6∂6-SEminari Informali DiSEI

I Seminari, pensati per un audience non specializzato, si terranno presso la sede del Dipartimento di Studi per l'Economia e l'Impresa dell'Università del Piemonte Orientale "Amedeo Avogadro": Via Ettore Perrone, 18, Novara.
Alla luce dell'eterogeneità dell'audience il relatore è invitato a iniziare il seminario con una prima parte che descriva brevemente gli strumenti necessari per una piena comprensione del tema presentato.

Orientativamente i PROSSIMI RELATORI saranno:
  Data (calendario)Titolo

Per proporre un seminario scrivetemi mandando un titolo, un abstract, eventuali riferimenti o note utili ed una disponibilità orientativa per la data del possibile seminario: tenete conto che i seminari hanno una cadenza di uno ogni 2-4 settimane.

An empirical analysis of the interplay between households consumption and children’s schooling decisions

posted 3 Jan 2017, 22:31 by Enea Bongiorno

12 GENNAIO 2017, ore 14.30, Sala Riunioni Primo Piano 

Relatrice: Prof.ssa Daniela Sonedda UPO, DiSEI

Titolo: An empirical analysis of the interplay between households consumption and children’s schooling decisions

Abstract: The implementation at the beginning of the 2000s of two almost overlapping reforms let Italy be a quasi-experimental setting to study the e ects that such institutional changes have had on the joint household decisions to consume and enrol children at higher education. On the one hand, exogenous variation of the pending-incoming civil trials ratio (an higher court e ciency) has a ected the marginal costs and benefits of the access to the credit market. On the other hand, the introduction of a shorter undergraduate course program has exogenously changed the marginal costs and benefits of a university degree. Although these reforms were implemented independently of each other, their simultaneity gives us the opportunity to analyse whether and to what extent household non-durable consumption responds to changes in the years of schooling of the children (and viceversa). Our empirical analysis shows the existence of positive non-separabilities in the utility function between non-durable consumption and years of schooling.

Coautore: C. Aina

Selective Admission and Freshman’s Academic Outcomes

posted 5 Jul 2016, 07:09 by Enea Bongiorno   [ updated 11 Jul 2016, 22:11 ]

21 LUGLIO 2016, ore 11.30, Sala Riunioni Primo Piano 

Relatore: Dott. Aktas Koray, Università Cattolica, Milano

Titolo: Selective Admission and Freshman’s Academic Outcomes

Abstract: Italian higher education system has been suffering from high college drop-out rates for almost three decades and has undergone some significant education reforms during the 1990s and early 2000s. Yet Italy still has one of the highest college drop-out rate among the OECD countries. After the failure of last reform, which is known as "Bologna Process", some universities have started to carry into execution some ex-ante selection procedures in order to admit more high-performing students. This paper aims to provide an evidence on the causal effects of selective admission test on the academic outcomes of freshmen by exploiting a unique administrative data from Universita Cattolica del Sacro Cuore which is a leading private university based in the North of Italy. Employing a difference-in-differences approach, our main findings suggest that the introduction of the admission test reduces the drop-out rate of first year students on average about 2.5% and increases the average credits about 3.67 point. We support these results by running several placebo diff-in-diffs regressions using the pre-treatment years in our data. We also look at the heterogeneous effects of reform and found that the selection procedure is even more beneficial for the low-ability students. Finally, we provide some insights on the effects of the selection procedure's components, and the results show that only mathematic section has a significant effect on the reduction of drop-out rates. 

Hybrid projection estimation for a wide class of functional parameters

posted 11 Jan 2016, 08:06 by Enea Bongiorno   [ updated 11 Jan 2016, 08:07 ]

21 GENNAIO 2016, ore 15.00, Sala Riunioni Primo Piano

Relatore: Jean-Baptiste Aubin, INSA-Lyon and Institut Camille Jordan, Université Claude Bernard Lyon 1

Titolo: Hybrid projection estimation for a wide class of functional parameters

Abstract: In the framework of functional parameters estimation (such as e.g. density estimation), we consider a wide class characterized by the fact that its elements can be written as limits of sums of the expected values of random variables. We propose an “hybrid” projection estimator of such a general functional parameter when we observe n realizations of a discrete time stochastic process (Xt). The estimator is said “hybrid” because the dimension of the projection subspace is chosen differently according to the sample size, very large or not. From the asymptotic point of view, this estimator locally reaches a superoptimal rate for the mean integrated square error (MISE) on a dense subset of the space to which the considered functional parameter is supposed to belong, and we state under which hypotheses there is a near-optimal rate of convergence elsewhere in L2. Note that some hypothesis have been relaxed with respect to previous literature. The finite sample performance is clearly improved with respect to other estimators of the same kind; indeed performance is evaluated through a simulation study, where the parameter to estimate is the spectral density: the proposed estimator is shown to reduce often drastically the MISE in comparison with that of the classical projection estimator and the kernel estimator. Finally, from the practioner point of view this new estimator can be completely data-driven with only a smoothing parameter to choose.

