This paper focuses on the analysis of persistence properties of copula-based time series. We obtain theoretical results that demonstrate that Gaussian and Eyraud-Farlie-Gumbel-Mongenstern copulas always produce short memory stationary Markov processes. We further show via simulations that, on the other hand, Clayton copula-based stationary Markov processes can behave as long memory time series on the level of copulas in finite samples exhibiting high persistence important for financial and economic applications. This long memory-like behavior is indicated by a slow decay of copula-based dependence measures between lagged values of the processes for commonly used lag numbers. Application of copula-based Markov processes to volatility modeling captures both non-linear conditional heteroskedasticity as well as long memory-like behavior, thus providing an attractive generalization of GARCH models. Among other conclusions, the results in the paper indicate non-robustness of the copula-level analogues of standard procedures for detecting long-memory on the level of copulas and emphasize the necessity of developing alternative inference methods.
The creation of an International Criminal Court (ICC) to prosecute war crimes poses a real puzzle. Why was it created, and more importantly, why do states agree to join this institution? The ICC represents a serious intrusion into a traditional arena of state sovereignty: the right to administer justice to one’s one nationals. Yet more than one hundred states have joined. Social scientists are hardly of one mind about this institution, arguing that it is (alternately) dangerous or irrelevant to achieving its main purposes: justice, peace, and stability. By contrast, we theorize the ICC as a mechanism to assist states in self-binding, and draw on credible commitments theory to understand who commits to the ICC, and the early consequences of such commitments. This approach explains a counterintuitive finding: the states that are both the least and the most vulnerable to the possibility of an ICC case affecting their citizens have committed most readily to the ICC, while potentially vulnerable states with credible alternative means to hold leaders accountable do not. Similarly, ratification of the ICC is associated with tentative steps toward violence reduction and peace in those countries precisely least likely to be able to commit credibly to forswear atrocities. These findings support the potential usefulness of the ICC as a mechanism for some governments to commit to ratchet down violence and get on the road to peaceful negotiations.
Appendices are forthcoming and will be available for download.
Theories of instrumental ethnic voting in new democracies propose that voters support co-ethnic politicians because they expect politicians to favor their co-ethnics once in office. But many goods that politicians deliver to voters are locally non-excludable in rural areas, so the local presence of an ethnic group associated with a politician should affect a rural voter’s assessment of how likely she is to benefit from the politician’s election. Using geocoded polling station-level election results alongside survey data from Ghana, we show that otherwise similar voters are less likely to vote for the party of their own ethnic group, and more likely to support a party associated with another group, when the local ethnic geography favors the other group. This result helps account for the imperfect correlation between ethnicity and vote choice in African democracies. More generally, this demonstrates how local community and geographic contexts can modify the information conveyed by ethnicity and influence voter behavior.
As demonstrated by the email game of Rubinstein (1989), the predictions of the standard equilibrium models of game theory are sensitive to assumptions about the fine details of the higher order beliefs. This paper shows that models of bounded depth of reasoning based on level-k thinking or cognitive hierarchy make predictions that are independent of the tail assumptions on the higher order beliefs. In addition to this finding, the tools developed in this paper oer a new direction for the analysis of models of bounded depth of reasoning and their applications to various economic settings. (JEL C72, D03)