Banca Monte dei Paschi di Siena SpA
Economic Notes
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2012, Volume 41, Issue 3
- 101-114 The Perverse Effect of Debt Tax Benefits on Firm Investment Decisions
by William Addessi & Enrico Saltari - 115-144 The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model
by Flavia Barsotti & Maria Elvira Mancino & Monique Pontier - 145-172 Public Expenditure and Revenue in Italy, 1862–1993
by Michele Dalena & Cosimo Magazzino - 173-182 The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece
by Vassilios G. Papavassiliou
2012, Volume 41, Issue 1-2
- 1-26 Trust and Insurance Markets
by Luigi Guiso - 27-57 Bank Acquisitions and Decentralization Choices
by Enrico Beretta & Silvia Del Prete - 59-79 Contingent Capital: An In-Depth Discussion
by Stan Maes & Wim Schoutens - 81-99 The ‘Farmerian’ Approach to Ending a Finance-Induced Recession: Notes on Stability and Dynamics
by Marco Guerrazzi
2011, Volume 40, Issue 3
- 75-91 Do Bank Capital and Liquidity Affect Real Economic Activity in the Long Run? A VECM Analysis for the US
by Leonardo Gambacorta - 93-104 Seasonal Cointegration and Long‐Run Neutrality of Money in the USA
by Mohammad S. Hasan - 105-132 An Improved Two‐step Regularization Scheme for Spot Volatility Estimation
by Shigeyoshi Ogawa & Simona Sanfelici
2011, Volume 40, Issue 1-2
- 1-27 Country‐Specific Risk Premium, Taylor Rules, and Exchange Rates
by Barbara Annicchiarico & Alessandro Piergallini - 29-43 Testing the ‘Inaction Corridor’ in a Three‐Regime Threshold Error Correction Model with an Application to a Buffer‐Stock Model for US Money Demand
by Jaya Krishnakumar & David Neto - 45-74 Information Content in Small and Large Trades
by Malay K. Dey & Hal Stern & Hongmei Zhang
2010, Volume 39, Issue s1
- 43-45 Introduction to the Special Issue: Financial Mathematics and Econometrics
by Roberto Ren� & Cecilia Mancini - 47-63 Volatility and Volume Effects in European Electricity Spot Markets
by Angelica Gianfreda - 65-90 Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes
by Laura Pasin & Tiziano Vargiolu - 91-106 Review on Goodness of Fit Tests for Ergodic Diffusion Processes by Different Sampling Schemes
by Ilia Negri & Yoichi Nishiyama - 107-127 Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations
by Stefano M. Iacus & Nakahiro Yoshida
2010, Volume 39, Issue 3
- 129-146 The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case
by Chiara Pederzoli & Costanza Torricelli & Simona Castellani - 147-171 After‐tax Valuation of Convertible Bonds and Participation Exemption
by Marco Realdon - 173-202 Testing the ‘Quiet Life’ Hypothesis in the Italian Banking Industry
by Paolo Coccorese & Alfonso Pellecchia - 203-226 On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error
by Flavio Angelini & Marco Nicolosi
2010, Volume 39, Issue 1-2
- 1-25 Financial Market Integration, Costs of Adjusting Hours Worked and Monetary Policy
by M. Alper �enesiz & Christian Pierdzioch - 27-41 Financial Development and GDP Volatility in China
by Abu N. M. Wahid & Abdul Jalil
2009, Volume 38, Issue 3
- 117-118 In Memory of Alessandro Prati
by Giovanni Ferri - 119-135 Fixed Exchange Rates and Banking Crises: When Does the Former Prevent the Latter?
