if this message does not display correctly, click here | Table of Contents Gianluca Cubadda, University of Rome II - Department of Economics and Finance
Alain Hecq, Maastricht University - Department of Quantitative Economics
Sean Telg, Maastricht University - Department of Quantitative Economics Maria Berlin, SITE
Bei Qin, The University of Hong Kong
Giancarlo Spagnolo, Stockholm School of Economics (SITE), Centre for Economic Policy Research (CEPR), University of Rome 'Tor Vergata', EIEF Walter Ferrarese, University of Rome, Tor Vergata - Department of Economics, Law and Institutions | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "Detecting Co-Movements in Noncausal Time Series" 
CEIS Working Paper No. 430 GIANLUCA CUBADDA, University of Rome II - Department of Economics and Finance
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ALAIN HECQ, Maastricht University - Department of Quantitative Economics
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SEAN TELG, Maastricht University - Department of Quantitative Economics
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This paper introduces the notion of common noncausal features and proposes tools to detect them in multivariate time series models. We argue that the existence of co-movements might not be detected using the conventional stationary vector autoregressive (VAR) model as the common dynamics are present in the noncausal (i.e. forward-looking) component of the series. In particular, we show that the presence of a reduced rank structure allows to identify purely causal and noncausal VAR processes of order two and higher even in the Gaussian likelihood framework. Hence, usual test statistics and canonical correlation analysis can still be applied, where both lags and leads are used as instruments to determine whether the common features are present in either the backward- or forward-looking dynamics of the series. The proposed de
finitions of co-movements also valid for the mixed causal-noncausal VAR, with the exception that an approximate non-Gaussian maximum likelihood estimator is necessary for these cases. This means however that one loses the bene
fits of the simple tools proposed in this paper. An empirical analysis on European Brent and U.S. West Texas Intermediate oil prices illustrates the main fi
ndings. Whereas we fail to fi
nd any short run co-movements in a conventional causal VAR, they are detected in the growth rates of the series when considering a purely noncausal VAR. "Leniency, Asymmetric Punishment and Corruption: Evidence from China"
CEIS Working Paper No. 431 MARIA BERLIN, SITE
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BEI QIN, The University of Hong Kong
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GIANCARLO SPAGNOLO, Stockholm School of Economics (SITE), Centre for Economic Policy Research (CEPR), University of Rome 'Tor Vergata', EIEF
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Fostering whistleblowing through leniency and asymmetric sanctions is regarded as a potentially powerful anti-corruption strategy in the light of its success in busting cartels. The US Department of Justice started a pilot program of this kind in 2016. It has been argued, however, that introduced in China in 1997, these policies did not help against corruption. We map the evolution of the Chinese anti-corruption legislation and aggregate enforcement data, documenting a large and stable fall in prosecuted cases after the 1997 reform. The fall is consistent with reduced corruption detection, but under specific assumptions also with improved deterrence. To resolve the ambiguity, we collect and analyze a random sample of case files from corruption trials. Results point indeed at a negative effect of the 1997 reform on corruption detection and deterrence, but plausibly linked to its poor design: contrary to what theory prescribes, it increased leniency also for bribe-taking bureaucrats that cooperate after being denounced, enhancing their ability to retaliate against whistleblowing bribe-givers. "Equilibrium Effort in Games with Homogeneous Production Functions and Homogeneous Valuation"
CEIS Working Paper No. 432 WALTER FERRARESE, University of Rome, Tor Vergata - Department of Economics, Law and Institutions
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I focus on symmetric n-player games in which players exert effort to win part or all of a prize, whose value can either be exogenously given or endogenously determined. Under homogeneity assumptions on the functions mapping the vector of efforts into the part of the prize that each player receives and on the value of the prize, I derive an explicit solution for pure-strategy symmetric equilibria and show that such assumptions are sufficient to substantially simplify the derivation of the best response functions. I solve for equilibria in situations in which, not only relative efforts matter (homogeneity of degree zero), but efforts increase global production, the shares of global production and their value. The setup nests Malueg and Yates (2006), who study the implications of homogeneous contest success functions of degree zero in rent-seeking games. | | ^top
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