This paper presents and estimates a regime switching macro-finance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined simultaneously. Both the canonical yields-only model and the macro-finance model capture two...

We examine the pricing trends in the online toy markets based on a unique set of panel data collected across three years’ span. The analysis was made through panel data regression models with error components and serial correlation, allowing comparisons of prices and price dispersions between...

In sturdy econometrics specification search problems of unit roots and multicollinearity are well documented since the inception of regression analysis. In examining the likely consequences of nonsense relationship Granger and Newbold (1974) make it clear that first differencing is not the...

This paper is an empirical exercise that seeks to reveal the nature of economic fluctuations in the archetypal small open economy of Singapore. We assess the extent to which local business cycles are influenced by their foreign counterparts with regards to cyclicality, co-movement and volatility...

The Currency Board System in Hong Kong and the monitoring band system in Singapore are important benchmarks for two different exchange-rate systems. In this paper we consider the implications of the two exchange-rate systems on the interest-rate behaviour of the two economies. We examine the...

This study compared intergenerational earnings mobility in Singapore and the United States by replicating the limitations in the Singapore National Youth Survey on the U.S. Panel Study of Income Dynamics. The mean estimated earnings elasticities are almost identical: 0.26 in Singapore and 0.27...

We extract global yield curve factors based on the affine arbitrage-free dynamic Nelson-Siegel model. The measure of integration proposed in the paper allows time-varying partial segmentation of national and global government bond markets. It takes into account the maturity structure of yields,...