if this message does not display correctly, click here | Table of Contents Umberto Triacca, University of L'Aquila - Department of Information Engineering, Computer Science and Mathematics
Olivier Damette, BETA-CNRS, Université de Lorraine
Alessandro Giovannelli, University of Rome Tor Vergata Roberto Basile, University of L'Aquila - Faculty of Economics
Carlo Ciccarelli, University of Rome Tor Vergata - Faculty of Economics
Peter Groote, University of Groningen - Faculty of Spatial Sciences Roy Cerqueti, University Sapienza Rome
Rocco Ciciretti, Tor Vergata University of Rome - Department of Economics and Finance
Ambrogio Dalo, University of Rome Tor Vergata - Department of Economics and Finance
Marco Nicolosi, University of Perugia - Department of Economics | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Furio Camillo Rosati - Director "A Test of Sufficient Condition for Infinite-Step Granger Noncausality in Infinite Order Vector Autoregressive Process" 
CEIS Working Paper No. 496 UMBERTO TRIACCA, University of L'Aquila - Department of Information Engineering, Computer Science and Mathematics
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OLIVIER DAMETTE, BETA-CNRS, Université de Lorraine
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ALESSANDRO GIOVANNELLI, University of Rome Tor Vergata
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This paper derives a sufficient condition for noncausality at all forecast horizons (infinitestep noncausality). We propose a test procedure for this sufficient condition. Our procedure presents two main advantages. First, our infinite-step Granger causality analysis is conducted in a more general framework with respect to the procedures proposed in literature. Second, it involves only linear restrictions under the null, that can be tested by using standard F statistics. A simulation study shows that the proposed procedure has reasonable size and good power. Typically, one thousand or more observations are required to ensure that the test procedures perform reasonably well. These are typical sample sizes for financial time series applications. Here, we give a first example of possible applications by considering the Mixture Distribution Hypothesis in the Foreign Exchange Market. "The Legacy of Literacy: Evidence from Italian Regions"
CEIS Working Paper No. 497 ROBERTO BASILE, University of L'Aquila - Faculty of Economics
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CARLO CICCARELLI, University of Rome Tor Vergata - Faculty of Economics
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PETER GROOTE, University of Groningen - Faculty of Spatial Sciences
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Italy was unified in 1861. As part of the process of nation-building, a free and mandatory national primary school system was established. While the new school system greatly contributed to the modernization of the country, its initial design did not reduce considerably regional disparities in human capital, with Southern regions lagging behind. The paper studies the effect of the heterogeneous territorial diffusion of literacy during the postunification period (1871-1911) on economic and social outcomes of Italian provinces 100 years later. We exploit the exogenous variations in the territorial spread in literacy rates arising from the gradual building and expansion of the railway network across provinces. We find evidence that provinces with a higher territorial diffusion of primary education in the post-unification period have today higher income per capita, less unemployment, and greater educational attainment. The evidence in terms of social capital outcomes is instead mixed, depending on the indicator considered. "ESG Investment Funds: A Chance to Reduce Systemic Risk"
CEIS Working Paper No. 498 ROY CERQUETI, University Sapienza Rome
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ROCCO CICIRETTI, Tor Vergata University of Rome - Department of Economics and Finance
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AMBROGIO DALO, University of Rome Tor Vergata - Department of Economics and Finance
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MARCO NICOLOSI, University of Perugia - Department of Economics
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Environmental, Social, and Governance (ESG) funds are those incorporating firms’ ESG characteristics in their investment decisions. We measure the impact of ESG funds on systemic risk by modeling the interconnection of funds using complex network theory. A local shock propagates into the network because of indirect contagion mediated by common asset holdings. We analyze cross-sectional data using open-end equity mutual funds ranked on the basis of the sustainability ratings. In considering networks of mutual funds with different levels of ESG compliance, we find that contagion is less effective for the High-ranked funds than for the Low-ranked ones. In particular, for any given level of shock, the relative market value loss of the High-ranked funds is lower than the loss experienced by the lower ranked counterpart. | | ^top
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