Carolina Castagnetti

Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques

Two ‘reduced-form’ GARCH-M models are used to estimate the German swap spreads from a risk premium point of view. The first model makes use of a parametric GARCH in mean model that has been extended to the case of a vector autoregressive process. The second is a semiparametric model where the conditional variance is formalized as a GARCH process while conditional mean is an arbitrary function of it. It is shown that the monotonic relation implied by both GARCH in mean models between the delta swap spreads and its conditional variance holds for all maturities considered. Not surprisingly, the semiparametric model leads to a better explanation of the swap spreads dynamic than the parametric specification.

Unfair Tournaments Gender Stereotyping and Wage Discrimination among Italian Graduates

This paper addresses the gender pay gap among Italian university graduates on entry to the labor market, and stresses the potential for gender stereotypes to impact subjective assessment of individual productivity. We build upon previous research about gender and wage inequality, introducing tournament theory as a framework for the gender pay gap analysis. We hypothesize that the effects of gender make occupational tournaments less fair in some arenas compared with others. As a consequence, men workers have higher probabilities of winning the wage competition, but this process is uneven. Our data show that in contexts where stereotypes are most likely to occur, tournaments appear to be less fair and the unexplained component of the gender pay gap is higher.This paper addresses the gender pay gap among Italian university graduates on entry to the labour market and stresses the importance of gender stereotypes on subjective assessment of individual productivity. Our data show that in contexts where the stereotype is most likely to occur, the unexplained component of the gender pay gap is higher. Moreover, we find evidence that being excellent at school does not ensures that a woman will be rewarded as an equivalently performing man, but serves to counteract the gender bias in on-the-job evaluations