Cointegration and control: Assessing the impact of events using time series data

Control groups can provide counterfactual evidence for assessing the impact of an event or policy change on a target variable. We argue that fitting a multivariate time series model offers potential gains over a direct comparison between the target and a weighted average of controls. More importantly, it highlights the assumptions underlying methods such as difference in differences and synthetic control, suggesting ways to test these assumptions. Gains from simple and transparent time series models are analysed using examples from the literature, including the California smoking law of 1989 and German reunification. We argue that selecting controls using a time series strategy is preferable to existing data‐driven regression methods.     

Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market

Given the growing need for managing financial risk and the recent global crisis, risk prediction is a crucial issue in banking and finance. In this paper, we show how recent advances in the statistical analysis of extreme events can provide solid methodological fundamentals for modeling extreme events. Our approach uses self-exciting marked point processes for estimating the tail of loss distributions. The main result is that the time between extreme events plays an important role in the statistical analysis of these events and could therefore be useful to forecast the size and intensity of future extreme events in financial markets. We illustrate this point by measuring the impact of the subprime and global financial crisis on the German stock market in extenso, and briefly as a benchmark in the US stock market. With the help of our fitted models, we backtest the Value at Risk at various quantiles to assess the likeliness of different extreme movements on the DAX, S&P 500 and Nasdaq stock market indices during the crisis. The results show that the proposed models provide accurate risk measures according to the Basel Committee and make better use of the available information.     

Socio‐politically polarized contexts,urban mobilization and the environmental movement: a comparative study of two campaigns of protest in Northern Ireland

This article uses a structural approach to the investigation of the continuity and discontinuity between ‘old’ urban and ‘new’ environmental protest, opening further space for analysis of the relationship between different mobilizations in Northern Ireland. In particular, I suggest that the ‘novelty’ and strength of social movements' challenges can be assessed in terms of their capacity to promote participation and cooperation between the opposite poles of established cleavages, especially when one engages in the analysis of socio‐politically polarized contexts. In this article I focus on two mobilizations. On the one hand, I show that the first Westlink protest of the 1970s was not the product of an integrated social movement but, rather, of a heterogeneous and instrumental coalition of urban and political actors which gained no support from formal environmental organizations and soon split along the national‐religious divide. On the other hand, I show that the current Westlink campaign is the product of a cohesive network, which cuts across the many socio‐political cleavages of Northern Ireland, linking together local, urban and community groups, conservation and environmental organizations, associations, universities, political actors and parties, of opposing national‐religious identity. I then take these two patterns of mobilization as a dependent variable and explain them by drawing on theories of resource mobilization, new social movements, framing and political opportunity structure. Cet article applique une démarche structurelle à l'examen de la continuité et discontinuité entre ‘ancienne’ contestation urbaine et ‘nouvelle’ contestation environnementale, dégageant ainsi un espace qui permet d'analyser le lien entre diverses mobilisations en Irlande du Nord. Il suggère notamment que la ‘nouveauté’ et l'intensité des défis lancés par les mouvements sociaux peuvent s'évaluer en termes de capacitéà favoriser participation et coopération entre les pôles opposés de clivages établis, en particulier si l'on s'intéresse aux contextes socio‐politiques polarisés. Deux mobilisations sont approfondies. D'une part, la première manifestation du Westlink dans les années 1970 ne résultait pas d'un mouvement social intégré, mais plutôt d'une coalition hétérogène et pragmatique d'acteurs politiques et urbains, laquelle n'a jamais reçu le soutien d'organismes officiels de protection de l'environnement et s'est rapidement divisée en suivant la fracture nationale religieuse. D'autre part, la campagne actuelle du Westlink est le produit d'un réseau cohérent, qui transcende les nombreux clivages socio‐politiques d'Irlande du Nord, reliant groupes locaux, urbains et communautés, organismes de protection et de défense de l'environnement, associations, universités, acteurs et partis politiques, tous d'identités nationales et religieuses différentes. Ces deux schémas de mobilisation sont ensuite repris en tant que variables dépendantes, et explicitées à partir des théories sur la mobilisation des ressources, les nouveaux mouvements sociaux, les cadres et la structure politique des opportunités.     

The impact of political instability on risk‐taking in the banking sector: International evidence using a dynamic panel data model (System‐GMM)

This paper contributes to the existing literature by investigating the impact of political instability risk on risk‐taking in the banking sector of 75 countries, which is the first attempt for this nexus to the best of our knowledge. The dynamic panel data model (System‐GMM) showed that political instability risk significantly increases risk‐taking in the banking sector. Besides, corruption levels and government ineffectiveness are the most important channels of political instability that affect the banking sector risk. The results also actively support the “too big to fail” hypothesis. Finally, the robustness results confirm the conclusions derived from the baseline System‐GMM model.     

Fertility and female employment dynamics in Europe: the effect of using alternative econometric modeling assumptions

We investigate the direct and long‐run effects of fertility on employment in Europe, estimating dynamic models of labor supply under different assumptions regarding the exogeneity of fertility and modeling assumptions related to initial conditions, unobserved heterogeneity and serial correlation in the error terms. We find overall large direct and long‐run effects of giving birth on employment probabilities, and these effects differ considerably across countries. We find that within countries the results are sensitive to the statistical assumption made on initial conditions, the inclusion of serial correlation and the assumption of strict exogeneity of children. However, the pattern across countries is robust to these assumptions. We show that such patterns are largely consistent with prevailing institutional differences related to the flexibility of the labor markets and family policies. Copyright © 2009 John Wiley & Sons, Ltd.