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Social and Behavioral Sciences Commons™
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- Endogeneity (2)
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- Militarized disputes (2)
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Articles 1 - 12 of 12
Full-Text Articles in Social and Behavioral Sciences
Do The Lessons From Micro-Conflict Literature Transfer To High Crime Areas?: Examining Mexico’S War On Drugs, Muhammad Nasir, Marc Rockmore, Chih Ming Tan
Do The Lessons From Micro-Conflict Literature Transfer To High Crime Areas?: Examining Mexico’S War On Drugs, Muhammad Nasir, Marc Rockmore, Chih Ming Tan
Economics & Finance Faculty Publications
Exposure to political violence has been found to affect behavioural parameters. The effects of high levels of criminal violence, however, are largely unknown. We examine the effects of Mexico’s war on drugs on risk aversion, mental health and pro-social behaviour. Using a nonlinear difference-in-differences (DiD) model, we find that the post 2006 surge in violence significantly increased risk aversion and reduced trust in civic institutions without any simultaneous strengthening of kinship relationships. Although the deterioration of mental health due to violence exposure has been hypothesised to explain changes in risk aversion, we find no such effect.
Robust Determinants Of Intergenerational Mobility In The Land Of Opportunity, Andros Kourtellos, Christa Marr, Chih Ming Tan
Robust Determinants Of Intergenerational Mobility In The Land Of Opportunity, Andros Kourtellos, Christa Marr, Chih Ming Tan
Economics & Finance Faculty Publications
This paper revisits the influential work by Chetty, Hendren, Kline, and Saez (2014) who attempt to explain the variation in intergenerational mobility across commuter zones in the US (i.e., spatial mobility) using nine classes of variables. We employ Bayesian model averaging methods that allow for model uncertainty to identify robust predictors of spatial mobility. In doing so we pay special attention to the specification of model and parameter priors. We also investigate the heterogeneous effects of these predictors on spatial mobility across commuter zones in different average income quintiles. Our findings suggest a more nuance and complex characterization of the …
Determinants Of Systemic Risk And Information Dissemination, Marcelo Bianconi, Xiaxin Hua, Chih Ming Tan
Determinants Of Systemic Risk And Information Dissemination, Marcelo Bianconi, Xiaxin Hua, Chih Ming Tan
Economics & Finance Faculty Publications
We introduce a measure of information dissemination for the determination of systemic risk, print-media consumer pessimism, controlling for VIX volatility. VIX volatility has a significant direct impact upon systemic risk of financial firms under distress, and consumer pessimism does impact upon firm's financial stress via the externality of other firm's financial stress. In the internet bubble of the 1990s, pessimism predicts larger systemic risk in the whole period of exuberance while the VIX predicts a sharp larger systemic risk in the height of the bubble. Our evidence suggests that consumer pessimism might be dominated by the VIX when predicting systemic …
Robust Multiple Regimes In Growth Volatility, Andros Kourtellos, Ioanna Stylianou, Chih Ming Tan
Robust Multiple Regimes In Growth Volatility, Andros Kourtellos, Ioanna Stylianou, Chih Ming Tan
Economics & Finance Faculty Publications
In this paper, we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so, we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian model averaging and threshold regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of ethnic fractionalization, institutions, financial development, health, and geography.
Hits And Runs: Determinants Of The Cross-Country Variation In The Severity Of Impact From The 2008-09 Financial Crisis, Shane Dwyer, Chih Ming Tan
Hits And Runs: Determinants Of The Cross-Country Variation In The Severity Of Impact From The 2008-09 Financial Crisis, Shane Dwyer, Chih Ming Tan
Economics & Finance Faculty Publications
Recent empirical work on the 2008-09 financial crisis has found mixed results on the usefulness of indicators to explain the cross-country variation in the incidence of the crisis in non-originating countries. While some authors have found success with various indicators, Rose and Spiegel (2009a,b) find that almost no indicators are robust. We employ Bayesian model averaging (BMA) to verify Rose-Spiegel’s conclusions under model uncertainty, confirming their findings. We then employ latent class models (LCM) to check the data for parameter heterogeneity. We find that there is substantial evidence of heterogeneity in the relationship between various indicators and crisis impact, both …
The Value Premium, Aggregate Risk Innovations, And Average Stock Returns, Knut F. Lindaas, Prodosh Simlai
The Value Premium, Aggregate Risk Innovations, And Average Stock Returns, Knut F. Lindaas, Prodosh Simlai
Economics & Finance Faculty Publications
We test whether innovations in aggregate risk, interpolated from a vector autoregressive system that contains the Chen, Roll and Ross (1986) five factors as in Petkova (2006), are common factors in cross-sectional stock returns. We provide direct evidence that innovation in industrial production growth, a classical business-cycle variable that summarizes the state of the economy, is associated with the cross-sectional return predictability of individual stocks. We conclude that the role of innovation in aggregate risk is not random, and furthermore that it provides guidance concerning an important source of nonfinancial market-based risk in asset returns.
Persistence Of Ex-Ante Volatility And The Cross-Section Of Stock Returns, Prodosh Simlai
Persistence Of Ex-Ante Volatility And The Cross-Section Of Stock Returns, Prodosh Simlai
Economics & Finance Faculty Publications
We suggest a new measure of total ex-ante volatility () in stock returns, which includes traditional non-market (or idiosyncratic) risk and the unexpected component of market return. We find that the portfolio-level measure exhibits strong predictive power for the cross-section of average returns during the post-1963 period. We demonstrate that (1) the persistence of gives rise to economically significant spread in returns between value and growth stocks, and (2) the cross-sectional dispersion in stock returns is positively related to the estimated value of . The benefit of the measure is that it is countercyclical and contains relevant information about the …
The Effect Of Public Debt On Growth In Multiple Regimes, Andros Kourtellos, Thanasis Stengos, Chih Ming Tan
The Effect Of Public Debt On Growth In Multiple Regimes, Andros Kourtellos, Thanasis Stengos, Chih Ming Tan
Economics & Finance Faculty Publications
We employ a structural threshold regression methodology to investigate the heterogeneous effects of debt on growth using public debt as a threshold variable as well as several other plausible variables. Our methodology allows us to address parameter heterogeneity that characterizes cross-country growth data and at the same time account for endogeneity. We find strong evidence for threshold effects based on democracy, which implies that higher public debt results in lower growth for countries in the Low-Democracy regime. Our results are consistent with the presence of parameter heterogeneity in the cross-country growth process due to fundamental determinants of economic growth proposed …
Failure To Launch? The Role Of Land Inequality In Transition Delays, Andros Kourtellos, Ioanna Stylianou, Chih Ming Tan
Failure To Launch? The Role Of Land Inequality In Transition Delays, Andros Kourtellos, Ioanna Stylianou, Chih Ming Tan
Economics & Finance Faculty Publications
This paper provides empirical support for one theory of transition delays: initial land inequality. Using a new historical data set for land inequality (Frankema (2009)) we employ duration analysis to investigate whether higher levels of land inequality lead to longer delays in the extension of primary schooling. Our findings suggest that land inequality is a key determinant of delays in schooling.
Mission Accomplished: A Reply To Reuveny And Keshk, Cullen F. Goenner
Mission Accomplished: A Reply To Reuveny And Keshk, Cullen F. Goenner
Economics & Finance Faculty Publications
Reuveny and Keshk (“Reconsidering trade and conflict simultaneity: The risk of emphasizing technique over substance,” this issue, 2013) argue that the econometric techniques used by Goenner (Conflict Management and Peace Science 28(5): 459–477, 2011) to test and control for endogeneity when estimating the relationship between trade and conflict lack substance. Both sets of authors propose the use of instrumental variable methods, which are known by econometricians to be the natural remedy for estimation with potentially endogenous regressors. Where Goenner (2011) and Reuveny and Keshk (2013) agree is that theory should guide variable selection and the model’s specification. Yet they …
Simultaneity Between Trade And Conflict: Endogenous Instruments Of Mass Destruction, Cullen F. Goenner
Simultaneity Between Trade And Conflict: Endogenous Instruments Of Mass Destruction, Cullen F. Goenner
Economics & Finance Faculty Publications
The classical liberal belief is trade, which economically benefits countries, creates ties binding the interests of countries and reduces conflict. While the vast majority of the empirical literature supports this view, recent research questions these findings by also considering the reciprocal relationship between trade and conflict. If conflict also influences trade, then trade is an endogenous right hand side regressor and previous estimates which ignore this are inconsistent. This article determines when one uses appropriate instruments for the endogenous regressors that trade reduces conflict and conflict reduces trade. Failure to use such instruments results in inconsistent estimates and can lead …
Economic War And Democratic Peace, Cullen F. Goenner
Economic War And Democratic Peace, Cullen F. Goenner
Economics & Finance Faculty Publications
Research has shown that democracies rarely, if ever, engage each other in war and are less likely to have militarized disputes than when interacting with authoritarian regimes. Economic sanctions are an alternative to militarized conflict viewed by the masses as more acceptable. The conflict-inhibiting effects of democratic norms and institutions are thus weakened with respect to the use of sanctions. This paper examines whether a country's decision to initiate sanctions is influenced by its regime type as well as that of the potential target. The results for the period 1950 to 1990 indicate that the more democratic a country is, …