nep-sea New Economics Papers
on South East Asia
Issue of 2014‒03‒22
ten papers chosen by
Kavita Iyengar
Asian Development Bank

  1. Dynamic Spanning Tree Approach - The Case Of Asia-Pacific Stock Markets By Ahmet Sensoy; Benjamin M. Tabak
  2. Value added trade and structure of high-technology exports in China By Kuroiwa, Ikuo
  3. Land Confiscations and land reform in Natural-Order States By Sumner La Croix
  4. Growth Strategy with Social Capital and Physical Capital- Theory and Evidence: the Case of Vietnam By Cuong Le Van; Anh Ngoc Nguyen; Ngoc-Minh Nguyen
  5. Market Discipline at Thai Banks before the Asian Crisis By Jiranyakul, Komain; Opiela, Timothy
  6. Budget deficit, money growth and inflation: Empirical evidence from Vietnam By Khieu Van, Hoang
  7. Consumer Loans in Cambodia: Implications on Banking Stability By Meng, Channarith
  8. Global financial stability - the road ahead By Dudley, William
  9. Analyzing and Forecasting Movements of the Philippine Economy using the Dynamic Factor Models (DFM) By Mapa, Dennis S.; Simbulan, Maria Christina
  10. Time Series Analysis using Vector Auto Regressive (VAR) Model of Wind Speeds in Bangui Bay and Selected Weather Variables in Laoag City, Philippines By Orpia, Cherie; Mapa, Dennis S.; Orpia, Julius