by Victoria Miller - 137-167 Market-Based Measures of Monetary Policy Expectations and Their Evolution Since the Introduction of the Euro
by Fabio Filipozzi - 169-183 A Note on the (Un)Pleasant Arithmetic of Fiscal Policy: The Case of Italian Public Debt
by Luigi Marattin & Massimiliano Marzo
2009, Volume 38, Issue 1-2
- 1-37 The Limits of Transparency
by Alex Cukierman - 39-66 Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words
by Carlo Rosa - 67-95 The International Financial Crisis Viewed by Experts
by Antonio Forte & Giovanni Pesce - 97-116 Interest-Rate Reforms and Financial Deepening in Botswana: An Empirical Investigation
by Nicholas M. Odhiambo & Oludele A. Akinboade
2008, Volume 37, Issue 3
- 219-239 Non-linearities, Business Cycles and Exchange Rates
by Menzie D. Chinn - 241-257 External Imbalances and the Extensive Margin of Trade
by Vahagn Galstyan & Philip R. Lane - 259-281 Fundamentals at Odds? The US Current Account Deficit and Dollar
by Gian Maria Milesi-Ferretti - 283-313 Composition of International Assets and the Long-run Current Account
by Cedric Tille - 315-343 Reserves, Sovereign Wealth Funds and the Resilience of Global Imbalances
by Enrique Alberola & José María Serena - 345-379 The Impact of a Disorderly Resolution of Global Imbalances on Global Wealth
by Francis E. Warnock
2008, Volume 37, Issue 2
- 127-140 The Power of the Euro-Sterling Rates in Explaining Asset Market Rates: A High-frequency Analysis
by Gianluca Laganà - 141-154 Costly Tax Enforcement and Financial Repression
by Rangan Gupta & Emmanuel Ziramba - 155-179 The Effects of Screening and Monitoring on Credit Rationing of SMEs
by Mariarosaria Agostino & Damiano B. Silipo & Francesco Trivieri - 181-201 On the Use of the Moving Average Trading Rule to Test for Weak Form Efficiency in Capital Markets
by Alexandros E. Milionis & Evangelia Papanagiotou - 203-210 Microfinance at a Crossroads
by Diego Lanzi
2008, Volume 37, Issue 1
- 1-30 Monetary Policy Rules for a Small Open Economy
by Wolfram Berger - 31-58 Investment under Uncertainty, Debt and Taxes
by Andrea Gamba & Gordon A. Sick & Carmen Aranda León - 59-74 Trade Balance and Exchange Rate: Unit Roots, Co-integration and Long Memory in the US and the UK
by Luis A. Gil-Alana & Natalia Luqui & Juncal Cunado - 75-117 Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure
by Theofanis Archontakis & Wolfgang Lemke - 119-126 Are Central Bank Preferences Asymmetric? A Comment
by Patrick Minford & Naveen Srinivasan
2007, Volume 36, Issue 3
- 205-207 The Heath, Jarrow, Morton Model
by Oldrich Alfons Vasicek - 209-230 The Value of Relationship Lending: Small Banks in an Era of Consolidation
by Paola Bongini & Maria Luisa Di Battista & Emma Zavarrone - 231-246 Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market
by Benjamin M. Tabak - 247-258 The Interaction between the Central Bank and a Single Monopoly Union Revisited: Does Greater Monetary Policy Uncertainty Reduce Nominal Wages?
by Luigi Bonatti
2007, Volume 36, Issue 2
- 115-146 Household Debt and Credit: Economic Issues and Data Problems
by Giuseppe Bertola & Stefan Hochguertel - 147-170 Lessons from the ECB Experience: Frankfurt Still Matters!
by Zeno Rotondi & Giacomo Vaciago - 171-188 Does Financial Liberalization Lower Problem Loans in Banks?
by Saibal Ghosh - 189-203 What Do Data Say About Monetary Policy, Bank Liquidity and Bank Risk Taking?
by Marcella Lucchetta
2007, Volume 36, Issue 1
- 1-26 Dynamic Equilibrium with Overpriced Put Options
by Sergey Isaenko - 27-42 A New Approach to Predicting Recessions
by Ken Nyholm - 43-76 Information Technology and Productivity Changes in the Banking Industry
by Luca Casolaro & Giorgio Gobbi - 77-87 Financial Frictions and Risky Corporate Debt
by Doriana Ruffino & Jonathan Treussard - 89-113 Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence
by Samy Ben Naceur & Samir Ghazouani
2006, Volume 35, Issue 3
- 227-252 A Comparison of Alternative Non-parametric Estimators of the Short Rate Diffusion Coefficient
by Roberto Ren� & Antonio Roma & Stephen Schaefer - 253-291 Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation
by Fayez A. Elayan & Kuntara Pukthuanthong & Richard Roll - 293-317 Do Upgradings and Downgradings Convey Information? An Event Study of the French Bond Market
by Maurizio Dallocchio & Jerome Hubler & Philippe Raimbourg & Antonio Salvi - 319-353 The Number of Bank Relationships of SMEs: A Disaggregated Analysis of Changes in the Swiss Loan Market
by Doris Neuberger & Solvig Räthke & Christoph Schacht - 355-375 Estimating the Term Structure of Credit Spreads on Euro-denominated Corporate Bonds
by Ombretta Terazzan - 377-383 Finance, Banks and the Stability of Emerging Markets
by Diego Lanzi
2006, Volume 35, Issue 2
- 151-172 Revisiting the European Monetary System Experience: Were Some Members More Equal than Others?
