Report NEP-FMK-2006-08-05

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:

• Fecht, Falko & Martin, Antoine, 2005, "Banks, markets, and efficiency," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,04.
• Item repec:imf:imfwpa:06/139 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/71 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/160 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/104 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/107 is not listed on IDEAS anymore

• Kamp, Andreas & Pfingsten, Andreas & Porath, Daniel, 2005, "Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,03.
• von Kalckreuth, Ulf, 2005, "A "wreckers theory" of financial distress," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,40.
• Takeshi Kobayashi & Mark M. Spiegel & Nobuyoshi Yamori, 2006, "Quantitative easing and Japanese bank equity values," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-19.
• Heid, Frank, 2005, "Cyclical implications of minimum capital requirements," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,06.
• Item repec:imf:imfwpa:06/105 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/133 is not listed on IDEAS anymore

• Fecht, Falko & Grüner, Hans Peter, 2005, "Financial integration and systemic risk," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,11.
• Item repec:fip:fedpwp:06-07 is not listed on IDEAS anymore

• Michael J. Lamla & Sarah M. Rupprecht, 2006, "The Impact of ECB Communication on Financial Market Expectations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 06-135, Apr, DOI: 10.3929/ethz-a-005187503.
• Gine, Xavier & Jakiela, Pamela & Karlan, Dean & Morduch, Jonathan, 2006, "Microfinance games," Policy Research Working Paper Series, The World Bank, number 3959, Jul.
• Item repec:imf:imfwpa:06/148 is not listed on IDEAS anymore

• Fecht, Falko & Huang, Kevin & Martin, Antoine, 2005, "Financial intermediaries, markets and growth," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,03.
• Chantapong, Saovanee & Menkhoff, Lukas, 2005, "Cost Efficiency of Domestic and Foreign Banks in Thailand: Evidence from Panel Data," Proceedings of the German Development Economics Conference, Kiel 2005, Verein für Socialpolitik, Research Committee Development Economics, number 9.
• Item repec:imf:imfwpa:06/143 is not listed on IDEAS anymore

• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006, "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 12376, Jul.
• Koetter, Michael & Wedow, Michael, 2006, "Finance and growth in a bank-based economy: is it quantity or quality that matters?," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2006,02.
• Item repec:imf:imfwpa:06/66 is not listed on IDEAS anymore

• Kerstin Bernoth & Guntram B. Wolff, 2006, "Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia," CESifo Working Paper Series, CESifo, number 1732.
• Item repec:imf:imfwpa:06/75 is not listed on IDEAS anymore

• Hainz, Christa, 2005, "Quality of Institutions, Credit Markets and Bankruptcy," Proceedings of the German Development Economics Conference, Kiel 2005, Verein für Socialpolitik, Research Committee Development Economics, number 18.
• Item repec:imf:imfwpa:06/100 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/134 is not listed on IDEAS anymore

• Bernoth, Kerstin & Wolff, Guntram B., 2006, "Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,19.
• Item repec:ros:wpaper:61 is not listed on IDEAS anymore

• Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in asset markets," Staff Report, Federal Reserve Bank of Minneapolis, number 375.
• Brooks, Robin & Del Negro, Marco, 2005, "Firm-level evidence on international stock market comovement," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,11.
• Haselmann, Rainer & Helmut, Herwartz, 2005, "The Introduction of the Euro and its Effects on Investment Decisions," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-15.
• Rajdeep Sengupta, 2006, "Foreign entry and bank competition," Working Papers, Federal Reserve Bank of St. Louis, number 2006-043, DOI: 10.20955/wp.2006.043.
• Item repec:imf:imfwpa:06/144 is not listed on IDEAS anymore

• Reitz, Stefan & Taylor, Mark P., 2006, "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,08.
• Item repec:imf:imfwpa:06/94 is not listed on IDEAS anymore

• David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006, "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 862.
• Bartzsch, Nikolaus & Craig, Ben R. & Fecht, Falko, 2005, "The eurosystem money market auctions: a banking perspective," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,10.
• Item repec:imf:imfwpa:06/111 is not listed on IDEAS anymore

