887 research outputs found
Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market
In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then used to develop credit risk immunization strategies. Empirical results are given for the U.S. market using data for the period 1992-1999.
COVID-19, Race, and Redlining
Discussion on the disproportionate impact of COVID-19 on African Americans has
been at center stage since the outbreak of the epidemic in the United States. To
present day, however, lack of race-disaggregated individual data has prevented a
rigorous assessment of the extent of this phenomenon and the reasons why blacks
may be particularly vulnerable to the disease. Using individual and georeferenced
death data collected daily by the Cook County Medical Examiner, we provide first
evidence that race does affect COVID-19 outcomes. The data confirm that in Cook
County blacks are overrepresented in terms of COVID-19 related deaths since—as
of June 16, 2020—they constitute 35 percent of the dead, so that they are dying at
a rate 1.3 times higher than their population share.
Furthermore, by combining the spatial distribution of mortality with the 1930s
redlining maps for the Chicago area, we obtain a block group level panel dataset
of weekly deaths over the period January 1, 2020-June 16, 2020, over which we
establish that, after the outbreak of the epidemic, historically lower-graded neighborhoods display a sharper increase in mortality, driven by blacks, while no pretreatment differences are detected. Thus, we uncover a persistence influence of the
racial segregation induced by the discriminatory lending practices of the 1930s, by
way of a diminished resilience of the black population to the shock represented by
the COVID-19 outbreak. A heterogeneity analysis reveals that the main channels of
transmission are socioeconomic status and household composition, whose influence
is magnified in combination with a higher black share
The Long-Term Determinants of Female HIV Infection in Africa: The Slave Trade, Polygyny, and Sexual Behavior
We study the long-term determinants of the high rates of HIV infection in sub-Saharan Africa, particularly among women, with a focus on family structure and sexual behavior as shaped by the demographic shock following the transatlantic slave trade. First we show that, in clusters where polygyny is more widespread, HIV infection rates are higher. By instrumenting polygyny with the demographic shock we can also establish that this link is causal. Next we turn to the channels through which polygyny is likely to affect HIV infection by focusing on sexual behavior, as captured by the intensity of sexual activity and the frequency of extramarital partnerships. We document relevant gender differences in behavior: in clusters affected by a larger demographic shock men (but not women) display a more intense sexual activity, while women (but not men) are more likely to engage in extramarital partnerships. We employ these findings to instrument sexual behavior when estimating its influence on HIV infection and we show that clusters exhibiting more frequent female extramarital partnerships are affected by significantly higher infection rates. We interpret our results as follows. The demographic shock induced by the slave trade represents a \u201cprimordial\u201d risk factor which is still shaping contemporary family structure and sexual behavior. Polygyny is associated with unsatisfying marital relationships, particularly for women, with consequent female infidelity and an increased risk of infection, which is further multiplied for women co-habiting within polygynous households
Bitter Sugar: Slavery and the Black Family
We empirically assess the effect of historical slavery on the African American family
structure. Our hypothesis is that female single headship among blacks is more likely
to emerge in association not with slavery per se, but with slavery in sugar plantations, since the extreme demographic and social conditions prevailing in the latter
have persistently affected family formation patterns. By exploiting the exogenous
variation in sugar suitability, we establish the following. In 1850, sugar suitability is
indeed associated with extreme demographic outcomes within the slave population.
Over the period 1880-1940, higher sugar suitability determines a higher likelihood
of single female headship. The effect is driven by blacks and starts fading in 1920
in connection with the Great Migration. OLS estimates are complemented with
a matching estimator and a fuzzy RDD. Over a linked sample between 1880 and
1930, we identify an even stronger intergenerational legacy of sugar planting for
migrants. By 1990, the effect of sugar is replaced by that of slavery and the black
share, consistent with the spread of its influence through migration and intermarriage, and black incarceration emerges as a powerful mediator. By matching slaves’
ethnic origins with ethnographic data we rule out any influence of African cultural
traditions
Race v. Suffrage. The determinants of development in Mississippi
We investigate the long term determinants of political and economic outcomes over a new data set
composed of Mississippi counties. We analyze the effect of disfranchisement on voting registration
at the end of the nineteenth century (1896-9), as well as the impact of voting registration on
education outcomes at different points in time, namely in 1917 and in the 1950s. Finally, we turn to
the determinants of a broad array of development indicators for the year 1960 and for the 1960-
2000 period. Our main conclusion is that race, rather than political institutions and education
policies, is the main force driving the above outcomes
Bitter Sugar: Slavery and the Black Family
We empirically assess the effect of historical slavery on the African American family
structure. Our hypothesis is that female single headship among blacks is more likely
to emerge in association not with slavery per se, but with slavery in sugar plantations, since the extreme demographic and social conditions prevailing in the latter
have persistently affected family formation patterns. By exploiting the exogenous
variation in sugar suitability, we establish the following. In 1850, sugar suitability is
indeed associated with extreme demographic outcomes within the slave population.
Over the period 1880-1940, higher sugar suitability determines a higher likelihood
of single female headship. The effect is driven by blacks and starts fading in 1920
in connection with the Great Migration. OLS estimates are complemented with
a matching estimator and a fuzzy RDD. Over a linked sample between 1880 and
1930, we identify an even stronger intergenerational legacy of sugar planting for
migrants. By 1990, the effect of sugar is replaced by that of slavery and the black
share, consistent with the spread of its influence through migration and intermarriage, and black incarceration emerges as a powerful mediator. By matching slaves’
ethnic origins with ethnographic data we rule out any influence of African cultural
traditions
Slavery, Education, and Inequality
We investigate the impact of slavery on the current performances of the US economy. Over a cross
section of counties, we find that the legacy of slavery does not affect current income per capita, but
does affect current income inequality. In other words, those counties that displayed a higher
proportion of slaves are currently not poorer, but more unequal. Moreover, we find that the impact
of slavery on current income inequality is determined by racial inequality. We test three alternative
channels of transmission between slavery and inequality: a land inequality theory, a racial
discrimination theory and a human capital theory. We find support for the third theory, i. e., even
after controlling for potential endogeneity, current inequality is primarily influenced by slavery
through the unequal educational attainment of blacks and whites. To improve our understanding of
the dynamics of racial inequality along the educational dimension, we complete our investigation by
analyzing a panel dataset covering the 1940-2000 period at the state level. Consistently with our
previous findings, we find that the educational racial gap significantly depends on the initial gap,
which was indeed larger in the former slave states
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