Report NEP-FMK-2005-12-10
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.Subscribe to this report: email or RSS
Other reports in NEP-FMK
The following items were announced in this report:
- Peter Nippel & Christian Pierdzioch & Andrea Schertler, 2005. "Underpricing and Index Excess Returns," Kiel Working Papers 1259, Kiel Institute for the World Economy.
- Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
- Campa, Jose M. & Goldberg, Linda S. & Gonzalez-Minguez, Jose M., 2005. "Exchange-rate pass-through to import prices in the euro area," IESE Research Papers D/609, IESE Business School.
- Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc.
- Tommaso Monacelli & Ester Faia, 2005. "Optimal Interest Rate Rules, Asset Prices and Credit Frictions," Computing in Economics and Finance 2005 452, Society for Computational Economics.
- Michael P. Dooley & David Folkerts-Landau & Peter M. Garber, 2005. "Interest Rates, Exchange Rates and International Adjustment," NBER Working Papers 11771, National Bureau of Economic Research, Inc.
- Moritz Schularick, 2005. "A Tale Of Two “Globalizations”: Capital Flows From Rich To Poor In Two Eras Of Global Finance," Economic History 0509001, EconWPA.
- De Fiore, Fiorella & Uhlig, Harald, 2005. "Bank finance versus bond finance: what explains the differences between US and Europe?," Working Paper Series 0547, European Central Bank.
- Francis Vitek, 2005. "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance 0508014, EconWPA.
- Hazel Bateman & Susan Thorp, 2005. "Decentralised Portfolio Management: Analysis of Australian Accumulation Funds," Research Paper Series 161, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
- Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics.
- Virginia Queijo, 2005. "Bayesian Estimation of a DSGE Model with Financial Frictions for the U.S. and the Euro Area," Computing in Economics and Finance 2005 306, Society for Computational Economics.
- John Conlon, 2005. "Should Central Banks Burst Bubbles?," Game Theory and Information 0508007, EconWPA.
- Sheri Markose & Amadeo Alentorn, 2005. "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005 397, Society for Computational Economics.
- Pasquale Lucio Scandizzo, 2004. "Financing Technology: An Assessment of Theory and Practice," CEIS Research Paper 43, Tor Vergata University, CEIS.
- Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
- Ajit Singh & Jack Glen & Ann Zammitt & Rafael De Hoyos & Alaka Singh & Bruce Weisse, 2005. "Shareholder value maximisation, stock market and new technology: should the US corporate model be the universal standard," ESRC Centre for Business Research - Working Papers wp315, ESRC Centre for Business Research.
- Charles Engel, 2005. "The US Current Account Deficit: A Re-examination of the Role of Private Saving," RBA Research Discussion Papers rdp2005-09, Reserve Bank of Australia.
- Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, EconWPA.
- Oleksandr Zhylyevskyy, 2005. "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme," Computing in Economics and Finance 2005 187, Society for Computational Economics.
- Tommaso Reggiani, 2005. "IL SISTEMA DEL MICROCREDITO: una cura della povertà. La prospettiva secondo YUNUS," Development and Comp Systems 0508005, EconWPA.
- Niall Ferguson & Moritz Schularick, 2005. "The Empire Effect: Country Risk in the First Age of Globalization, 1880-1913," Economic History 0509002, EconWPA.
- Chryssanthi Balomenou, 2004. "SMEs, the engine of local entrepreneurship, in the framework of New Basel Capital Accord: Perspectives-opportunities and obstacles for their reinforcement by the Banking System," ERSA conference papers ersa04p336, European Regional Science Association.
- Jiali Liao & Theodore V. Theodosopoulos, 2005. "Optimal Timing of Mark-to-Market for Contingent Credit Risk Control," Computing in Economics and Finance 2005 220, Society for Computational Economics.
- Claudia M. Buch & Serkan Yener, 2005. "Consumption Volatility and Financial Openness," Kiel Working Papers 1260, Kiel Institute for the World Economy.
- Achraf AYADI & Chantal AMMI, 2005. "Innovation Technologique Dans Les Reseaux Mobiles Et Creation De La Valeur: Cas De La Banque Mobile," Development and Comp Systems 0508009, EconWPA.
- Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance 0511009, EconWPA.
- Neng Wang & Rui Albuquerque, 2005. "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005 351, Society for Computational Economics.
- Arup Daripa, 2005. "How (Not) to Sell Money," Macroeconomics 0511019, EconWPA.
- Camelia Kuhnen & Brian Knutson, 2005. "The Neural Basis of Financial Risk Taking," Experimental 0509001, EconWPA.
- Mathias Hoffmann, 2005. "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005 229, Society for Computational Economics.
- Michael Haliassos & Michael Reiter, 2005. "Credit card debt puzzles," Economics Working Papers 901, Department of Economics and Business, Universitat Pompeu Fabra.
- Shrestha, Min B. & Chowdhury, Khorshed, 2005. "ARDL Modelling Approach to Testing the Financial Liberalisation Hypothesis," Economics Working Papers wp05-15, School of Economics, University of Wollongong, NSW, Australia.
- James Stodder, 2005. "Computational Efficiency and Macroeconomic Stability under Centralized Exchange: Evidence from Swiss and US Exchange Data," Computing in Economics and Finance 2005 64, Society for Computational Economics.
- Doris Neuberger & Christoph Schacht, 2005. "The Number of Bank Relationships of SMEs: A Disaggregated Analysis for the Swiss Loan Market," Finance 0509001, EconWPA.
- Xiaozhong Liang, 2005. "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005 407, Society for Computational Economics.
- Gary A. S. Cook & Naresh R. Pandit & Jonathan V. Beaverstock & Peter J. Taylor & Kathy Pain, 2004. "The Clustering of Financial Services in London," ERSA conference papers ersa04p49, European Regional Science Association.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
- Glaser, Markus & Weber, Martin, 2005. "Which Past Returns Affect Trading Volume?," Sonderforschungsbereich 504 Publications 05-33, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
- Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006.
- Mohammad R. Rahman & Ruppa K. Thulasiram & Parimala Thulasiraman, 2005. "Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing," Computing in Economics and Finance 2005 471, Society for Computational Economics.
- Lane, Philip R., 2005. "Global bond portfolios and EMU," Working Paper Series 0553, European Central Bank.
- Ritirupa Samanta & Blake LeBaron, 2005. "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005 140, Society for Computational Economics.
- Matt Pritsker, 2005. "A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance," Computing in Economics and Finance 2005 414, Society for Computational Economics.
- James Laurenceson & Kam Ki Tang, . "China's capital account convertibility and financial stability," EAERG Discussion Paper Series 0505, School of Economics, University of Queensland, Australia.
- Alicia Garcia-Herrero & Sergio Gavila & Daniel Santabarbara, 2005. "China’s banking reform: An assessment of its evolution and possible impact," Finance 0508010, EconWPA.
- Karlo Kauko, 2005. "Bank interest rates in a small European economy: Some exploratory macro level analyses using Finnish data," Finance 0508020, EconWPA.
- Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Fear of disruption: a model of Markov-switching regimes for the Brazilian country risk conditional volatility," Econometrics 0509005, EconWPA.
- Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," Finance 0511006, EconWPA, revised 28 Nov 2005.
- sunanda roy, 2005. "Asset prices and capital accumulation in a monetary economy with incomplete markets," GE, Growth, Math methods 0508002, EconWPA.
- Dvorak, Tomas & Podpiera, Richard, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 0552, European Central Bank.
- Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005 419, Society for Computational Economics.
- Marius Jurgilas, 2005. "Interbank market under the currency board: Case of Lithuania," Computing in Economics and Finance 2005 448, Society for Computational Economics.
- Deepak Shah, 2005. "Rural Credit Delivery System in Maharashtra: A Step Towards Rejuvenation," Finance 0508019, EconWPA.
- Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñezr & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, . "Implicit regimes for the Spanish Peseta/Deutschmark exchange rate," Working Papers 2005-21, FEDEA.
- Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks," Econometrics 0509006, EconWPA.
