# Centro de Estudios Monetarios Y Financieros-

# Papers

**Contact information of Centro de Estudios Monetarios Y Financieros-:**

Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.

Phone: 914290551

Fax: 914291056

Email:

Web page: http://www.cemfi.es/

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**For corrections or technical questions regarding this series, please contact
(Thomas Krichel)** **Series handle:** repec:fth:cemfdt
**Citations RSS feed:** at CitEc
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### 2001

**0108 Standard Costs: An Overview***by*Antonio, J. & Martin, G.**0107 Cournot Competition with Stranded Costs***by*Antonio, J. & Martin, G.**0106 Spot Market Competition with Stranded Costs in the Spanish Electricity Industry***by*Antonio, J. & Martin, G.**0105 Mean-Variance Portfolio Allocation with a Value at Risk Constraint***by*Sentana, E.**0104 Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Cental Bank***by*Ayuso, J. & Repullo, R.**0103 Managerial Compensation and the Market Reaction to Bank Loans***by*Almazan, A. & Suarez, J.**0102 Research Incentives in Competing Markets: A Model of the Development of New Vaccines***by*Rey, P.**0101 Discrete Choices with Panel Data***by*Arellano, M.

### 2000

**0016 Panel Data Models: Some Recent Developments***by*Arellano, M. & Honore, B.**0015 A Model of Takeovers of Foreign Banks***by*Repullo, R.**0014 An Economic Analysis of Corporate Directors' Fiduciary Duties***by*Gutierrez, M.**0013 A Contractual Approach to the Regulation Corporate Directors' Fiduciary Duties***by*Gutierrez, M.**0012 Rewarding Sequential Innovators: Prizes, Patents and Buyouts***by*Llobet, G. & Hopenhayn, H. & Mitchell, M.**0011 A Model of the Open Market Operations of the European Central Bank***by*Ayuso, J. & Repullo, R.**0010 Unemployment and Consumption: are Job Losses Less Painful Near the Mediterranean?***by*Bentolila, S. & Ichino, A.**0009 Business Creation and the Stock Market***by*Michelacci, C. & Suarez, J.**0008 Income Uncertainty and Precautionary Saving: Evidence from Household Rotating Panel Data***by*Albarran, P.**0007 The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality***by*Fiorentini, G. & Sentana, E. & Calzolari, G.**0006 An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999***by*Campa, J.M. & Chang, P.H.K. & Refalo, J.F.**0005 Constrained EMM and Indirect Inference Estimation***by*Calzolari, G. & Fiorentini, G. & Sentana, E.**0004 Will EMU Increase Eurosclerosis?***by*Saint-Paul, G. & Bentolila, S.**0003 Managers and Directors: a Model of Strategic Information Transmission***by*Gutierrez-Urtiaga, M.**0002 Altruism with Endogenous Labor Supply***by*Fernandes, A.**0001 Factor Representing Portfolios in Large Asset Markets***by*Sentana, E.

### 1999

**9914 Dynamics and Seasonality in Quarterly Panel Data: an Analysis of Earnings Mobility in Spain***by*Alvarez, J.**9913 Who Should Act as Lender of Last Resort? An Incomplete Contracts Model***by*Repullo, R.**9912 The Trade-Off Between Liquidity and Control Revisited***by*Mello, A.S. & Repullo, R.**9911 Sharing Default Information as a Borrower Discipline Device***by*Padilla, A.J. & Pagano, M.**9910 Conflicts of Interest, Employment Decisions, and Debt Restructuring: Evidence from Spanish Firms in Financial Distress***by*Padilla, A.J. & Requejo, A.**9909 Equilibrium Search Models: the Role of the Assumptions***by*Garcia-Perez, J.I.**9908 Optimal Fiscal Policy with Rationing in the Labor Market***by*Gorostiaga, A.**9907 Optimal Corporate Governance Structures***by*Almazan, A. & Suarez, J.**9906 Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations***by*Michelacci, C.**9905 Explaining Movements in the Labor Share***by*Bentollia, S. & Saint-Paul, G.**9904 Choosing the Right Error in Term Structure Models***by*Bobadilla, G.F.**9903 A Note on the Changing Relationship Between Fertility and Female Employment Rates in Developed Countries***by*Ahn, N. & Mira, P.**9902 Is It Welfare Improving to Insulate Monetary Policy from the Political Arena?***by*Berganza, J.C.**9901 Should Fiscal Policy be Different in a Non-Competitive Framework?***by*Gorostiaga, A.

