Report NEP-FMK-2006-01-24

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Carolina Valiente issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Thomas Harr & Thomas Rønde, 2006. "Regulation of Banking Groups," FRU Working Papers 2006/01, University of Copenhagen. Department of Economics. Finance Research Unit.
• Ehrmann, Michael & Fratzscher, Marcel, 2005. "The timing of central bank communication," Working Paper Series 0565, European Central Bank.
• Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
• Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, University Library of Munich, Germany.
• Szilárd Erhart, 2005. "Driving factors behind O/N interbank interest rates – the Hungarian experiences," MNB Occasional Papers 2005/34, Magyar Nemzeti Bank (Central Bank of Hungary).
• Kok, Christoffer & Werner, Thomas, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 0580, European Central Bank.
• Item repec:dgr:uvatin:20050115 is not listed on IDEAS anymore

• Item repec:pse:psecon:2005-44 is not listed on IDEAS anymore

• Luca Casolaro & Leonardo Gambacorta, 2004. "Un modello dei conti economici per il sistema bancario italiano," Temi di discussione (Economic working papers) 519, Bank of Italy, Economic Research and International Relations Area.
• Fabio Panetta & Fabiano Schivardi & Matthew Shum, 2004. "Do mergers improve information? Evidence from the loan market," Temi di discussione (Economic working papers) 521, Bank of Italy, Economic Research and International Relations Area.
• Daley, J & Matthews, Kent & Whitfield, Keith, 2006. "Too-Big-To-Fail: Bank Failure and Banking Policy in Jamaica," Cardiff Economics Working Papers E2006/4, Cardiff University, Cardiff Business School, Economics Section.
• Jan Frederik Slijkerman & Dirk Schoenmaker & Casper de Vries, 2005. "Risk Diversification by European Financial Conglomerates," Tinbergen Institute Discussion Papers 05-110/2, Tinbergen Institute.
• Terhi Jokipii & Brian Lucey, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series iiisdp077, IIIS.
• Marta Gómez-Puig, "undated". "The Impact of Monetary Union on EU-15 Sovereign Debt Yield Spreads," Working Papers on International Economics and Finance 05-11, FEDEA.
• Buiter, Willem & Sibert, Anne, 2005. "How the Eurosystem?s Treatment of Collateral in its Open Market Operations Weakens Fiscal Discipline in the Eurozone (and what," CEPR Discussion Papers 5387, C.E.P.R. Discussion Papers.
• Wong Keung-Wing & Habibullah Khan & Jun Du, 2006. "Money, Interest Rate and Stock Prices: New Evidence from Singapore and The United States," Departmental Working Papers wp0601, National University of Singapore, Department of Economics.
• Matthews, Kent & Murinde, Victor & Zhao, Tianshu, 2006. "Competitiveness and Market Contestability of Major UK Banks," Cardiff Economics Working Papers E2006/6, Cardiff University, Cardiff Business School, Economics Section.
• Mario Quagliariello, 2006. "Macroeconomics Uncertainty and Banks' Lending Decisions: The Case of Italy," Discussion Papers 06/02, Department of Economics, University of York.
• Item repec:dgr:uvatin:20050103 is not listed on IDEAS anymore

