a market segment by the government. The policy requires active intervention by the government with regard to the targeted sector. We use a simple model of the housing market with a homeownership affordability target to derive the market implications of such targets. In the presence of uncertainty and resource constraints, the objective of homeownership affordability is achieved for the targeted group at the expense of greater volatility in residential construction activity. When the size of the targeted sector is significant in size, there are spillover price and crowding out effects on the non-targeted housing market segment. This results in political pressure on the government to expand homeownership affordability targets to increasing segments of the population. Housing price to income ratios tend to be fairly constant over time and across targeted groups, the housing supply is relatively price inelastic and the income elasticity of housing demand is less than one. The Singapore government intervenes extensively in the housing sector to ensure homeownership affordability, with a resulting homeownership rate of 91 percent for the resident population. The above hypotheses regarding the implications of setting housing price to income ratio targets are tested using the Singapore housing market. The experience and data for Singapore were found to support the above hypotheses.
    Keywords: Affordable homeownership policy, market implications, Singapore
    Date: 2009–11
  7. By: Jun YU (School of Economics, Singapore Management University)
    Abstract: Econometric analysis of continuous time models has drawn the attention of Peter Phillips for nearly 40 years, resulting in many important publications by him. In these publications he has dealt with a wide range of continuous time models and econometric problems, from univariate equations to systems of equations, from asymptotic theory to nite sample issues, from parametric models to nonparametric models, from identication problems to estimation and inference problems, from stationary models to nonstationary and nearly nonstationary models. This paper provides an overview of Peter Phillips' contributions in the continuous time econometrics literature. We review the problems that have been tackled by him, outline the main techniques suggested by him, and discuss the main results obtained by him. Based on his early work, we compare the performance of two asymptotic distributions in a simple setup. Results indicate that the in-ll asymptotics signicantly outperforms the long-span asymptotics.
    JEL: C22 C32
    Date: 2009–11
  8. By: Daniel PREVE (School of Economics, Singapore Management University); Anders ERIKSSON (Department of Information Science/Statistics, University of Uppsala); Jun YU (School of Economics, Singapore Management University)
    Abstract: This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It is semiparametric in the sense that the dependency structure and distributional form of its error component are left unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Simulation studies validate the new estimation method and suggest that it works reasonably well in finite samples. The out-of-sample performance of the proposed model is evaluated against a number of standard methods, using data on S&P 500 monthly realized volatilities. The competing models include the exponential smoothing method, a linear AR(1) model, a log-linear AR(1) model, and two long-memory ARFIMA models. Various loss functions are utilized to evaluate the predictive accuracy of the alternative methods. It is found that the new model generally produces highly competitive forecasts.
    Keywords: Autoregression, nonlinear/non-Gaussian time series, realized volatility, semiparametric model, volatility forecast.
    Date: 2009–11

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