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.

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

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

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

All-optical switching of photonic entanglement

Future quantum optical networks will require the ability to route entangled photons at high speeds, with minimal loss and added in-band noise, and---most importantly---without disturbing the photons' quantum state. Here we present an all-optical switch which fulfills these requirements and characterize its performance at the single photon level. It exhibits a 200-ps switching window, 120:1 contrast, 1.5-dB loss, and induces no measurable degradation in the switched photons' entangled-state fidelity (< 0.002). As a proof-of-principle demonstration of its capability, we use the switch to demultiplex a single quantum channel from a dual-channel, time-division-multiplexed entangled photon stream. Furthermore, because this type of switch couples the temporal and spatial degrees of freedom, it provides an important new tool with which to encode multiple-qubit quantum states on a single photon