• González, Fernando & Launonen, Simo, 2005. "Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series 0569, European Central Bank.
• Linda S. Goldberg & Michael W. Klein, 2005. "Establishing Credibility: Evolving Perceptions of the European Central Bank," The Institute for International Integration Studies Discussion Paper Series iiisdp105, IIIS.
• Alberto Franco Pozzolo, 2004. "The role of guarantees in bank lending," Temi di discussione (Economic working papers) 528, Bank of Italy, Economic Research and International Relations Area.
• Enrico Perotti & Ernst-Ludwig von Thadden, 2005. "The Political Economy of Corporate Control," Tinbergen Institute Discussion Papers 05-102/2, Tinbergen Institute.
• Galina Hale, 2005. "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Roll–over," The Institute for International Integration Studies Discussion Paper Series iiisdp062, IIIS.
• M. Hashem Pesaran, 2005. "Market Efficiency Today," IEPR Working Papers 05.41, Institute of Economic Policy Research (IEPR).
• Alessio Anzuini & Aviram Levy, 2004. "Financial structure and the transmission of monetary shocks: preliminary evidence for the Czech Republic, Hungary and Poland," Temi di discussione (Economic working papers) 514, Bank of Italy, Economic Research and International Relations Area.
• A. Burak Güner & Ulrike Malmendier & Geoffrey Tate, 2006. "Financial Expertise of Directors," NBER Working Papers 11914, National Bureau of Economic Research, Inc.
• Heng Chen & Bento J. Lobo & Wing-Keung Wong, 2006. "Links between the Indian, U.S. and Chinese Stock Markets," Departmental Working Papers wp0602, National University of Singapore, Department of Economics.
• Graham Bird & Dane Rowlands, 2005. "Bi-Polar Disorder: Exchange Rate Regimes, Economic Crises and the IMF," School of Economics Discussion Papers 0705, School of Economics, University of Surrey.
• Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Forecasting ECB monetary policy: accuracy is (still) a matter of geography," Working Paper Series 0578, European Central Bank.
• Glaser, Markus & Weber, Martin, 2005. "Which Past Returns Affect Trading Volume?," SIFR Research Report Series 35, Institute for Financial Research.
• Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers 200602, Rutgers University, Department of Economics.
• Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics.
• Boyd, James, 1996. "Banking on "Green Money:" Are Environmental Financial Responsibility Rules Fulfilling Their Promise?," RFF Working Paper Series dp-96-26, Resources for the Future.
• Francis E. Warnock & Veronica C. Warnock, 2005. "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp103, IIIS.
• Sánchez, Marcelo, 2005. "Is time ripe for a currency union in emerging East Asia? The role of monetary stabilisation," Working Paper Series 0567, European Central Bank.
• Boissay, Frédéric, 2006. "Credit chains and the propagation of financial distress," Working Paper Series 0573, European Central Bank.
• Peltonen, Tuomas A., 2006. "Are emerging market currency crises predictable? A test," Working Paper Series 0571, European Central Bank.
• Thomas Colignatus, 2005. "A better way to account for fiat money at the Central Bank," General Economics and Teaching 0512014, University Library of Munich, Germany.
• Bayraktar, Nihal & Sakellaris, Plutarchos & Vermeulen, Philip, 2005. "Real versus financial frictions to capital investment," Working Paper Series 0566, European Central Bank.
• Kaestner, Michael, 2005. "Investors’ Misreaction to Unexpected Earnings: Evidence of Simultaneous Overreaction and Underreaction," Accepted Papers Series 2005-3, Montpellier University, Center for Research in Finance.
• Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers 5367, C.E.P.R. Discussion Papers.
• Item repec:kas:wpaper:2005-77 is not listed on IDEAS anymore

• Gil Bazo, Javier & Moreno Muñoz, Jesús David, 2005. "Price dynamics, informational efficiency and wealth distribution in continuous double auction markets," DEE - Working Papers. Business Economics. WB wb057819, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
• Lionel de Boisdeffre, 2005. "Competitive equilibrium with asymmetric information: the arbitrage characterization," Cahiers de la Maison des Sciences Economiques b05090, Université Panthéon-Sorbonne (Paris 1).
• Klaus Abbink & Bettina Rockenbach, 2005. "Option Pricing by Students and Professional Traders: A Behavioural Investigation," Discussion Papers 2005-12, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
• Attila Csajbók & András Rezessy, 2005. "Attila Csajbók - András Rezessy : Hungary's euro zone entry date: what do the markets think and what if they change their minds?," MNB Occasional Papers 2005/37, Magyar Nemzeti Bank (Central Bank of Hungary).
• Rene M. Stulz, 2006. "Financial Globalization, Corporate Governance, and Eastern Europe," NBER Working Papers 11912, National Bureau of Economic Research, Inc.
• Bjönnes, Geir H. & Holden, Steinar & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," SIFR Research Report Series 38, Institute for Financial Research.
• Marco Gallegati, 2005. "A Wavelet Analysis of MENA Stock Markets," Finance 0512027, University Library of Munich, Germany.
• Paolo, COLLA & Marc, GERMAIN & Vincent, VAN STEENBERGHE, 2005. "Environmental policy and speculation on markets for emission permits," Discussion Papers (ECON - Département des Sciences Economiques) 2005049, Université catholique de Louvain, Département des Sciences Economiques.
• Rinaldi, Laura & Sanchis-Arellano, Alicia, 2006. "Household debt sustainability: what explains household non-performing loans? An empirical analysis," Working Paper Series 0570, European Central Bank.
• Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics.
• Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
• András Rezessy, 2005. "Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary," MNB Occasional Papers 2005/38, Magyar Nemzeti Bank (Central Bank of Hungary).
• Eiji Ogawa & Junko Shimizu, 2006. "AMU Deviation Indicator for Coordinated Exchange Rate Policies in East Asia and its Relation with Effective Exchange Rates," Discussion papers 06002, Research Institute of Economy, Trade and Industry (RIETI).
• Kaestner, Michael, 2005. "Anomalous Price Behavior Following Earnings Surprises: Does Representativeness Cause Overreaction?," Working Paper Series 2005-1, Montpellier University, Center for Research in Finance.
• Item repec:cte:whrepe:wh056807 is not listed on IDEAS anymore

• Moritz Schularick & Thomas M. Steger, 2006. "Does Financial Integration Spur Economic Growth? New Evidence from the First Era of Financial Globalization," CER-ETH Economics working paper series 06/46, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
• Prat, Andrea & Dasgupta, Amil, 2005. "Asset Price Dynamics When Traders Care About Reputation," CEPR Discussion Papers 5372, C.E.P.R. Discussion Papers.
• Ping Zhang, 2005. "Uniform Price Auction and Fixed Price Offerings in IPO: An Experimental Comparison," Discussion Papers 2005-20, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
• Blackman, Allen, 2001. "Why Don't Lenders Finance High-Return Technological Change in Developing-Country Agriculture?," RFF Working Paper Series dp-01-17, Resources for the Future.
• Probst, Katherine & Bauer, Carl, 2000. "Long-Term Stewardship of Contaminated Sites: Trust Funds as Mechanisms for Financing and Oversight," RFF Working Paper Series dp-00-54, Resources for the Future.
• Refet Gurkaynak & Justin Wolfers, 2006. "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk," NBER Working Papers 11929, National Bureau of Economic Research, Inc.
• Francesco Spadafora, 2004. "Il pilastro privato del sistema previdenziale. Il caso del Regno Unito," Temi di discussione (Economic working papers) 503, Bank of Italy, Economic Research and International Relations Area.
• Item repec:hal:papers:halshs-00007697_v1 is not listed on IDEAS anymore

• Monica Paiella, 2004. "Does wealth affect consumption? Evidence for Italy," Temi di discussione (Economic working papers) 510, Bank of Italy, Economic Research and International Relations Area.
• John Landon-Lane & Kim Oosterlinck, 2005. "Hope springs eternal… French bondholders and the Soviet Repudiation (1915-1919)," Departmental Working Papers 200513, Rutgers University, Department of Economics.
• Marco Gallegati, 2005. "Stock market returns and economic activity: evidence from wavelet analysis," Macroeconomics 0512016, University Library of Munich, Germany.
• Viviana Fernandez, 2005. "Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts," Documentos de Trabajo 215, Centro de Economía Aplicada, Universidad de Chile.
• Item repec:esx:essedp:606 is not listed on IDEAS anymore

• Thomas Lagoarde Segot & Brian M Lucey, 2005. "Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp92, IIIS.
• Graham Bird & Dane Rowlands, 2005. "Should It Be Curtains for Some of the IMF’s Lending Windows?," School of Economics Discussion Papers 0905, School of Economics, University of Surrey.
• Item repec:eab:financ:646 is not listed on IDEAS anymore