• Christopher J. Neely, 2007, "Central bank authorities’ beliefs about foreign exchange intervention," Working Papers, Federal Reserve Bank of St. Louis, number 2006-045, DOI: 10.20955/wp.2006.045.
• Stolz, Stéphanie & Wedow, Michael, 2005, "Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,07.
• Tobias Adrian & Joshua V. Rosenberg, 2006, "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports, Federal Reserve Bank of New York, number 254.
• Fang Cai & Edward Howorka & Jon Wongswan, 2006, "Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 863.
• Campbell, John Y. & Hilscher, Jens & Szilagyi, Jan, 2005, "In search of distress risk," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,27.
• Balazs Egert & Ronald MacDonald, 2006, "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," CESifo Working Paper Series, CESifo, number 1739.
• Koetter, Michael & Bos, Jaap W. B. & Heid, Frank & Kool, Clemens J. M. & Kolari, James W. & Porath, Daniel, 2005, "Accounting for distress in bank mergers," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,09.
• Item repec:imf:imfwpa:06/79 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/69 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/57 is not listed on IDEAS anymore

• Koetter, Michael, 2005, "Evaluating the German bank merger wave," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,12.
• Item repec:imf:imfwpa:06/114 is not listed on IDEAS anymore

• Item repec:hal:papers:halshs-00085543_v1 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/74 is not listed on IDEAS anymore

• Antonio Diez de los Rios, 2006, "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers, Bank of Canada, number 06-27, DOI: 10.34989/swp-2006-27.
• Cai, Fang & Warnock, Francis E., 2005, "International diversification at home and abroad," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,06.
• Nautz, Dieter & Ruth, Karsten, 2005, "Monetary disequilibria and the Euro/Dollar exchange rate," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,18.
• Craig, Ben R. & Keller, Joachim, 2005, "The forecast ability of risk-neutral densities of foreign exchange," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,05.
• Item repec:imf:imfwpa:06/140 is not listed on IDEAS anymore

• Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006, "Real-time macroeconomic data and ex ante predictability of stock returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,10.
• Item repec:imf:imfwpa:06/156 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/58 is not listed on IDEAS anymore

• Krüger, Ulrich & Stötzel, Martin & Trück, Stefan, 2005, "Time series properties of a rating system based on financial ratios," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,14.
• Herrmann, Sabine & Jochem, Axel, 2005, "Determinants of current account developments in the central and east European EU member states - consequences for the enlargement of the euro area," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,32.
• Bos, Jaap W. B. & Heid, Frank & Koetter, Michael & Kolari, James W. & Kool, Clemens J. M., 2005, "Inefficient or just different? Effects of heterogeneity on bank efficiency scores," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,15.
• Item repec:imf:imfwpa:06/64 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/127 is not listed on IDEAS anymore

• Memmel, Christoph & Wehn, Carsten, 2005, "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,02.
• Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005, "Consumption, wealth and business cycles: why is Germany different?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,16.
• Carlo Altavilla & Paul De Grauwe, 2006, "Forecasting and Combining Competing Models of Exchange Rate Determination," CESifo Working Paper Series, CESifo, number 1747.
• Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006, "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2006,01.
• Item repec:imf:imfwpa:06/88 is not listed on IDEAS anymore

• Christa Hainz, 2006, "Business Groups in Emerging Markets – Financial Control and Sequential Investment," CESifo Working Paper Series, CESifo, number 1763.
• Ramb, Fred & Weichenrieder, Alfons J., 2005, "Taxes and the financial structure of German inward FDI," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,05.
• Eduardo Levy Yeyati, 2006, "The Cost of Reserves," Business School Working Papers, Universidad Torcuato Di Tella, number 2006-10, Jul.
• Item repec:imf:imfwpa:06/163 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/157 is not listed on IDEAS anymore

• Nicholas Barberis & Ming Huang, 2006, "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 12378, Jul.
• Item repec:imf:imfwpa:06/73 is not listed on IDEAS anymore

• Koetter, Michael, 2005, "Measurement matters: Input price proxies and bank efficiency in Germany," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,01.
• Walker, Eduardo, 2006, "Annuity markets in Chile : competition, regulation - and myopia ?," Policy Research Working Paper Series, The World Bank, number 3972, Aug.
• Item repec:imf:imfwpa:06/96 is not listed on IDEAS anymore

• Item repec:hal:papers:halshs-00087886_v1 is not listed on IDEAS anymore

• Mara Faccio & Rajdeep Sengupta, 2006, "Corporate response to distress: evidence from the Asian financial crisis," Working Papers, Federal Reserve Bank of St. Louis, number 2006-044, DOI: 10.20955/wp.2006.044.
• Item repec:imf:imfwpa:06/98 is not listed on IDEAS anymore

• Eickmeier, Sandra, 2005, "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,02.
• Düllmann, Klaus, 2006, "Measuring business sector concentration by an infection model," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2006,03.
• Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005, "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-14.
• Mark Crosby & Tim Kam & Kirdan Lees, 2006, "How costly is exchange rate stabilisation for an inflation targeter? The case of Australia," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2006/07, Jun.
• Item repec:imf:imfwpa:06/76 is not listed on IDEAS anymore

