nep-ias New Economics Papers
on All new papers
Issue of 2014‒09‒08
three papers chosen by
Soumitra K. Mallick
Indian Institute of Social Welfare and Business Management

  1. The Unemployment Subsidy Program in Colombia: An Assessment By Carlos Medina; Jairo Nunez; Jorge Andres Tamayo
  2. Constant Proportion Portfolio Insurance Effectiveness with Transaction Costs By Farid Mkaouar; Jean-Luc Prigent
  3. Financial Linkages between U.S. Sector Credit Default Swaps Markets By Mohamed Arouri; Shawkat Hammoudeh; Fredj Jawadi; Duc Khuong Nguyen

  1. By: Carlos Medina; Jairo Nunez; Jorge Andres Tamayo
    Abstract: This paper assesses the effects of the Colombian Unemployment Subsidy (US), which includes benefits as well as training for some recipients. Using regression discontinuity and matching differences-in-differences estimators, the study finds that participation in the labor market, earnings of beneficiaries, and household income do not increase, and for some populations decrease during the 18 months after leaving the US program. Enrollment in formal health insurance falls. Effects on male heads of household include reductions in their earnings, decreases in their labor participation, and increases in their unemployment rates. The study also finds a small though statistically significant positive effect on beneficiaries' school attendance, but none on their children's weight or height at birth. The results are sensitive to the type of training that beneficiaries receive. Overall, the program serves more as a mechanism for smoothing consumption and providing social assistance than for increasing labor market efficiency.
    JEL: D12 H31 J38
    Date: 2013–05
  2. By: Farid Mkaouar; Jean-Luc Prigent
    Abstract: In this paper, we examine main properties of the Constant Proportion Portfolio Insurance (CPPI) strategy, when trading in continuous-time is not allowed. We focus instead on stochastic-time rebalancing. We prove that investor's tolerance determines crucially portfolio performance, in particular when taking transaction costs into account. We illustrate this feature in the geometric Brownian case and we provide some numerical insights in this framework.
    Keywords: Portfolio insurance; CPPI with transaction cost; Tolerance
    JEL: C61 G11
    Date: 2014–08–29
  3. By: Mohamed Arouri; Shawkat Hammoudeh; Fredj Jawadi; Duc Khuong Nguyen
    Abstract: We investigate the dynamic relationships between the US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent period which is marked by the onset of the global financial crisis. For this purpose, we implement a Smooth Transition Error- Correction Model (STECM) to accommodate the presence of nonlinearities and asymmetry in the adjustment process of the CDS variables towards their long-run equilibrium. Our findings provide evidence of significant long-run equilibrium links for two out of the three CDS indices, which are found to be typically asymmetric and nonlinear. These findings are more potent and more strongly policy oriented when the control variables are introduced into an extended STECM.
    Keywords: sector CDS indices, credit risk, long-run equilibrium, nonlinear risk models, forcing variables
    JEL: C58 G11
    Date: 2014–08–29

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