by Lorenzo Bini Smaghi & Giovanni Ferri - 173-202 Tax-induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy
by Roberto Savona - 203-218 Credibility, Irreversibility of Investment, and Liberalization Reforms in LDCs
by Andrea Bassanini - 219-225 Essay Review on Raghuram G. Rajan and Luigi Zingales (2003), Saving Capitalism from the Capitalists, Random House, New York
by Giovanni Ferri
2006, Volume 35, Issue 1
- 1-47 Stock Market Fluctuations and Money Demand in Italy, 1913-2003
by Massimo Caruso - 49-62 Bank Mergers, Information, Default and the Price of Credit
by Margarida Catal�o- - 63-95 Optimal Monetary Policy with Price and Wage Rigidities
by Massimiliano Marzo - 97-119 Market for Information and Identity Disclosure in an Experimental Open Limit Order Book
by Pietro Perotti & Barbara Rindi - 121-150 Do Market-based Indicators Anticipate Rating Agencies? Evidence for International Banks
by Antonio Cesare
2005, Volume 34, Issue 3
- 257-277 Liquidity and Twin Crises
by Hyun Song - 279-311 Competition and Profitability in European Banking: Why Are British Banks So Profitable?
by David T. Llewellyn - 313-330 Equilibrium Determinacy under Monetary and Fiscal Policies in an Overlapping Generations Model
by Alessandro Piergallini - 331-370 Greek Monetary Economics in Retrospect: The Adventures of the Drachma
by Sophia Lazaretou - 371-405 Determinants of Corporate Governance in the Italian Financial Market
by Emilio Barucci & Jury Falini - 407-427 Integration or Independence? An Alternative Assessment of Real Interest Rate Linkages in the European Union
by Mark J. Holmes
2005, Volume 34, Issue 2
- 127-154 The Impact of the Rating Agencies' Through-the-cycle Methodology on Rating Dynamics
by Edward I. Altman & Herbert A. Rijken - 155-183 Correlation at First Sight
by Andrew Friend & Ebbe Rogge - 185-230 Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened
by Greg M. Gupton - 231-256 Risk Mapping and Key Risk Indicators in Operational Risk Management
by Sergio Scandizzo
2005, Volume 34, Issue 1
- 1-34 Long-term Performance of New Equity Issuers, Venture Capital and Reputation of Investment Bankers
by John A. Doukas & Halit Gonenc - 35-50 Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds
by Niklas Wagner & Warren Hogan & Jonathan Batten - 51-83 Specification Analysis of Diffusion Models for the Italian Short Rate
by Monica Gentile & Roberto Ren� - 85-112 Does Trade Credit Substitute Bank Credit? Evidence from Firm-level Data
by Guido de Blasio - 113-126 Finance-Growth Nexus and the P-bias: Evidence from OECD Countries
by Franz R. Hahn
2004, Volume 33, Issue 3
- 325-357 Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach
by Annalisa Di Clemente & Claudio Romano - 359-374 Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model
by Martino Grasselli & Claudio Tebaldi - 375-398 Integrated Risk Management with a Filtered Bootstrap Approach
by Claudio Marsala & Massimiliano Pallotta & Raffaele Zenti - 399-413 Analytical American Option Pricing: The Flat-barrier Lower Bound
by Alessandro Sbuelz - 415-435 Models of Capital Requirements in Static and Dynamic Settings
by Giacomo Scandolo - 437-444 Standards, Breakwaters and Watchdogs: The Collective Governance of Financial Markets
by Diego Lanzi
2004, Volume 33, Issue 2
- 183-208 Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence
by Edward Altman & Andrea Resti & Andrea Sironi - 209-232 The Co-initial Swap Market Model
by Stefano Galluccio & Christopher Hunter - 233-255 Semi-analytic Approaches to Collateralized Debt Obligation Modelling
by Christian Bluhm & Ludger Overbeck - 257-273 Preventing Systemic Crises through Bank Transparency
by Ari Hyytinen & Tuomas Takalo - 275-321 Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data
by Gianluca Cassese & Massimo Guidolin
2004, Volume 33, Issue 1
- 1-2 Introduction
by Eduardo Schwartz & Walter Torous - 3-22 How Did It Happen?
