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. Erik Schlogl issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

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, University of Copenhagen. Department of Economics. Finance Research Unit, number 2006/01, Jan.
• Item repec:ecb:ecbwps:20050565 is not listed on IDEAS anymore

• Stephan Schulmeister, 2005, "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance, University Library of Munich, Germany, number 0512033, Dec.
• 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, University Library of Munich, Germany, number 0512028, Dec.
• Szilárd Erhart, 2005, "Driving factors behind O/N interbank interest rates – the Hungarian experiences," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/34.
• Item repec:ecb:ecbwps:20060580 is not listed on IDEAS anymore

• 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), Bank of Italy, Economic Research and International Relations Area, number 519, Oct.
• Fabio Panetta & Fabiano Schivardi & Matthew Shum, 2004, "Do mergers improve information? Evidence from the loan market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 521, Oct.
• Daley, J & Matthews, Kent & Whitfield, Keith, 2006, "Too-Big-To-Fail: Bank Failure and Banking Policy in Jamaica," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2006/4, Jan.
• Item repec:dgr:uvatin:20050110 is not listed on IDEAS anymore

• Terhi Jokipii & Brian Lucey, 2005, "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp077, Dec.
• Marta Gómez-Puig, , "The Impact of Monetary Union on EU-15 Sovereign Debt Yield Spreads," Working Papers on International Economics and Finance, FEDEA, number 05-11.
• 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, C.E.P.R. Discussion Papers, number 5387, Dec.
• Item repec:nus:nusewp:wp0601 is not listed on IDEAS anymore

• Matthews, Kent & Murinde, Victor & Zhao, Tianshu, 2006, "Competitiveness and Market Contestability of Major UK Banks," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2006/6, Jan.
• Mario Quagliariello, 2006, "Macroeconomics Uncertainty and Banks' Lending Decisions: The Case of Italy," Discussion Papers, Department of Economics, University of York, number 06/02, Jan.
• Item repec:dgr:uvatin:20050103 is not listed on IDEAS anymore

• Item repec:ecb:ecbwps:20050569 is not listed on IDEAS anymore

• 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, IIIS, number iiisdp105, Dec.
• Alberto Franco Pozzolo, 2004, "The role of guarantees in bank lending," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 528, Dec.
• Item repec:dgr:uvatin:20050102 is not listed on IDEAS anymore

• 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, IIIS, number iiisdp062, Apr.
• M. Hashem Pesaran, 2005, "Market Efficiency Today," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.41, Dec.
• 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), Bank of Italy, Economic Research and International Relations Area, number 514, Jul.
• A. Burak Güner & Ulrike Malmendier & Geoffrey Tate, 2006, "Financial Expertise of Directors," NBER Working Papers, National Bureau of Economic Research, Inc, number 11914, Jan.
• Item repec:nus:nusewp:wp0602 is not listed on IDEAS anymore

• Graham Bird & Dane Rowlands, 2005, "Bi-Polar Disorder: Exchange Rate Regimes, Economic Crises and the IMF," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0705, Apr.
• Item repec:ecb:ecbwps:20060578 is not listed on IDEAS anymore

• Glaser, Markus & Weber, Martin, 2005, "Which Past Returns Affect Trading Volume?," SIFR Research Report Series, Institute for Financial Research, number 35, Oct.
• Bruce Mizrach, 2006, "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers, Rutgers University, Department of Economics, number 200602, Jan.
• Item repec:nus:nusewp:wp0514 is not listed on IDEAS anymore

• Boyd, James, 1996, "Banking on "Green Money:" Are Environmental Financial Responsibility Rules Fulfilling Their Promise?," RFF Working Paper Series, Resources for the Future, number dp-96-26, Jul.
• Francis E. Warnock & Veronica C. Warnock, 2005, "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp103, Dec.
• Item repec:ecb:ecbwps:20050567 is not listed on IDEAS anymore

• Item repec:ecb:ecbwps:20060573 is not listed on IDEAS anymore

• Item repec:ecb:ecbwps:20060571 is not listed on IDEAS anymore

• Thomas Colignatus, 2005, "A better way to account for fiat money at the Central Bank," General Economics and Teaching, University Library of Munich, Germany, number 0512014, Dec.
• Item repec:ecb:ecbwps:20050566 is not listed on IDEAS anymore