• Item repec:cte:wbrepe:wb057718 is not listed on IDEAS anymore

• Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO.
• Hostland, Doug & Karam, Philippe, 2006. "Assessing debt sustainability in emerging market economies using stochastic simulation methods," Policy Research Working Paper Series 3821, The World Bank.
• Antonio Di Cesare, 2004. "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers) 506, Bank of Italy, Economic Research and International Relations Area.
• Dani Rodrik, 2006. "The Social Cost of Foreign Exchange Reserves," NBER Working Papers 11952, National Bureau of Economic Research, Inc.
• Thorsten Hens & Martin Vlcek, 2006. "Does Prospect Theory Explain the Disposition Effect?," IEW - Working Papers 262, Institute for Empirical Research in Economics - University of Zurich.
• Péter Karádi, 2005. "Exchange Rate Smoothing in Hungary," MNB Working Papers 2005/06, Magyar Nemzeti Bank (Central Bank of Hungary).
• Martin Uribe, 2006. "On Overborrowing," NBER Working Papers 11913, National Bureau of Economic Research, Inc.
• Jon Steinsson, 2005. "The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models," Economics wp28_jonst, Department of Economics, Central bank of Iceland.
• Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Advisors and Asset Prices: A Model of the Origins of Bubbles," Levine's Bibliography 122247000000001003, UCLA Department of Economics.
• Björk, Tomas & Biagini, Francesca, 2005. "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance 619, Stockholm School of Economics.
• Inderst, Roman, 2006. "Consumer Lending When Lenders are More Sophisticated Than Households," CEPR Discussion Papers 5410, C.E.P.R. Discussion Papers.
• Ayyagari, Meghana & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2006. "How important are financing constraints ? The role of finance in the business environment," Policy Research Working Paper Series 3820, The World Bank.
• Diron, Marie & Mojon, Benoît, 2005. "Forecasting the central bank’s inflation objective is a good rule of thumb," Working Paper Series 0564, European Central Bank.
• Sébastien Wälti, 2005. "The duration of fixed exchange rate regimes," The Institute for International Integration Studies Discussion Paper Series iiisdp96, IIIS.
• Viviana Fernandez, 2005. "Structural Breakpoints in Volatility in International Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp076, IIIS.
• Detlefsen, Kai & Härdle, Wolfgang Karl, 2006. "Calibration risk for exotic options," SFB 649 Discussion Papers 2006-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Pagano, Marco & Volpin, Paolo, 2005. "Shareholder Protection, Stock Market Development and Politics," CEPR Discussion Papers 5378, C.E.P.R. Discussion Papers.
• Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research and International Relations Area.
• Peter Wilson & Choy Keen Meng, 2006. "Prospects For Enhanced Exchange Rate Cooperation in East Asia: Some Preliminary Findings from Generalized PPP Theory," SCAPE Policy Research Working Paper Series 0601, National University of Singapore, Department of Economics, SCAPE.
• Paolo Guasoni, 2004. "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers) 507, Bank of Italy, Economic Research and International Relations Area.
• David Eagle, 2005. "The Indexing Paradox -- Be Thankful for Irrational Investors," Finance 0512034, University Library of Munich, Germany.
• Guido De Blasio, 2004. "Does trade credit substitute for bank credit?," Temi di discussione (Economic working papers) 498, Bank of Italy, Economic Research and International Relations Area.
• Massimo Omiccioli, 2004. "Il credito commerciale: problemi e teorie," Temi di discussione (Economic working papers) 494, Bank of Italy, Economic Research and International Relations Area.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
• Dusan ISAKOV & Dennis Y. CHUNG & Christophe PERIGNON, 2005. "Repurchasing Shares on a Second Trading Line," FAME Research Paper Series rp162, International Center for Financial Asset Management and Engineering.
• Bruce Mizrach & Susan Zhang Weerts, 2006. "Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup," Departmental Working Papers 200601, Rutgers University, Department of Economics.
• Reto Foellmi & Manuel Oechslin, 2006. "Equity and Efficiency under Imperfect Credit Markets," IEW - Working Papers 265, Institute for Empirical Research in Economics - University of Zurich.
• Axelson, Ulf, 2005. "Security Design with Investor Private Information," SIFR Research Report Series 37, Institute for Financial Research.
• Item repec:fra:franaf:159 is not listed on IDEAS anymore

• Glaser, Markus & Weber, Martin, 2005. "Overconfidence and Trading Volume," SIFR Research Report Series 40, Institute for Financial Research.
• Amanda Carmignani, 2004. "Funzionamento della giustizia civile e struttura finanziaria delle imprese: il ruolo del credito commerciale," Temi di discussione (Economic working papers) 497, Bank of Italy, Economic Research and International Relations Area.
• Mario Fortin & Andre Leclerc & Jean-Baptiste Nesmy, 2006. "L’impact des opérations transactionnelles sur la croissance de la productivité dans le secteur bancaire," Cahiers de recherche 06-01, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
• Veiga, Helena, 2006. "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS ws060101, Universidad Carlos III de Madrid. Departamento de Estadística.
• Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
• Frances Ruane & Padraig Moore, 2005. "Taxation and the Financial Structure of Foreign Direct Investment," The Institute for International Integration Studies Discussion Paper Series iiisdp88, IIIS.
• Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005. "Distribution Risk and Equity Returns," FAME Research Paper Series rp161, International Center for Financial Asset Management and Engineering.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2005. "Portfolio value at risk based on independent components analysis," SFB 649 Discussion Papers 2005-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Martin Hellwig, 2005. "Market Discipline, Information Processing, and Corporate Governance," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2005_19, Max Planck Institute for Research on Collective Goods.
• Paul de Grauwe & Francesco Paolo Mongelli, 2005. "Endogeneities of Optimum Currency Areas: What brings Countries Sharing a Single Currency Closer together?," Working Papers de Economia (Economics Working Papers) 29, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro.
• Item repec:hal:papers:halshs-00007955_v1 is not listed on IDEAS anymore

• Item repec:hal:papers:halshs-00007798_v1 is not listed on IDEAS anymore

• Khazzoom, J. Daniel, 1999. "Pay-at-the-Pump Auto Insurance," RFF Working Paper Series dp-98-13-rev, Resources for the Future.