- Glaser, Markus & Langer, Thomas & Reynders, Jens & Weber, Martin, 2005. "Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns," Sonderforschungsbereich 504 Publications 05-40, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
- basab dasgupta, 2005. "Capital Accumulation in the Presence of Informal Credit Contract: Does Incentive Mechanism Work Better than Credit Rationing Under Asymmetric Information?," Computing in Economics and Finance 2005 366, Society for Computational Economics.
- Sikandar Hussain & M. Shahid Ebrahim, 2005. "Financial Development and Property Valuation," Computing in Economics and Finance 2005 24, Society for Computational Economics.
- Daniela Fabbri & Anna Maria Cristina Menichini, 2005. "Trade Credit, Collateral Liquidation and Borrowing Constraints," CSEF Working Papers 146, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 08 Feb 2009.
- Eva de Francisco, 2005. "Limited Participation, Income Distribution and Capital Account Liberalization," Computing in Economics and Finance 2005 454, Society for Computational Economics.
- Kollo, Michael G., 2005. "Underwriter competition and gross spreads in the eurobond market," Working Paper Series 0550, European Central Bank.
- Hayette GATFAOUI, 2005. "From Fault Tree to Credit Risk Assessment: A Case Study," Econometrics 0509002, EconWPA.
- Timo Vesala, 2005. "Relationship lending and competition: Higher switching cost does not necessarily imply greater relationship benefits," Finance 0508018, EconWPA.
- Walid Hejazi & Eric Santor, 2005. "Degree of Internationalization and Performance: An Analysis of Canadian Banks," Working Papers 05-32, Bank of Canada.
- Shino Takayama & Han Ozsoylev, 2005. "A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes," Finance 0509007, EconWPA.
- Kirsi Ripatti, 2005. "Central counterparty clearing: constructing a framework for evaluation of risks and benefits," Finance 0508021, EconWPA.
- Luigi Benfratello & Fabio Schiantarelli & Alessandro Sembenelli, 2005. "Banks and Innovation: Microeconometric Evidence on Italian Firms," Boston College Working Papers in Economics 631, Boston College Department of Economics, revised 13 Jun 2007.
- Paolo Surico & Antonello D'Agostino & Luca Sala, 2005. "The Fed and the Stock Market," Computing in Economics and Finance 2005 293, Society for Computational Economics.
- Achraf AYADI, 2005. "La Banque à distance en Tunisie : Comment rattraper le retard ?," Development and Comp Systems 0508011, EconWPA.
- Bernardo Batiz-Lazo & Robert Locke & Kristine Müller, 2005. "Transferring Rhineland Capitalism to the Polish-German Border: Perceptions of Bank Governance and Practice in Zgorzelec-Görlitz," Economic History 0508003, EconWPA.
- Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
- Duc PHAM-HI, 2005. "Operational risk management and new computational needs in banks," Computing in Economics and Finance 2005 355, Society for Computational Economics.
- Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics.
- Carl Plat, 2005. "A Double Auction Market with Signals of Varying Precision," Experimental 0508004, EconWPA.
- Willi Semmler & Lars Grüne, 2005. "Asset Pricing and Loss Aversion," Computing in Economics and Finance 2005 199, Society for Computational Economics.
- Menzie D. Chinn & Hiro Ito, 2005. "Current Account Balances, Financial Development and Institutions: Assaying the World "Savings Glut"," NBER Working Papers 11761, National Bureau of Economic Research, Inc.
- Ramdane Djoudad & Jack Selody & Carolyn Wilkins, 2005. "Does Financial Structure Matter for the Information Content of Financial Indicators?," Working Papers 05-33, Bank of Canada.
- Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Richard Kum-yew Lai, 2005. "Why Funds of Funds?," Finance 0509005, EconWPA.
- Flynn, Sean M., 2005. "Noise-trader Risk: Does it Deter Arbitrage, and Is it Priced?," Vassar College Department of Economics Working Paper Series 69, Vassar College Department of Economics.
- Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA.
- Sánchez, Marcelo, 2005. "The link between interest rates and exchange rates: do contractionary depreciations make a difference?," Working Paper Series 0548, European Central Bank.
- Achraf AYADI, 2005. "Value creation in mobile banking," Development and Comp Systems 0508010, EconWPA.