• Kaestner, Michael, 2005, "Investors’ Misreaction to Unexpected Earnings: Evidence of Simultaneous Overreaction and Underreaction," Accepted Papers Series, Montpellier University, Center for Research in Finance, number 2005-3, Dec.
• Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2005, "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5367, Nov.
• Item repec:kas:wpaper:2005-77 is not listed on IDEAS anymore

• Gil Bazo, Javier & Moreno Muñoz, Jesús David & Tapia, Mikel, 2005, "Price dynamics, informational efficiency and wealth distribution in continuous double auction markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb057819, Dec.
• Lionel de Boisdeffre, 2005, "Competitive equilibrium with asymmetric information: the arbitrage characterization," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b05090, Dec.
• Item repec:cdx:dpaper:2005-12 is not listed on IDEAS anymore

• 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, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/37.
• Rene M. Stulz, 2006, "Financial Globalization, Corporate Governance, and Eastern Europe," NBER Working Papers, National Bureau of Economic Research, Inc, number 11912, Jan.
• 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, Institute for Financial Research, number 38, Dec.
• Marco Gallegati, 2005, "A Wavelet Analysis of MENA Stock Markets," Finance, University Library of Munich, Germany, number 0512027, Dec.
• Paolo, COLLA & Marc, GERMAIN & Vincent, VAN STEENBERGHE, 2005, "Environmental policy and speculation on markets for emission permits," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005049, Oct.
• Item repec:ecb:ecbwps:20060570 is not listed on IDEAS anymore

• Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006, "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep2006, Jan.
• Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005, "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance, University Library of Munich, Germany, number 0512030, Dec.
• András Rezessy, 2005, "Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/38.
• 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, Research Institute of Economy, Trade and Industry (RIETI), number 06002, Jan.
• Kaestner, Michael, 2005, "Anomalous Price Behavior Following Earnings Surprises: Does Representativeness Cause Overreaction?," Working Paper Series, Montpellier University, Center for Research in Finance, number 2005-1, Apr.
• Battilossi, Stefano, 2005, "The determinants of multinational banking during the first globalization, 1870-1914," IFCS - Working Papers in Economic History.WH, Universidad Carlos III de Madrid. Instituto Figuerola, number wh056807, Dec.
• 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, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 06/46, Jan.
• Prat, Andrea & Dasgupta, Amil, 2005, "Asset Price Dynamics When Traders Care About Reputation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5372, Nov.
• Item repec:cdx:dpaper:2005-20 is not listed on IDEAS anymore

• Blackman, Allen, 2001, "Why Don't Lenders Finance High-Return Technological Change in Developing-Country Agriculture?," RFF Working Paper Series, Resources for the Future, number dp-01-17, Apr.
• Probst, Katherine & Bauer, Carl, 2000, "Long-Term Stewardship of Contaminated Sites: Trust Funds as Mechanisms for Financing and Oversight," RFF Working Paper Series, Resources for the Future, number dp-00-54, Dec.
• Refet Gurkaynak & Justin Wolfers, 2006, "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11929, Jan.
• Francesco Spadafora, 2004, "Il pilastro privato del sistema previdenziale. Il caso del Regno Unito," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 503, Jun.
• 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), Bank of Italy, Economic Research and International Relations Area, number 510, Jul.
• John Landon-Lane & Kim Oosterlinck, 2005, "Hope springs eternal… French bondholders and the Soviet Repudiation (1915-1919)," Departmental Working Papers, Rutgers University, Department of Economics, number 200513, Nov.
• Marco Gallegati, 2005, "Stock market returns and economic activity: evidence from wavelet analysis," Macroeconomics, University Library of Munich, Germany, number 0512016, Dec.
• Viviana Fernandez, 2005, "Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 215.
• 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, IIIS, number iiisdp92, Dec.
• Graham Bird & Dane Rowlands, 2005, "Should It Be Curtains for Some of the IMF’s Lending Windows?," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0905, Apr.
• Item repec:eab:financ:646 is not listed on IDEAS anymore