### 1998

**9810 Two Roles for Elections: Discipling the Incumbent and Selecting a Competent Candidate***by*Berganza, J.C.**9809 Relationships Between Politicians and Voters Through Elections: a Review Essay***by*Berganza, J.C.**9808 The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators***by*Alvarez, J. & Arellano, M.**9807 Collateral vs. Project Screening: a Model of Lazy Banks***by*Manove, M. & Padilla, A.J. & Pagano, M.**9806 Unemployment Dynamics Across OECD Countries***by*Balakrishnan, R. & Michelacci, C.**9805 Binary Choice with Binary Endogenous Regressors in Panel Data: Estimating the Effect of Fertility on Female Labour Participation***by*Carrasco, R.**9804 Venture Capital Finance: a Security Design Approach***by*Repullo, R. & Suarez, J.**9803 (Fractional) Beta Convergence***by*Michelacci, C. & Zaffaroni, P.**9802 Non-Stationary Job Search with Firing: a Structural Estimation***by*Garcia-Perez, J.I.**9801 Willingness to Move for Work and Unemployment Duration in Spain***by*Ahn, N. & de la Rica, S. & Ugidos, A.

### 1997

**9722 A Stylized Model of Financially-Driven Business Cycles***by*Suarez, J. & Sussman, O.**9721 Recurrent Hyperinflations and Learning***by*Marcet, A. & Nicolini, J.P.**9720 Monetary Policy and the Term Structure of Interest Rates***by*Balmaseda, M. & Braun, R.A. & Nieto, E.**9719 The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models***by*Sentana, E.**9718 Banking (Conservatively) with Optimists***by*Manove, M. & Padilla, A.J.**9717 Unemployment Duration, Benefit Duration, and the Business Cycle***by*Bover, O. & Arellano, M. & Bentolila, S.**9716 General Equilibrium Models of Financial Systems: Theory and Measurement in Village Economies***by*Lim, Y. & Townsend, R.M.**9713 A Quantitative Analysis of Swedish Fertility Dynamics: 1751-1990***by*Eckstein, Z. & Mira, P. & Wolpin, K.I.**9712 Polish Labour Market Institutions on the Road to the EU***by*Bentolila, S.**9711 Least Squares Predictions and Mean-Variance Analysis***by*Sentana, E.**9710 Transitions to and from Self-Employment in Spain: An Empirical Analysis***by*Carrasco, R.**9709 Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model***by*Sentana, E. & Fiorentini, G.**9706 Autoregressive Models with Sample Selectivity for Panel Data***by*Arellano, M. & Bover, O. & Labeaga, J.M.

### 1996

**9618 Binary Choice Panel Data Models with Predetermined Variables***by*Arellano, M & Carrasco, R**9617 Conditional Means of Time Series Processes and Time Series Processes for Conditional Means***by*Fiorentini, G & Sentana, E**9616 Sticky Labor in Spanish Regions***by*Bentolila, S**9615 An EM Algorithm for Conditionally Heteroskedastic Factor Models***by*Demos, A & Sentana, E**9614 Hysteresis and the Sources of Shocks : A Cross-Country Analysis***by*Balmaseda, M & Dolado, J-J & Lopez-Salido, D**9613 Non-Admissible Decompositions in Unobserved Components Models***by*Fiorentini, G & Planas, C**9604 Entrepreneurial Moral Hazard and Bank Monitoring: A Model of the Credit Channel***by*Repullo,R. & Suarez,J.**9603 Testing the CCAPM on Spanish Data: A New Approach***by*Rubio, E.M.**9602 Market Power and Multimarket Contact. Some Evidence form the Spanish Hotel Industry***by*Fernandez, N & Marin, P-L**9601 A Theory of Union Power and Labor Turnover***by*Kuhn, K.U. & Padilla, A.J.