The Cost of Binge Drinking

posted 18 Nov 2015, 05:03 by Enea Bongiorno

Giovedì 3 DICEMBRE 2015, ore 13.00, Sala Riunioni Primo Piano

Relatore: Prof. Marco Francesconi, University of Essex, Departments of Economics

Titolo: The Cost of Binge Drinking

Abstract: We estimate the effect of binge drinking on accident and emergency attendances, road accidents, arrests, and the number of police officers on duty using a variety of unique data from Britain and a two-sample minimum distance estimation procedure. Our estimates, which reveal sizeable effects of bingeing on all outcomes, are then used to monetize the short-term externalities of binge drinking. We find that these externalities are on average £4.9 billion per year ($7 billion), about £80 for each man, woman, and child living in the UK. The price that internalizes this externality is equivalent to an additional 9p per alcoholic unit, implying a 20% increase with respect to the current average price.

Coautori: Jonathan James - University of Bath

Keywords: Alcohol, health, road accidents, arrests, externalities

Autocorrelation robust inference using the Daniell kernel with fixed bandwidth

posted 8 May 2015, 06:53 by Enea Bongiorno   [ updated 8 May 2015, 07:15 ]

Giovedì 28 MAGGIO 2015, ore 12.00, Sala Riunioni Primo Piano

Relatore: Fabrizio Iacone, University of York, Department of Economics

Titolo: Autocorrelation robust inference using the Daniell kernel with fixed bandwidth

The determinants and consequences of delayed time to degree (Le determinanti e le conseguenze del ritardo alla laurea)

posted 27 Mar 2015, 01:29 by Enea Bongiorno

Giovedì 30 APRILE 2015, ore 14.00, Sala Riunioni Primo Piano

Relatore: Dott.ssa Giorgia Casalone, UPO, DiSEI

Titolo: The determinants and consequences of delayed time to degree (Le determinanti e le conseguenze del ritardo alla laurea)

Abstract: Delay in college completion represents a waste of resources both at individual and at collective level, affecting the returns to investment in higher education. From an individual viewpoint later completion alters the opportunity costs of graduation, by increasing direct and indirect costs of studying and, potentially, by lowering expected wages. Furthermore, from a collective point of view, in countries where tertiary education is publicly subsidized, students who postpone graduation contribute to the misallocation of such resources. Extended time to degree represents a great concern in several countries, such as Denmark (Joensen, 2011), Finland (Hakkinen and Uusitalo, 2003), Germany (Glocker, 2011), Italy (Aina, Baici and Casalone 2011; Aina et al. 2013; Garibaldi et al. 2012), Norway (Gunnes, Kirkebøen and Rønning 2013), Spain (Lassibille and Gomez 2010), United States (Bound and Turner, 2007; Bound, 2010) and Sweden (Löfgren and Ohlsson 1999). Quite interestingly such countries have heterogeneous tertiary education systems in terms of financing, governance, length of the study programs, etc. In this seminar we will briefly present the main results of the international theoretical and empirical literature on the determinants and consequences of delayed graduation, and two studies carried out by our research group on Italian graduates.

Coautori: C. Aina e E. Baici

Tax information exchange agreements with developing countries and tax havens

posted 18 Mar 2015, 22:08 by Enea Bongiorno   [ updated 18 Mar 2015, 22:19 ]

26 MARZO 2015, ore 11.00, Sala Riunioni Primo Piano

Relatore: Prof. Martin Zagler, UPO, DiSEI

Titolo: Tax information exchange agreements with developing countries and tax havens

Abstract: The exchange of tax information has received ample attention recently, due to widespread aggressive tax planning and tax evasion. Whilst both participating tax authorities will gain when foreign investments (FDI) are bilateral, we demonstrate that FDI receiving nations will lose in asymmetric situations. We solve a bargaining model that prooves that tax information exchange will only happen voluntarily with compensation for this loss. We then present empirical evidence in a global panel and find that a tax information exchange agreement (TIEA) or a double tax treaty with information exchange (DTT) is more likely when the capital importer is compensated thru official development assistence (ODA). We finally demonstrate how the foreign account tax compliance act (FATCA) and similar international initiatives bias the bargaining outcome in favour of capital exporting countries.

