Volatility Spillover Effects in European Equity Markets

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a country speciffic shock, a regional European shock, and a global shock from the US.The innovation of the model is that regime switches in the shock spillover parameters are accounted for.I find that these regime switches are both statistically and economically important.While both the EU and US shock spillover intensity has increased over the 1980s and 1990s, the rise is more pronounced for EU spillovers.For most countries, the largest increases in shock spillover intensity are situated in the second half of 1980s and the first half of the 1990s.Increased trade integration, equity market development, and low inflation are shown to have contributed to the increase in EU shock spillover intensity.Finally, I find some evidence for contagion from the US market to a number of local European equity markets during periods of high world market volatility.ems;volatility;equity markets;monetary integration;spillover

Of Religion and Redemption: Evidence from Default on Islamic Loans (Replaces CentER DP 2010-136)

Abstract: We compare default rates on conventional and Islamic loans using a comprehensive monthly dataset from Pakistan that follows more than 150,000 loans over the period 2006:04 to 2008:12. We find robust evidence that the default rate on Islamic loans is less than half the default rate on conventional loans. Islamic loans are less likely to default during Ramadan and in big cities if the share of votes to religious-political parties increases, suggesting that religion – either through individual piousness or network effects – may play a role in determining loan default.Loan Default;Islamic Loans;Religion;Duration Analysis

Of Religion and Redemption:Evidence from Default on Islamic Loans (Replaces CentER DP 2010-136)

Abstract: We compare default rates on conventional and Islamic loans using a comprehensive monthly dataset from Pakistan that follows more than 150,000 loans over the period 2006:04 to 2008:12. We find robust evidence that the default rate on Islamic loans is less than half the default rate on conventional loans. Islamic loans are less likely to default during Ramadan and in big cities if the share of votes to religious-political parties increases, suggesting that religion – either through individual piousness or network effects – may play a role in determining loan default.

Of Religion and Redemption:Evidence from Default on Islamic Loans (Replaces EBC DP 2010-032)

We compare default rates on conventional and Islamic loans using a comprehensive monthly dataset from Pakistan that follows more than 150,000 loans over the period 2006:04 to 2008:12. We find robust evidence that the default rate on Islamic loans is less than half the default rate on conventional loans. Islamic loans are less likely to default during Ramadan and in big cities if the share of votes to religious-political parties increases, suggesting that religion – either through individual piousness or network effects – may play a role in determining loan default.

The ‘Tarrant effect’: what impact did far-right attacks have on the 8chan forum?

This is the author accepted manuscript. The final version is available from Routledge via the DOI in this recordThis paper analyses the impact of a series of mass shootings committed in 2018-2019 by right-wing extremists on 8chan/pol, a prominent far-right online forum. Using computational methods, it offers a detailed examination of how attacks trigger shifts in both forum activity and content. We find that while each shooting is discussed by forum participants, their respective impact varies considerably. We highlight, in particular, a “Tarrant effect”: the considerable effect Brenton Tarrant’s attack of two mosques in Christchurch, New Zealand, had on the forum. In the double context of the rise in far-right terrorism and the growing and diversifying online far-right ecosystem, such interactive offline-online effects warrant the attention of both scholars and security professionals.Economic and Social Research Council (ESRC

A diachronic cross-platforms analysis of violent extremist language in the incel online ecosystem

This is the final version. Available from Routledge via the DOI in this record. The emergence and growth of incel subculture on the internet has triggered a considerable body of research to date, most of which analysing its worldview or mapping its position and connections within the broader manosphere. While this research has considerably enhanced our understanding of the incel phenomenon, it tends to offer a somewhat static, one-dimensional portrayal of what is – like all online subcultures and communities – a highly dynamic and multi-layered environment. Consequently, we lack insufficiently nuanced answers to what is arguably the critical question for law enforcement and academics alike: is this a violent extremist ideology? Using a uniquely extensive corpus covering a range of online spaces constitutive of the incelosphere (forums, sub-Reddits, Instagram channels, blogs, wiki pages) spanning several years, we analyse the evolution of incel language across both time and platforms. Specifically, we test whether this language has grown more extreme over time as online spaces shut down and others emerged. Our findings demonstrate that, while levels of violent extremist language do vary across the incelosphere, they have steadily increased in the main online spaces over the past 6 years. Further, we demonstrate that, while activity on these online spaces is responsive to offline events such as major acts of incel-inspired violence and the COVID-19 lockdowns, the impact of these on violent extremist ideation is not uniform.Economic and Social Research Council (ESRC

Macroeconomic Regimes

We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. However, we also identify multiple shifts between accommodating and active monetary policy regimes, which play an as important role as shock volatility in driving the volatility of the macro variables. We provide new estimates of the onset and demise of the Great Moderation and quantify the relative role played by macro-shocks and monetary policy. The estimated rational expectations model exhibits indeterminacy in the mean square stability sense, mainly because monetary policy is excessively passive

BEAGLE 3:Improved Performance, Scaling, and Usability for a High-Performance Computing Library for Statistical Phylogenetics

© 2019 The Author(s). BEAGLE is a high-performance likelihood-calculation library for phylogenetic inference. The BEAGLE library defines a simple, but flexible, application programming interface (API), and includes a collection of efficient implementations for calculation under a variety of evolutionary models on different hardware devices. The library has been integrated into recent versions of popular phylogenetics software packages including BEAST and MrBayes and has been widely used across a diverse range of evolutionary studies. Here, we present BEAGLE 3 with new parallel implementations, increased performance for challenging data sets, improved scalability, and better usability. We have added new OpenCL and central processing unit-threaded implementations to the library, allowing the effective utilization of a wider range of modern hardware. Further, we have extended the API and library to support concurrent computation of independent partial likelihood arrays, for increased performance of nucleotide-model analyses with greater flexibility of data partitioning. For better scalability and usability, we have improved how phylogenetic software packages use BEAGLE in multi-GPU (graphics processing unit) and cluster environments, and introduced an automated method to select the fastest device given the data set, evolutionary model, and hardware. For application developers who wish to integrate the library, we also have developed an online tutorial. To evaluate the effect of the improvements, we ran a variety of benchmarks on state-of-the-art hardware. For a partitioned exemplar analysis, we observe run-time performance improvements as high as 5.9-fold over our previous GPU implementation. BEAGLE 3 is free, open-source software licensed under the Lesser GPL and available at https://beagle-dev.github.io