### 1995

**9522 Fiscal Policy and the Sub-Optimality of the Walsh Contract for Central Bankers***by*Huang,H. & Padilla,A.J.**9521 Changes in Spanish Labor Income Structure During the 1980's:a Quantile Regression Approach***by*Abadie,A.**9520 Monitoring,Liquidation,and Security Design***by*Repullo,R. & Suarez,J.**9519 Analytic Derivatives and the Computation of Garch Estimates***by*Fiorentini,G. & Calzolari,G. & Panattoni,L.**9518 Endogenous Cycles in a Stiglitz-Weiss Economy***by*Suarez,J. & Sussman,O.**9517 Quadratic Arch Models***by*Sentana,E.**9516 The Economics of Bank Regulation***by*Bhattacharya, S. & Boot, A.W.A. & Thakor, A.V.**9515 Why Is Spanish Unemployment so High?***by*Dolado, J.J. & Jimeno, J.F.**9514 Has the EMS Reduced the Cost of Capital?***by*Sentana, E. & Shah, M. & Wadhwani, S.**9513 Time Non-Separabilities in Preferences: A Household Data Analysis***by*Lopez-Salido, J.D.**9512 Learning About Intertemporal Susbtitution in Comsumption from Alternative Data and Preference Specifications: The Case of Spain***by*Lopez-Salido, J.D.**9511 Credit Market and Real Economic Growth Activity: A Model of Financial Intermediation***by*Repullo, R. & Suarez, J.**9509 Unobserved Components in ARCH Models: An Application to Seasonal Adjustment***by*Fiorentini, G. & Maravall, A.**9508 New Evidence on International Capital Market Integration***by*Rhee, B.K.**9503 Designing Institutions for International Monetary Policy Coordination***by*Morales, A.J. & Padilla, A.J.**9502 Consumption Behavior and Signal Extraction from Individual Income***by*Lopez-Salido, J.D.**9501 Investment and Banking : Some International Comparisons***by*Sussman, O.

### 1994

**9425 Some Remarks on Leland's Model of Insider Trading***by*Repullo, R.**9424 Making Wald Tests Work for Cointegrated Var Systems***by*Dolado, J.J. & Lutkepohl, H.**9421 A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix***by*Sentana, E.**9420 The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases***by*Sentana, E.**9419 Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses***by*Nijman, T. & Sentana, E.**9418 Estimating Dynamic Investment Models with Financial Constraints***by*Alonso-Borrego, C.**9417 Demand for Labour Inputs with Asymmetric Adjustment Costs***by*Alonso-Borrego, C.**9416 A Devaluations Model for the EMS***by*Garcia, E.G.**9415 An Index of Co-Movements in Financial Time Series***by*Sentana, E. & Shah, M.**9414 The Information Content of Options on the IBEX-35***by*Dewachter, H. & Leon, A.M.**9413 Dynamic Banking: A Reconsideration***by*Bhattacharya, S. & Padilla, A.J.**9412 An Empirical Model of Female labour Supply for Spain***by*Martinez-Granado, M.**9410 Financial Capitalism in Pre-World War I Germany: Universal Banks, Interlocking Directorships and the Mining and Steel Industry***by*Becht, M. & Ramirez, C.**9409 The Theory and Estimation of Individual and Social Welfare Measures: A Critical Review***by*Becht, M.**9407 Endogenous Communication Among Lenders and Entrepreneurial Incentives***by*Padilla, A.J. & Pagano, M.

### 1993

**9315 The EC Effect od the Spamish GDP and Unemployment Rate***by*Villarrubia, R.M.**9314 Dependent or Independent Nonlinearity in Speculative Returns***by*Dewachter, H.**9313 Testing for Forecasting Poential in the Bispectrum***by*Dewachter, H.