Coautori: Julia Braun

How to spend ten years chasing three eigenvectors

posted 6 Mar 2015, 00:05 by Enea Bongiorno   [ updated 26 Mar 2015, 04:40 ]

EDIT: Third Lecture 1 APRILE 2015, ore 14.30, Sala Riunioni Primo Piano

11-18 MARZO 2015, ore 11.00, Sala Riunioni Primo Piano

Relatore: Prof. Ernesto Salinelli, UPO, DiSEI

Titolo: How to spend ten years chasing three eigenvectors

It has been empirically observed that correlation matrices of interest rates have the first three eigenvalues
which are simple and their corresponding eigenvectors, called shift, slope and curvature (SSC) respectively,
with elements presenting changes of sign and monotonicity in a regular way. In two lectures we illustrate
problems, tools and results that have accompanied the efforts of the author and some co-authors during ten
years in order to explain and justify the presence of SSC in terms of some properties characterizing the
considered correlation matrices.

The outline is the following:
First lecture (11/03/2015): Yield curves and random vectors, properties of interest rates correlations, factor
models and Principal Component Analysis, Formal definition of SSC, Total positivity.
Second lecture (18/03/2015): some models of interest rates and SSC: Exponential and Schoenmakers-Coffey
models, Testing total positivity, Correlations of interest rates are TP₂.
​Third lecture (01/04/2015): ​Testing total positivity, Correlations of interest rates are TP₂.

A clustering method for Hilbert functional data based on the Small Ball Probability

posted 10 Feb 2015, 07:12 by Enea Bongiorno   [ updated 10 Feb 2015, 07:25 ]

18 FEBBRAIO 2015, ore 11.00, Sala Riunioni Primo Piano

Relatore: Dott. Enea Bongiorno, UPO, DiSEI

Titolo: A clustering method for Hilbert functional data based on the Small Ball Probability

Abstract: In questo seminario prensenterò un metodo di clustering per dati funzionali basato sul concetto di Probabilità delle Piccole Bolle di un processo a valori in spazi funzionali. Visto l'audience tipicamente eterogeneo dei 6d6,  la discussione enfatizzerà sin dall’inizio le ricadute sulle applicazioni (economiche e antropometriche).

Per completezza, di seguito aggiungo l'abstract più teorico del lavoro di riferimento (vedi bibliografia al fondo):
"In the present work, motivated by the definition of a clustering method for functional data, the small-ball probability (SmBP) of a Hilbert valued process is considered. In particular, asymptotic factorizations for the SmBP are rigorously established exploiting the Karhunen-Loéve expansion whose basis turns out to be the optimal one in controlling the approximation errors. In fact, as the radius of the ball tends to zero, the SmBP is asymptotically proportional to the joint density of an increasing number (with the radius) of principal components (PCs) evaluated at the center of the ball up to a factor depending only on the radius. As a consequence, the joint distribution of the first PCs provides a surrogate density of the process and, hence, in a very natural way, becomes the core in defining a density based unsupervised classification algorithm. To implement the latter, a non-parametric estimator for such joint density is introduced and it is proved that used estimated PCs does not affect the rate of convergence. Finally, after a discussion on the proposed clustering algorithm, as an illustration, an application to a real dataset is provided."

Keywordsdensity based clustering; Hilbert functional data; Karhunen-Loéve decomposition; kernel density estimate; small-ball probability

Co-AutoriA. Goia, DiSEI, UPO

E.Bongiorno, A.Goia (2015) A clustering method for Hilbert functional data based on the Small Ball Probability. Submitted. http://arxiv.org/abs/1501.04308

A Structural model for CVA computation with wrong way risk

posted 17 Oct 2014, 06:20 by Enea Bongiorno   [ updated 5 Nov 2014, 05:35 ]

13 NOVEMBRE 2014, ore 15.00, Sala Riunioni Primo Piano

Relatore: Prof. Gianluca Fusai, UPO, DiSEI

Titolo: A Structural model for CVA computation with wrong way risk

The financial crisis that began in 2007 has highlighted the importance of assessing counterparty credit risk.
Accounting standard such as IAS39 now require that valuation of OTC derivatives take credit risk into account, for all entities.

For banks, the December 2010 publication of the BASEL III regulatory frameworks for capital and liquidity, includes an extra capital charge to cover the risk of mark-to-market losses on the Credit Value Adjustment (CVA). This charge in on the top of the Basel II capital requirements for counterparty credit risk. Furthermore, CVA is being used by financial institutions increasingly as a tool to actively manage counterparty credit risk. For example, it is possible to allocate the total CVA with a counterparty to the various desks that trade with that counterparty.

CVA is only significant for OTC transactions. According to the ISDA margin survey 2011, 70% of those transactions are subject to collateral agreements. But, for 30% of all OTC CVA is still a significant issue. In addition, even for collateralized OTC transactions the mitigating clauses never achieve a fully effective protection, due to the presence of various triggers. Therefore, the relevance of CVA measurement for accounting, regulatory and risk management issues.

In the present talk, after a description of the hidden problems in CVA computation, we put forward a structural model that is able to capture the so called wrong way risk, i.e. the joint dependency between default events and the expected exposure on default. Details on calibration and implementation will also be discussed.

The paper is joint with Laura Ballotta, Cass Business School, London.

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