by Michael J. Brennan - 23-54 Patents and R&D as Real Options
by Eduardo S. Schwartz - 55-81 Optimal Dynamic Trading Strategies
by Douglas T. Breeden - 83-110 Corporate Decisions, Information and Prices: Do Managers Move Prices or Do Prices Move Managers?
by Ronald Giammarino & Robert Heinkel & Burton Hollifield & Kai Li - 111-143 Liquidity Dynamics Across Small and Large Firms
by Tarun Chordia & Lakshmanan Shivakumar & Avanidhar Subrahmanyam - 145-181 Incomplete Information, Trading Costs and Cross-autocorrelations in Stock Returns
by Tarun Chordia & Bhaskaran Swaminathan
2003, Volume 32, Issue 3
- 295-333 The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index
by Lucio Sarno & Ibrahim Chowdhury - 335-359 What does Monetary Policy Reveal about a Central Bank's Preferences?
by Efrem Castelnuovo & Paolo Surico - 361-370 The Taylor Rule and Dynamic Stability in a Small Macroeconomic Model
by David Chappell & Paul Turner - 371-398 Macroeconomic News and the Euro/Dollar Exchange Rate
by Gabriele Galati & Corrinne Ho - 399-402 Charles Goodhart and Gerhard Illing (eds) 2002 Financial Crises, Contagion, and the Lender of Last Resort, a Reader
by Marcello De Cecco - 403-408 Ben Fine (2001) Social Capital versus Social Theory: Political Economy and Social Science at the Turn of the Millennium
by Fabio Sabatini
2003, Volume 32, Issue 2
- 143-146 Introduction
by Andrea Berardi & Francesco Rossi - 147-176 Market Size and Investment Performance of Defaulted Bonds and Bank Loans: 1987-2001
by Edward I. Altman & Jason Pompeii - 177-195 Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
by Gianluca Oderda & Michel M. Dacorogna & Tobias Jung - 197-217 Pricing Loans Using Default Probabilities
by Stuart M. Turnbull - 219-242 Pricing and Hedging Credit Derivatives with Copulas
by Umberto Cherubini & Elisa Luciano - 243-282 A Structural Analysis of Credit Risk With Risky Collateral: A Methodology for Haircut Determination
by Didier Cossin & Tomas Hricko - 283-294 Managing Electricity Risk
by Giovanni Barone-Adesi & Andrea Gigli
2003, Volume 32, Issue 1
- 1-35 New Economy, Old Central Banks?
by Jan Marc Berk - 37-66 Central Bank and Commercial Banks' Liquidity Management - What is the Relationship?
by Ulrich Bindseil & Benedict Weller & Flemming Wuertz - 67-100 The Choice Among Interbank Settlement Systems: The European Experience
by Angelo Baglioni & Rony Hamaui - 101-103 Roger B. Porter, Pierre SauvÈ, Arvind Subramanian and Amerito B. Zampetti (eds) (2001) Efficiency, Equity, Legitimacy: The Multilateral Trading System at the Millennium
by Gianpaolo Rossini - 105-106 Robert Gilpin (2002) The Challenge of Global Capitalism. The World Economy in the 21st Century
by Gianpaolo Rossini - 107-121 Critical Aspects in Modelling Monetary Policy
by Massimiliano Marzo - 123-142 Joseph E. Stiglitz (2002) Globalization and Its Discontents
by Giovanni Ferri