• Nestmann, Thorsten, 2005, "German bank lending to industrial and non-industrial countries: driven by fundamentals or different treatment?," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,08.
• Item repec:imf:imfwpa:06/62 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/162 is not listed on IDEAS anymore

• Item repec:imf:imfwpa:06/119 is not listed on IDEAS anymore

• Hamerle, Alfred & Knapp, Michael & Liebig, Thilo & Wildenauer, Nicole, 2005, "Incorporating prediction and estimation risk in point-in-time credit portfolio models," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,13.
• Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005, "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,29.
• Xu, Fang, 2005, "Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-02.
• Item repec:imf:imfwpa:06/117 is not listed on IDEAS anymore

• Offermanns, Christian J. & Nautz, Dieter, 2006, "The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,01.
• Christopher F. Baum & Mustafa Caglayan & Oleksandr Talavera, 2006, "Uncertainty Determinants of Firm Investment," Boston College Working Papers in Economics, Boston College Department of Economics, number 646, Jul, revised 24 Feb 2007.
• Antoine Bouveret & Sana Mestiri & Henri Sterdyniak, 2006, "The renminbi equilibrium exchange rate: an agnostic view," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2006-13.
• Ahsan, Quamrul, 2005, "Micro-credit, risk coping and the incidence of rural-to-urban migration," Proceedings of the German Development Economics Conference, Kiel 2005, Verein für Socialpolitik, Research Committee Development Economics, number 2.
• Allen, Franklin & Chakrabarti, Rajesh & De, Sankar & Qian, Jun & Qian, Meijun, 2006, "Financing firms in India," Policy Research Working Paper Series, The World Bank, number 3975, Aug.
• Item repec:imf:imfwpa:06/84 is not listed on IDEAS anymore

• Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005, "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,30.
• Item repec:imf:imfwpa:06/78 is not listed on IDEAS anymore

• Giang Ho & Anthony Pennington-Cross, 2006, "The termination of subprime hybrid and fixed rate mortgages," Working Papers, Federal Reserve Bank of St. Louis, number 2006-042, DOI: 10.20955/wp.2006.042.
• Luciano Greco, 2006, "(UBS Pensions Series 043) The Optimal Design of Funded Pensions," FMG Discussion Papers, Financial Markets Group, number dp567, Jul.
• Item repec:fip:fedpwp:06-08 is not listed on IDEAS anymore

• George J. Mailath & Georg Nöldeke, 2006, "Extreme Adverse Selection, Competitive Pricing, and Market Breakdown," Levine's Bibliography, UCLA Department of Economics, number 321307000000000267, Jul.
• Item repec:imf:imfwpa:06/112 is not listed on IDEAS anymore

• von Kalckreuth, Ulf & Murphy, Emma, 2005, "Financial constraints and capacity adjustment in the United Kingdom: Evidence from a large panel of survey data," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,01.
• Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005, "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-04.
• V. Cerasi & B. CHIZZOLINI & M. IVALDI, 1998, "Branching and Competitiveness across Regions in the Italian Banking Industry," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 1998-03, Jan.
• David C. Wheelock & Paul W. Wilson, 2007, "Robust non-parametric quantile estimation of efficiency and productivity change in U.S. commercial banking, 1985-2004," Working Papers, Federal Reserve Bank of St. Louis, number 2006-041, DOI: 10.20955/wp.2006.041.
• Item repec:imf:imfwpa:06/82 is not listed on IDEAS anymore

• Veit, Wolfgang, 2005, "Exchange rate risk and economic reform: the case of endogenous institutional change in China," Proceedings of the German Development Economics Conference, Kiel 2005, Verein für Socialpolitik, Research Committee Development Economics, number 33.
• Lemke, Wolfgang & Archontakis, Theofanis, 2006, "Bond pricing when the short term interest rate follows a threshold process," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,06.
• Item repec:imf:imfwpa:06/153 is not listed on IDEAS anymore

• Rozália Pál & Roman Kozhan, 2006, "Firms' investment under financing constraints. An euro area investigation," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0606, Jul, revised 21 Jul 2006.
• Item repec:imf:imfwpa:06/152 is not listed on IDEAS anymore

• Hainz, Christa & Boerner, Kira, 2005, "The Political Economy of Corruption and and the Role of Financial Institutions," Proceedings of the German Development Economics Conference, Kiel 2005, Verein für Socialpolitik, Research Committee Development Economics, number 6.
• Wohltmann, Hans-Werner & Winkler, Roland C., 2005, "Oil Price Shocks and Currency Denomination," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-10.

Report NEP-FMK-2006-08-05

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: