This paper presents a simple general equilibrium model involving trips from residential areas to a central business district, along with modal choice between cars and public transit. Using a calibrated numerical model, we investigate the relative merits of ownership and use taxes. The proposed...

In countries, such as Singapore, that have implemented vehicle congestion policies, recent years have seen a shift towards motor vehicle taxes based on car use. Ownership taxes reduce the number of cars on the road, leaving the price per trip largely unaffected. Use taxes such as fuel taxes and...

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically...

In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the...

This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is...

This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is...

The evolution of volatility and correlation patterns of the Malaysian ringgit and the Singapore dollar are analyzed in this paper. Our approach can simultaneously capture the empirical regularities of persistent and asymmetric effects in volatility and time-varying correlations of financial time...