  1. By: Ahmet Sensoy; Benjamin M. Tabak
    Abstract: This article proposes a new procedure to evaluate Asia Pacic stock market in-terconnections using a dynamic setting. Dynamic Spanning Trees (DST) are constructed using an ARMA-FIEGARCH-cDCC process. The main results show that: 1. The DST significantly shrinks over time; 2. Hong Kong is found to be the key nancial market; 3. The DST has a significantly increased stabil-ity in the last few years; 4. The removal of the key player has two eects: there is no clear key market any longer and the stability of the DST signicantly de- creases. These results are important for the design of policies that help develop stock markets and for academics and practitioners.
    Keywords: Asia-Pacific financial markets, Dynamic Spanning Tree - DST, centrality measures, survival rate
    JEL: C58 F30 G01 G15
    Date: 2014–01
  2. By: Kuroiwa, Ikuo
    Abstract: This study focuses on the technological intensity of China's exports. It first introduces the method of decomposing gross exports by using the Asian international input–output tables. The empirical results indicate that the technological intensity of Chinese exports has been significantly overestimated due to its high dependency on import content, especially in high-technology exports, an area highly dominated by the electronic and electrical equipment sector. Furthermore, a significant portion of value added embodied in China's high-technology exports comes from services and high-technology manufacturers in neighboring economies, such as Japan, South Korea, and Taiwan.
    Keywords: China, International trade, Exports, Industrial structure, Industrial technology, International economic integration, Input-output tables, Technology, Production networks, Value added trade
    JEL: C67 F13 F15 O39
    Date: 2014–03
  3. By: Sumner La Croix (Department of Economics, University of Hawaii at Manoa)
    Abstract: Social scientists argue that post-World War II land reforms in East Asia were critical ingredients in the region’s strong economic growth, but pay little attention to how large-scale land confiscations might affect the security of property rights in each country. A review of the history of large-scale land confiscations in early modern Europe, the United States and Hawai‘i provides a foundation for understanding the nature of modern land reform policies. The key insight is to recognize that East Asian states after World War II were natural state social orders in which new governments confiscate and redistribute property to bolster their coalition’s position and weaken opponents. In East Asia, land confiscations after World War II followed the pattern observed elsewhere, with victors taking and redistributing land from the losers of the war and subsequent civil wars primarily to bolster their newly installed political coalition and to maintain social order.
    Keywords: property, revolution, war, land, confiscation, natural state, open-access order, limited-access order
    JEL: Q15 N41 N43 N51 N53
    Date: 2014–03
  4. By: Cuong Le Van; Anh Ngoc Nguyen; Ngoc-Minh Nguyen
    Abstract: We study the impact of social capital in both simple theoretical and em- pirical model with the main assumption is the price of physical capital is a decreasing function of social capital. In our theoretical model, there exists a critical value such that ffrm will not invest in social capital if its saving is lower than the critical value and otherwise. Moreover, the output depends positively and non-linearly on the social capital. Our empirical model that captures the impact of physical capital, human capital, and social capital using the database from Survey of Small and Medium Scale Manufactur- ing Enterprises (SMEs) in Vietnam 2011, conffrms the conclusions of the theoretical model.
    Keywords: Social Capital, Optimal Growth Classification-JEL : Z1, E2, O00
    Date: 2014–02–25
  5. By: Jiranyakul, Komain; Opiela, Timothy
    Abstract: This paper tests the effect of systemic risk on deposit market discipline by interacting proxies for systemic risk with bank-specific default-risk variables. Discipline is measured by estimating a supply of deposit funds function at Thai banks from 1992 to 1997. The results show that supply decreases as bank-specific risk increases. Also, the sensitivity of funds to changes in bank-specific risk increases as systemic risk rises. Additionally, depositors decrease their sensitivity to deposit rates, decreasing the ability of banks to offset deposit drains by raising rates. Although banking system risk increases, discipline decreases the share of deposits at the riskiest banks.
    Keywords: Market discipline, market monitoring, systemic risk, banking and currency crises
    JEL: E44 G21
    Date: 2014–03
  6. By: Khieu Van, Hoang
    Abstract: This study empirically examines the nexus among budget deficit, money supply and inflation by using a monthly data set from January 1995 to December 2012 and a SVAR model with five endogenous variables, inflation, money growth, budget deficit growth, real GDP growth and interest rate. Since real GDP and budget deficit are unavailable on the monthly basis, we interpolate those series using Chow and Lin’s (1971) annualized approach from their annual series. Overall, we found that money growth has positive effects on inflation while budget deficit growth has no impact on money growth and therefore inflation. In addition, budget deficit is autonomous from shocks to other variables. The estimation results also reveal that the State Bank of Vietnam implemented tightening monetary policy in response to positive shocks to inflation by reducing money growth but the response was relatively slow because it took three months for the monetary authority to fully react to such shocks. Finally, interest rate was not an effective instrument for fighting inflation but it was significantly and positively influenced by inflation.
    Keywords: Inflation; Money Growth; Budget Deficit; Structural Vector Auto-regressive Model.
    JEL: E31 E58 E61
    Date: 2014–01–31
  7. By: Meng, Channarith
    Abstract: This paper analyzes the fast development of consumer loans including housing loans in Cambodia to check whether or not such a development posts any stability risk to banking system in Cambodia. Using stress-testing method, the paper finds that current level of consumer loans provided by banks does yet creates a big threat to the banking stability in Cambodia. Rather, the surge reflects consequences of positive development in the banking system and economy as a whole, including the rise of middle-income class, changing family structure, stronger competition among banks, and more widespread financial literacy.
    Keywords: Housing loans, consumer loans, stress testing, banking stability, Cambodia, financial crisis
    JEL: E58 G01 G21 G28 O16
    Date: 2014–03–05
  8. By: Dudley, William (Federal Reserve Bank of New York)
    Abstract: Remarks at the Tenth Asia-Pacific High Level Meeting on Banking Supervision, Auckland, New Zealand
    Keywords: global financial system; shadow banking; global systemically important financial institutions(G-SIFIs); too big to fail; Comprehensive Capital Analysis and Review (CCAR); single point of entry (SPE); gone concern loss absorption capacity (GLAC); lender-of-last-resort (LOLR); Liquidity Coverage Ratio (LCR); Net Stable Funding Ratio (NSFR); central counterparties (CCPs); Financial Stability Board (FSB); Data Gaps Initiative (DGI)
    JEL: F30 G28
    Date: 2014–02–26
  9. By: Mapa, Dennis S.; Simbulan, Maria Christina
    Abstract: The country’s small and open economy is vulnerable to both internal and external shocks. Is it therefore important for policy makers to have timely forecasts on the movement of the country’s Gross Domestic Product (GDP), whether it will increase or decrease in the current quarter, to be able to guide them in coming up with appropriate policies to mitigate say, the impact of a shock. The current method used to forecast the movements of the GDP is the composite Leading Economic Indicators System (LEIS) developed by the National Economic Development Authority (NEDA) and the National Statistical Coordination Board (NSCB). The LEIS, using 11 economic indicators, provides one-quarter forecast of the movement of the GDP. This paper presents an alternative, and perhaps better, procedure to the LEIS in nowcasting the movements of the GDP using the Dynamic Factor Model (DFM). The idea behind the DFM is the stylized fact that economic movements evolve in a cycle and are correlated with co-movements in a large number of economic series. The DFM is a commonly used data reduction procedure that assumes economic shocks driving economic activity arise from unobserved components or factors. The DFM aims to parsimoniously summarize information from a large number of economic series to a small number of unobserved factors. The DFM assumes that co-movements of economic series can be captured using these unobserved common factors. This paper used 31 monthly economic indicators in capturing a common factor to nowcast movements of GDP via the DFM. The results show that the common factor produced by the DFM performed better in capturing the movements of the GDP when compared with the LEIS. The DFM is a promising and useful methodology in extracting indicators of the country’s economic activity.
    Keywords: Dynamic Factor Model, Leading Economic Indicators, Common Factor
    JEL: C4 E3 E61
    Date: 2014–03
  10. By: Orpia, Cherie; Mapa, Dennis S.; Orpia, Julius
    Abstract: Wind energy is the fastest growing renewable energy technology. Wind turbines do not produce any form of pollution and when strategically placed, it naturally blends with the natural landscape. In the long run, the cost of electricity using wind turbines is cheaper than conventional power plants since it doesn’t consume fossil fuel. Wind speed modelling and forecasting are important in the wind energy industry starting from the feasibility stage to actual operation. Forecasting wind speed is vital in the decision-making process related to wind turbine sizes, revenues, maintenance scheduling and actual operational control systems. This paper models and forecasts wind speeds of turbines in the Northwind Bangui Bay wind farm using the Vector Auto Regressive (VAR) model. The explanatory variables used are local wind speed (Laoag), humidity, temperature and pressure generated from the meteorological station in Laoag City. Wind speeds of turbines and other weather factors were found to be stationary using Augmented Dickey-Fuller (ADF) test. The use of VAR model, from daily time series data, reveals that wind speeds of the turbines can be explained by the past wind speed, the wind speed in Laoag, humidity, temperature and pressure. Results of the analysis, using the forecast error variance decomposition, show that wind speed in Laoag, temperature and humidity are important determinants of the wind speeds of the turbines.
    Keywords: Wind speed, Vector Auto Regressive (VAR) Model, Variance Decomposition
    JEL: C3 C5 Q5
    Date: 2014–03

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