Working Papers del DiSIA
New testing approaches for mean-variance predictability
Gabriele Fiorentini, Enrique Sentana
We propose tests for smooth but persistent serial correlation in risk premia and volatilities that exploit the non-normality of financial returns. Our parametric tests are robust to distributional misspecification, while our semiparametric tests are as powerful as if we knew the true return distribution. Local power analyses confirm their gains over existing methods, while Monte Carlo exercises assess their finite sample reliability. We apply our tests to quarterly returns on the five Fama-French factors for international stocks, whose distributions are mostly symmetric and fat-tailed. Our results highlight noticeable differences across regions and factors and confirm the fragility of Gaussian tests.
Working Papers del Dipartimento
Catching up! The sexual opinions and behaviour of Italian students (2000-2017)
Gianpiero Dalla Zuanna, Marcantonio Caltabiano, Alessandra Minello, Daniele Vignoli
Over the past decades and particularly recently, sexual attitudes and behaviour have been exposed to tremendous changes across developed societies. Only partial or outdated studies are available for Italy. This paper aims to provide fresh insights into the sexual and emotional behaviour and attitudes of young Italians. Our analysis compares the results of two nationally representative surveys of Italian university students conducted in 2000 (n = 4,998) and 2017 (n = 8,094). The results highlight a clear pattern of anticipation of the sexual debut. In addition, the sexual behaviour and attitudes of boys and girls seem to be converging in several respects (contraception, casual sex, betrayal), even if some differences between men and women remain large, especially on double standards. Convergence is mainly driven by a ‘feminisation’ of male sexual life within the couple and a ‘masculinisation’ of female sexual life outside the couple. Finally, acceptance of homosexual experiences is rising substantially.
Working Papers del Dipartimento
“Comparison is the thief of joy”. Does social comparison affect migrants’ subjective well-being?
Manuela Stranges, Daniele Vignoli, Alessandra Venturini
This paper contributes to the growing strand of literature that investigates migrants’ subjective wellbeing by analysing how the social comparison with two reference groups (natives and other migrants) within the host country affects migrants’ life satisfaction. Using data from six rounds of the European Social Survey, we constructed two measures of economic distance that compare each migrant’s situation with the average of the group of natives and the group of migrants with similar characteristics. Our results indicate that when the disadvantage between the migrant and the reference groups becomes smaller, migrant’s life satisfaction increases. The effect of the social comparison with natives appears larger than the social comparison with migrants and, in both cases, it is stronger for individuals with higher levels of education. We also show that social comparison is stronger for second generation migrants than for first generation migrants and, within this latter group, it intensifies as length of stay in the host country increases. Overall, the role of social comparison seems crucial to understanding patterns of integration in an enlarged Europe.
Working Papers del Dipartimento
Realized Volatility Forecasting: Robustness to Measurement Errors
Fabrizio Cipollini, Giampiero M. Gallo, Edoardo Otranto
In this paper, we reconsider the issue of measurement errors affecting the estimates of a dynamic model for the conditional expectation of realized variance arguing that heteroskedasticity of such errors may be adequately represented with a multiplicative error model. Empirically we show that the significance of quarticity/quadratic terms capturing attenuation bias is very important within an HAR model, but is greatly diminished within an AMEM, and more so when regime specific dynamics account for a faster mean reversion when volatility is high. Model Confidence Sets confirm such robustness both in– and out–of–sample.
Working Papers del Dipartimento
Realized variance modeling: decoupling forecasting from estimation
Fabrizio Cipollini, Giampiero M. Gallo, Alessandro Palandri
In this paper we evaluate the in-sample fit and out-of-sample forecasts of various combinations of realized variance models and estimation criteria. Our empirical findings highlight that: independently of the econometrician’s forecasting loss function, certain estimation criteria perform significantly better than others; the simple ARMA modeling of the log realized variance generates superior forecasts than the HAR family, for any of the forecasting loss functions considered; the (2,1) parameterizations with negative lag-2 coefficient emerge as the benchmark specifications generating the best forecasts and approximating long-run dependence as well as the HAR family.
Working Papers del Dipartimento
Employment Uncertainty and Fertility: A Network Meta-Analysis of European Research Findings
Giammarco Alderotti, Daniele Vignoli, Michela Baccini, Anna Matysiak
The relationship between employment uncertainty and fertility is a major topic in demographic research. Since, particularly, the Great Recession, increasing numbers of papers on this matter have been published. Uncertainty is usually deemed to have a negative effect on fertility, but different fertility reactions are hypothesized by sociological theories, and micro-level evidence is fragmentary and contradictory. In this article, we use network meta-analysis to synthesize European research findings and to offer general conclusions about the effects of employment uncertainty on fertility (in terms of direction and size) and to rank different sources of uncertainty. Our results suggest that employment uncertainty is detrimental for fertility. For men, being unemployed is more detrimental for fertility than having time-limited employment; for women, time-limited employment is the worst condition for fertility, while unemployment is often used as an opportunity window for having children. Next, the negative effect of time-limited employment on fertility has become stronger over time, and is more severe in Southern European countries, where social protection for families and the unemployed is least generous. Finally, we demonstrate that failing to account for income and partner’s characteristics leads to an overestimation of the negative effect of employment uncertainty on fertility. We advance the role of these two factors as potential mechanisms by which employment uncertainty affects fertility.
Working Papers del Dipartimento
Housing uncertainty and the transition to parenthood among Britain’s “Generation Rent”
Valentina Tocchioni, Ann Berrington, Daniele Vignoli, Agnese Vitali
The literature suggests a positive link between homeownership and transition to parenthood. However, couples’ preferences to become homeowners before having their first child have been undermined by rising housing uncertainty and housing unaffordability over recent decades. Britain is an archetype example: homeownership rates have fallen markedly among young adults as a result of low wages, precarious employment, reductions in the availability of mortgage credit, and rising house prices, generating a housing crisis. Using longitudinal data from the British Household Panel Survey (1991-2008) and the United Kingdom Household Longitudinal Study (2009-2016), and applying multilevel discrete-time event-history techniques on a sample of women aged 18-42, we investigate whether and how the link between housing tenure and first birth has changed over recent decades in Britain. We find that, in comparison to the 1990s, the likelihood of becoming a parent has declined among homeowners in recent years, whereas childbearing rates among private renters have remained stable. Thus owner occupiers and private renters have become more similar in terms of their likelihood of entering parenthood. Overall, our findings question the classical micro-level assumption of a positive link between homeownership and transition to parenthood, at least among Britain’s “Generation Rent”.
Working Papers del Dipartimento
Spread-ing uncertainty, shrinking birth rates
Chiara L. Comolli, Daniele Vignoli
Most studies document the pro-cyclicality of fertility to business cycles or labor market indicators. However, part of the recent fertility drop witnessed in Europe after the Great Recession is not explained by traditional measures. The present study advances that birth postponement might have accelerated in response to rising uncertainty, which fuelled negative expectations and declining confidence about the future. To provide empirical support for the causal effect of perceived uncertainty on births rate, we focus on the case of the sovereign debt crisis of 2011-2012 in Italy. Perceived uncertainty is measured using Google trends for the term “spread” – the thermometer of the crisis both in media and everyday conversations – to capture the degree of concern to the general public about the stability of Italian public finances. A regression discontinuity in time identifies the effect of perceived uncertainty on birth rates in Italy as a drop between 2.5% and 5%.
Working Papers del Dipartimento
An F-type multiple testing approach for assessing randomness of linear mixed models
Marco Barnabani
In linear mixed models the assessing of the significance of all or a subset of the random effects is often of primary interest. Many techniques have been proposed for this purpose but none of them is completely satisfactory. One of the oldest methods for testing randomness is the F-test but it is often overlooked in modern applications due to poor statistical power and non-applicability in some important situations. In this work a two-step procedure is developed for generalizing an F-test and improving its statistical power. In the first step, by comparing two covariance matrices of a least squares statistics, we obtain a "repeatable" F-type test. In the second step, by changing the projected matrix which defines the least squares statistic we apply the test repeteadly to the same data in order to have a set of correlated statistics analyzed within a multiple testing approach. The resulting test is sufficiently general, easy to compute, with an exact distribution under the null and alternative hypothesis and, perhaps more importantly, with a strong increase of statistical power with respect to the F-test.
