Dear YSI universe,
We are delighted to publish the programme for our collaborative session with Vietnam National University! Five interesting papers with a theme of 'Economics in East Asia' will be presented. We hope you could join us!
Moderator: Dr Kim, Seung Woo
(Graduate Institute of Geneva / Coordinator, East Asia Working Group)
Investor sentiment index and how it incorporates in stock pricing models: Evidence in Vietnamese Stock Market by Yen Thi Hai Dinh, Nam Huy Cu, Khanh Dinh Hoang
Applying early warning system in assessing probability of a currency crisis among six Asian countries by Hoang Le Kien, Hoang Duc Chinh, Pham Thi Thao Chi
Intra-regional agricultural trade in ASEAN: An assessment of the impact of non-tariff measures by Duc Bao Nguyen (PhD, Lecturer, Faculty of Political Economics)
Mandates and monetary rules in a new Keynesian framework by Pham Thanh Son (PhD Candidate, Lecturer, Faculty of Development Economics)
Mothers and daughters: Intergenerational linkage between women and their mother’s employment in Japan by Tomoe Naito (PhD, Seikei University, Faculty of Economics)
Investor Sentiment Index And How It Incorporates In Stock Pricing Models: Evidence In Vietnamese Stock Market
Yen Thi Hai Dinh, Nam Huy Cu, Khanh Dinh Hoang
Although there is a growing concern among researchers worldwide about investor sentiment and its role in equity pricing, this topic is still new in Vietnam whose stock market has just recorded its history of 20 years. Using 16,104 observations of monthly data collected in HoChiMinh Stock Exchange over 11-year period, the Investor Sentiment Index has been constructed from 5 sentiment proxies, with an implication of Principal Component Analysis. In order to investigate the impacts of investor sentiment on investment pricing in Vietnam, Generalized Least Squares method is performed to test two stock pricing models: Capital Asset Pricing Model (CAPM); and Fama–French 3-factor model (FF3). In addition, these models are carried out in 3 different periods (2009-2011; 2012-2014; 2015-2019) to take into account any market cycle effects. The empirical results show that Investor Sentiment Index contributes significantly in both equity pricing models. However, the coefficient signs of Investor Sentiment Index are not consistent using data in different time frames. In particular, the coefficients are found to be positive on the first two periods and negative on the third period when investor sentiment is incorporated in CAPM as well as FF3 models.
Key words: investor sentiment, CAPM, Fama-French 3-factor model, behavioral finance
Applying Early Warning System in Assessing Probability of a Currency Crisis Among Six ASEAN Countries
Hoang Le Kien, Hoang Duc Chinh, Pham Thi Thao Chi
The current context of integration, trade and finance openness of the world economy has raised a question about the 10-year economic cycle and the possibility of an economic crisis in the near future. Currently, 6 countries, including Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam, have had rapid development with high levels of integration. Thus, any negative fluctuation of an economy could spread quickly to and exert adverse influence on the others. This research assessed the financial situation of these 6 countries using the indicators, applied both non-parametric and parametric methods of EWS model to determine thresholds and to forecast the possibility of currency crisis among these countries. The results did show that 7 out of 14 indicators used had forecast efficiency, in which there were 5 indicators demonstrating statistical significance: inflation rate, foreign exchange rate by import month, changes in domestic credit, changes in rate M2/ foreign exchange reserves, difference between loan and deposit interest rates. Based on the results, several recommendations for governments were given with an aim to provide timely measures to avoid or curb negative effects from the economic fluctuations in these countries.
Keywords: currency crisis; balance of payment crisis; financial stability; early warning system (EWS); ASEAN
Intra-Regional Agricultural Trade in ASEAN: An Assessment of the Impact of Non-Tariff Measures
Duc Bao Nguyen, Antoine Bouët, Fousseini Traoré
In South-East Asia, the prevalence of undernourishment had significantly declined between 2005 and 2016 from 17.3 percent to 10.0 percent. However, since 2016, it has remained stagnate at 9.8 percent. Greater trade integration of these countries in the agricultural and food sectors would certainly be a factor in significantly improving food security. More integration in this region could be achieved, by the reduction of protectionist non-tariff measures and the convergence of SPS and TBT measures. This report aimed to assess the importance of non-tariff measures in South-East Asian countries and the impact of these measures on trade in agricultural and food products in the region. These measures have been in place in these countries since 2010 and are particularly frequent in the agricultural and food sector. The SPS measures adopted by countries in the region are equivalent in terms of impact on agricultural and food trade to an average tariff of 44.3 percent, while these measures in the rest of the world are equivalent to an average tariff of 48.3 percent. All in all, the countries of the South-East Asian region appear to be relatively open to the world, but regional integration could be strengthened, particularly in the agricultural and food sector.
Keywords: ad valorem equivalent, agri-food, gravity model, non-tariff measures, trade barriers
Mandates and Monetary Rules in a New Keynesian Framework
Pham Thanh Son
We develop a general mandate framework for delegating monetary policy to an instrument-independent, but goal-dependent central bank. The goal of the mandate consists of: (i) a simple quadratic loss function that penalizes deviations from target macroeconomic variables; (ii) a form of a Taylor-type nominal interest-rate rule that responds to the same target variables; (iii) a zero-lower-bound (ZLB) constraint on the the nominal interest rate in the form of an unconditional probability of ZLB episodes and (iv) a long-run (steady-state) inflation target. The central bank remains free to choose the strength of its response to the targets specified by the mandate.
An estimated standard New Keynesian model is used to compute household-welfareoptimal mandates with these features. We find two main results that are robust across a number of different mandates: first, the optimized rule takes the form of a Taylor simple rule close to a price-level rule. Second, the optimal level of inflation target, conditional on a quarterly frequency of the nominal interest hitting the ZLB of 0.025, is close to the typical target annual inflation of 2% and to achieve a lower probability of 0.01 requires an inflation target of 3.5%
Mothers and Daughters: Intergenerational Linkage between Women and Their Mother’s Employment in Japan
Despite the Japanese government’s efforts to provide child-rearing support systems, around 40% of Japanese women quit their jobs for reasons related to pregnancy and childcare, especially when their children are young. Within that scenario, this study examines the impact of the mother’s working condition when her daughter is three, six, and twelve years old; the impact on the daughter’s perception of gender division of household labor; the daughter’s working decisions one year and three years after her first childbirth; and the impact of working continuously, starting immediately after graduation from school until the present. Data from the National Survey of Households with Children 2012 and 2014 was used for analysis.
The results are as follows. Firstly, a woman having a working mother is less likely to be in favor of the gender division of household labor. This effect is stronger when her mother used to work full-time. Also, the effect is stronger for women who were younger when their mother was working.
Secondly, women whose mothers worked during the women’s childhood are more likely to (re)join labor force market one or three years after first childbirth.
Finally, overall, the impact on a woman working continuously is not as strong as in the other two cases. Despite that, the impact of a mother working when her daughter is three years of age is still statistically significant and has a positive effect.
This empirical evidence suggests that an intergenerational linkage between mother and daughter exists with respect to working status.