Exact joint forecast regions for vector autoregressive models

Assume that a k-element vector time series follows a vector autoregressive (VAR) model. Obtaining simultaneous forecasts of the k elements of the vector time series is an important problem. Based on the Bonferroni inequality, Lutkepohl (1991) derived the procedures which construct the conservative joint forecast regions for the VAR model. In this paper, we propose to use an exact method which provides shorter prediction intervals than does the Bonferroni method. Three illustrative examples are given for comparison of the various VAR forecasting procedures.     

Consumer Preferences and Demand for Annuities: Evidence From Hong Kong

Retirees without annuities in Hong Kong confront longevity and investment risks. Despite these risks, there is very limited uptake of annuities. This study identifies product and consumer characteristics that are associated with the demand for annuities in Hong Kong. We conduct a discrete choice experiment and distribute a consumer survey among two independent representative samples of workers aged between 40 and 64. Results suggest that a fixed monthly income and a 10-year guarantee period are two significant product characteristics, while a bequest motive, being married, and an understanding of the annuity are consumer characteristics that are associated with the demand for annuities. Being presented the optimal hypothetical annuity product, approximately one-third of middle-aged workers choose to annuitize their retirement savings. The findings and methods of this study can be applied for designing annuity products in other contexts.     

A note on time series model specification in the presence of outliers

We investigate the usefulness of sample autocorrelations and partial autocorrelations as model specification tools when the observed time series is contaminated by an outlier. The results indicate that the specification power of these statistics could be significantly jeopardized by an additive outlier. On the other hand, an innovational outlier seems to cause no harm to them.     

Material Deprivation and Working Poor in Hong Kong

In-work poverty is a growing problem in many developed economies. In Hong Kong, there were 200,700 working poor households in 2016, and approximately half of the total poor population in Hong Kong was living in those working poor households. A growing body of literature has examined the problem of the working poor, but most studies have used relative income as a measure of poverty. In this paper, we adopt the material deprivation approach for assessing the poverty situation of in-work poverty households in Hong Kong. We have interviewed 3565 workers in Hong Kong during a survey conduct in 2016. We compare the results of the material deprivation approach with those of the income poverty approach and evaluate the adequacy of the official income poverty line in gauging the situation of in-work poverty. Our findings reinforce existing studies indicating that deprivation offers an important complement to the income poverty line in poverty analysis. Our results show that there is a moderate overlap between workers identified as poor by the deprivation approach and by the income poverty line. And these two groups of workers have very different profiles. The results provide important policy implications for alleviating poverty among the working poor in Hong Kong.

     

Social and Psychological Barriers to Private Retirement Savings in Hong Kong

Using a phone survey conducted among Hong Kong workers, we examined the association of institutional, social, and psychological factors with engagement in both private retirement savings and the total amount of savings. Alarmingly, this study demonstrates that approximately 42% of Hong Kong workers do not save privately for their retirement. We found that age, education, number of children, support from spouse and friends, social regulation, perceived financial knowledge, and financial management capacity are associated with engagement in private retirement savings. Among those who saved, age, education, perceived financial knowledge, and financial management capacity are related to the amount of savings. Measures that could increase the social support for retirement savings as well as enhance their financial knowledge and management ability should be developed and implemented so that more workers engage in private retirement savings. A promising policy option for the Hong Kong government is to offer a tax incentive to promote additional savings for old-age income protection.