Working Papers del Dipartimento
Italian students in 2000 and in 2017 between sexual risk behaviors and family communication.
Silvana Salvini
Sex remains too often a taboo in the dialogue between parents and children. And this is a problem because kids know little or nothing about sexually transmitted diseases, which, according to the Higher Institute of Health, are growing. Moreover, adolescents are not even concerned about HIV risk. On the other hand, the age of the first relationship seems to be decreasing, increasingly promiscuous and anaffective : Adolescents seek pleasure but not falling in love. Even the school does little to provide information on the subject and therefore often, as indeed happened in the past generations, the source of (scarce) knowledge is friends, and social media.
In this paper, we intend to analyze the relationship between sexual behavior of university students, risk behavior related to sexuality and the role of parents. Data derive from two surveys carried out in 2000 and 2017 and methods used is logistic regression. The aim of this paper consist therefore into verifying the following two hypotheses, also controlling the change over time in the behavior of young people: (i) The more the parents communicate with their children, the less are the risks for the adolescents; (ii) the more the risk behavior in the domains of alcohol, drug and driving, the more are the sexual risks for the adolescents.
Working Papers del Dipartimento
Legal Status and Immigrants’ Labour Market Outcomes: Comparative Evidence from a Quasi-Experiment in Western and Southern Europe
Ivana Fellini, Raffaele Guetto
Improved legal status has been found to be associated with better employment chances and higher wages for immigrants, although causal effects remain difficult to ascertain due to severe endogeneity issues. This article contributes to the debate on the "citizenship/legal status premium" in the labour market by providing quasi-experimental evidence based on the 2007 EU Eastern Enlargement, following which immigrants from Romania and Bulgaria, the new EU Member States, exogenously acquired the EU citizen status. The article also contributes to the literature on legal status effects, mainly focused on single-country studies, by comparing "older" destination countries of Western Europe with "newer" ones of Southern Europe. Results show that while improved legal status is associated to higher employment rates in Western European countries, the association is null or even negative in Southern European countries, where immigrants are more strongly urged to be employed. However, improved legal status is more strongly associated with better job quality in Southern Europe, where immigrants are usually segregated in low-skilled jobs. The article concludes that possible effects of improved legal status should be interpreted taking into account the different institutional contexts and models of immigrants’ labour market incorporation.
Working Papers del Dipartimento
Employment Uncertainty and Fertility Intentions: Stability or Resilience?
Arianna Gatta, Francesco Mattioli, Letizia Mencarini, Daniele Vignoli
OBJECTIVE: In this study we test whether perceived stability of employment and perceived resilience to potential job loss affect fertility intentions, net of individual level risk attitudes and considering variation in the local macroeconomic conditions.
BACKGROUND: The role of employment uncertainty as a fertility driver has been explored in a number of studies with a limited set of constructs, and with inconclusive results. A key reason for this heterogeneous pattern is that scholars did not recognize the multidimensionality and the prospective nature of employment uncertainty. We address these oversights by considering two key dimensions of employment uncertainty: perceived stability of employment and perceived resilience to potential job loss.
METHOD: Our study is conducted using the newly-released 2017 OECD Italian Trustlab survey and its built-in module on self-assessed employment uncertainty (N=521). We perform multivariate analysis using ordered logistic regression.
RESULTS: Perception of employment resilience is a powerful predictor of fertility intentions, whereas perception of employment stability has only a limited impact. The observed relationship between resilience and fertility intentions is robust to the inclusion of person-specific risk attitude and it does not depend on aggregate-level variables, such as unemployment and fixed-term contract rates in the area of residence.
CONCLUSION: With this paper, we argue that the notion of resilience is crucial for making sense of economic prospects in connection to fertility planning.
Working Papers del Dipartimento
Ultimo aggiornamento 15 novembre 2019.