Papel de la correlación en carteras con dos activos riesgosos

The same model specifications are used for both of the fixed-effects analyses performed, that is first-differences regression (FD) and fixed-effects ordered logit (FE-OL).

Separation is the focus regressor of the analyses. It is included in model specifications as an indicator variable at individual level (1/0).

Model 1 is the basic specification including only separation variables. In Model 2 the following time-varying covariates are included as controls: age, chronic morbidity, activity limitation due to health problems, living alone and presence of children. This choice is driven by the fixed-effects method, that include only time-variant covariates.

Fixed-effects models usually have very few covariates. However, we study the effect of time-invariant characteristics, such as gender and type of union (marital/non marital) by their interacts with the dissolution covariate (Model 3 and 4, respectively).

Focus regression: transition to separation

One technical issue was the definition of the transition of interest. Union dissolution is defined as: when the partners no longer live together. EU-SILC does not provide a household grid, that is, a series of variables documenting the relationship between each household member. Instead of this detailed information, the EU-SILC provides only three variables: the personal identifiers of each individual’s spouse or partner, and of his or her mother and father, when they are resident in the same household. This enables us to identify people who are living as part of a couple. If two partners stopped living in the same house (not because of the death of a partner), they were deemed to be separated.

For married couples this event coincides with a change in marital status (from married to de facto or legally separated); for non-marital unions no change in marital status is expected. Transitions to couple dissolution are therefore identified by a combination of criteria, including change in marital status, partnership change and household split (partners no longer live together), as described in detail in Section 3.2.

Unlike the Family and Social Actors survey (FSS), EU-SILC doesn’t ask any additional question about the reasons for de facto separation. Thus, we are unable to identify couples who separate for work reasons or any reasons other than the end of a romantic relationship. This means that it is possible we include among separated people those who live temporarily apart and consider their couple relationship intact (as for commuting marriages). However, we expect that such cases are rare. From Family and Social Actors survey, conducted by ISTAT in 2003, we find that the percentage of married individuals living outside the conjugal home is 2.7%.

Controls

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The main determinants of self-rated health are almost the same for men and women:

objective health status, satisfaction for many aspects of one’s life, and several socio-demographic individual characteristics, such as gender, age, territorial context, education, housing, marital status, economic condition. For these reasons we include as controls: gender, age, living arrangement and two objective health measures: chronic disabilities and health related activity limitations. A gender difference is found, in which women report a negative health evaluation more frequently than men, with respect to men. This is confirmed by the Italian data (Egidi and Spizzichino 2007). Women more frequently report disabilities and chronic diseases (especially multichronicity); this may partly account for their gender disadvantage in health self-perception. As regards age, better health perception is found when age increases, especially for women (Egidi and Spizzichino 2007); indeed the gender disadvantage seems to reduce when age increases (Case and Deaton, 2003; Arber and Cooper, 1999).

We cannot account for couples’ union duration because this information is not available in EU-SILC data.

Age. Age is treated as a continuous variable. Grouping age in categories had the drawback of giving different weights to ageing, only including in the analysis variations which involve a category change. To account for a nonlinear link between age and health, we included a square measure of age, but it was not significant. We have excluded it from the model specification.

Living alone. We included the living arrangement of people living alone, such as one-person families. Having excluded transition to widowhood, this variable only refers to people who lives alone after a separation. We hypothesize that living alone after separation exacerbates the effect of separation. According to the literature, the partner who leaves the couple's house may face sudden economic hardship and housing deprivations. In the presence of children the father usually leave the house, allocated to the mother and their children. This might lead to mental diseases such as anxiety, depression and feelings of sadness. All these diseases can be captured by the SRH measure.

Chronic morbidity and activity limitation due to health problems. The two measures of health included as controls are part of the MEHM (for more details see Section 2.6).

The presence of chronic diseases and the limitation in usual activities are defined by the following questions:

“Do you have any longstanding illness or longstanding health problem? (By longstanding I mean illnesses or health problems which have lasted, or are expected to last, for 6 months or more)” “Yes/No”.

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“For at least the past 6 months, to what extent have you been limited because of a health problem in activities people usually do? Would you say you have been…” “Severely limited; limited but not severely; not limited at all?”.⁵

Both measures are appropriately included as controls since they are shown to be determiners of self- perceived health (Verropoulou, 2009). The second question is included as a dichotomous variable, collapsing the two affirmative answers. Although the health question was not mandatory and no proxy answers were admitted, very few cases are missing: chronic morbidity (0.9%) and limitation in usual activities (0.7%).

The total amount of excluded individuals is 2.2% of the initial sample.

Type of union. The type of union is included as dichotomous: marital/non marital cohabitations. This information is derived from a specific variable of the EU-SILC dataset. This gives us the opportunity to test for a difference in the consequences of dissolution between the two types of couples.

Children. For parenthood a dummy variable is constructed. The variable ‘children’

indicates whether a person is a parent or not (of a child living in the household). In the 2004-2006 panel the relationships within the household are not reported, leading us to additional work to identify the basic couple and parenthood relationships. At the beginning of the observation period around 57% of the respondents who subsequently get separated indicate that at least one child of their own is living in the household.

Similarly so did around 66% of partners who did not get separated. It is important to note that the presence of children in this model is formulated in the broadest sense. No distinction is made between the number or age of the children. We hypothesize that the custody of children exacerbates the effect of separation. Therefore, we included a stress, resulting from direct care; financial difficulties since children cost money; and enduring contact between former partners, which can result in conflicts. For children who are not present in the household, these mechanisms are either reduced or absent.

There is little or no direct care, and such children are often older and independent, and custody arrangements often do not play a role.

5Since EU-SILC 2007, the Italian wording of the two MEHM questions was:

“Lei è affetto da malattie croniche o problemi di salute di lunga durata? (Il termine “lunga durata” si riferisce a malattie o problemi di salute che durano da almeno 6 mesi o si prevede che durino per almeno 6 mesi).” “Si / No.”;

“A causa di problemi di salute, in che misura Lei ha delle limitazioni che durano da almeno 6 mesi nelle attività che le persone abitualmente svolgono? Direbbe di avere: Limitazioni gravi; Limitazioni non gravi; Nessuna limitazione”.

Before the 2007 edition the wording was:

“Lei è affetto da malattie o condizioni patologiche croniche?” “Sì / No”;

“A causa di problemi di salute, Lei ha delle limitazioni, che durano da almeno 6 mesi, nello svolgere le abituali attività della vita quotidiana?” “Sì, forti limitazioni / Sì, qualche limitazione / No, nessuna limitazione”.

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The per capita equivalized disposable household income was initially included in the model.⁶ The relevant number of missing cases in income (23.6%) and the insignificant coefficient obtained, lead us to exclude it from the final specification. In fact, any observation reporting missing value in any covariate is excluded from the analysis. This led to a sensible reduction of the sample size.

We found the fixed-effects model very sensitive to the inclusion of terms that do not reach significance. This generally results in a loss of significance of other covariates.

This may be attributed to the additional fractioning of the sample induced by the inclusion of any new covariate. For this reasons we excluded from the model not significant terms, such as squared age and income. The only exceptions are of course the interaction terms of separation by other variables (gender, type of union, presence of children).