• Gava, Luana, 2005, "The speed of limit order execution in the Spanish stock exchange," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb057718, Dec.
• 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, Département des sciences administratives, UQO, number UQO-DSA-wp022006, Jan.
• Hostland, Doug & Karam, Philippe, 2006, "Assessing debt sustainability in emerging market economies using stochastic simulation methods," Policy Research Working Paper Series, The World Bank, number 3821, Jan.
• Antonio Di Cesare, 2004, "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 506, Jul.
• Dani Rodrik, 2006, "The Social Cost of Foreign Exchange Reserves," NBER Working Papers, National Bureau of Economic Research, Inc, number 11952, Jan.
• Thorsten Hens & Martin Vlcek, 2006, "Does Prospect Theory Explain the Disposition Effect?," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 262, Jan.
• Péter Karádi, 2005, "Exchange Rate Smoothing in Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/06.
• Martin Uribe, 2006, "On Overborrowing," NBER Working Papers, National Bureau of Economic Research, Inc, number 11913, Jan.
• Jon Steinsson, 2005, "The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models," Economics, Department of Economics, Central bank of Iceland, number wp28_jonst, Nov.
• Harrison Hong & Jose Scheinkman & Wei Xiong, 2005, "Advisors and Asset Prices: A Model of the Origins of Bubbles," Levine's Bibliography, UCLA Department of Economics, number 122247000000001003, Dec.
• Björk, Tomas & Biagini, Francesca, 2005, "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 619, Nov.
• Inderst, Roman, 2006, "Consumer Lending When Lenders are More Sophisticated Than Households," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5410, Jan.
• 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, The World Bank, number 3820, Jan.
• Item repec:ecb:ecbwps:20050564 is not listed on IDEAS anymore

• Sébastien Wälti, 2005, "The duration of fixed exchange rate regimes," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp96, Dec.
• Viviana Fernandez, 2005, "Structural Breakpoints in Volatility in International Markets," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp076, Dec.
• Item repec:hum:wpaper:sfb649dp2006-001 is not listed on IDEAS anymore

• Pagano, Marco & Volpin, Paolo, 2005, "Shareholder Protection, Stock Market Development and Politics," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5378, Nov.
• Stefano Neri, 2004, "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 513, Jul.
• Item repec:sca:scaewp:0601 is not listed on IDEAS anymore

• Paolo Guasoni, 2004, "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 507, Jul.
• David Eagle, 2005, "The Indexing Paradox -- Be Thankful for Irrational Investors," Finance, University Library of Munich, Germany, number 0512034, Dec.
• Guido De Blasio, 2004, "Does trade credit substitute for bank credit?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 498, Jun.
• Massimo Omiccioli, 2004, "Il credito commerciale: problemi e teorie," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 494, Jun.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005, "Demand-Based Option Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5420, Dec.
• Dusan ISAKOV & Dennis Y. CHUNG & Christophe PERIGNON, 2005, "Repurchasing Shares on a Second Trading Line," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp162, Nov.
• Bruce Mizrach & Susan Zhang Weerts, 2006, "Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup," Departmental Working Papers, Rutgers University, Department of Economics, number 200601, Jan.
• Reto Foellmi & Manuel Oechslin, 2006, "Equity and Efficiency under Imperfect Credit Markets," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 265, Jan.
• Axelson, Ulf, 2005, "Security Design with Investor Private Information," SIFR Research Report Series, Institute for Financial Research, number 37, Oct.
• Item repec:fra:franaf:159 is not listed on IDEAS anymore

• Glaser, Markus & Weber, Martin, 2005, "Overconfidence and Trading Volume," SIFR Research Report Series, Institute for Financial Research, number 40, Dec.
• Amanda Carmignani, 2004, "Funzionamento della giustizia civile e struttura finanziaria delle imprese: il ruolo del credito commerciale," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 497, Jun.
• 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, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 06-01.
• Veiga, Helena, 2006, "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws060101, Jan.
• 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), Bank of Italy, Economic Research and International Relations Area, number 517, Jul.
• Frances Ruane & Padraig Moore, 2005, "Taxation and the Financial Structure of Foreign Direct Investment," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp88, Dec.
• Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005, "Distribution Risk and Equity Returns," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp161, Nov.
• Item repec:hum:wpaper:sfb649dp2005-060 is not listed on IDEAS anymore

• Martin Hellwig, 2005, "Market Discipline, Information Processing, and Corporate Governance," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2005_19, Oct.
• 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), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 29, Dec.
• 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, Resources for the Future, number dp-98-13-rev, Aug.

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. Erik Schlogl issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-FMK

The following items were announced in this report: