# Department of Economics, City University London

# Working Papers

Postal: Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,

Phone: +44 (0)20 7040 8500

Web page: http://www.city.ac.uk

More information through EDIRC

Phone: +44 (0)20 7040 8500

Web page: http://www.city.ac.uk

More information through EDIRC

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### 2013

**13/16 Coalition Formation in a Legislative Voting Game***by*Christiansen, N. & Georganas, S. & Kagel, J. H.**13/15 Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective***by*Costantini, M. & Fragetta, M. & Melina, G.**13/13 Imperfection Information, Optimal Monetary Policy and Informational Consistency***by*Levine, P. & Pearlman, J. & Yang, B.**13/11 Smile from the Past: A general option pricing framework with multiple volatility and leverage components***by*Majewski, A. A. & Bormetti, G. & Corsi, F.**13/10 Informal Jobs and Trade Liberalisation in Argentina***by*Montes-Rojas, G. & Acosta, P.**13/09 Bayesian Endogeneity Bias Modeling***by*Montes-Rojas, G. & Galvao Jr, A. F.**13/08 Testing for Cointegration with Nonstationary Volatility***by*Boswijk, H. P. & Zu, Y.**13/07 Dynamic Contracting under Permanent and Transitory Private Information***by*Ungureanu, S.**13/06 Sale of visas: a smuggler's final song?***by*Auriol, A. & Mesnard, A.**13/05 Guest Workers in the Underground Economy***by*Djajic, S. & Mesnard, A.**13/04 Homeownership and Unemployment Duration***by*Taskin, A. A. & Yaman, F.**13/03 The Double-Edged Sword of Industry Collaboration: Evidence from Engineering Academics in the UK***by*Banal-Estanol, A. & Jofre-Bonet, M. & Lawson, C.**13/02 Adaptation to Health States: A Micro-Econometric Approach***by*Cubi-Molla, P. & Jofre-Bonet, M. & Serra-Sastre, V.**13/01 Earnings and Social Background: An evaluation of caste/ethnic wage differentials in the Nepalese labor market***by*Mainali, R. M. & Jafarey, S. & Montes-Rojas, G.

### 2012

**12/10 Joining the CCS Club! Insights from a Northwest European CO2 Pipeline Project***by*Massol, O. & Tchung-Ming, S.**12/09 On deficit bias and immigration***by*Ben-Gad, M.**12/08 Agent-Based Modelling for Financial Markets***by*Iori, G. & Porter, J.**12/07 Pollution, mortality and optimal environmental policy***by*Goenka, A. & Jafarey, S. & Pouliot, W.**12/06 Market microstructure, bank's behaviour and interbank spreads***by*Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M.**12/05 Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity***by*Kovaleva, P. & Iori, G.**12/04 Information theoretic description of the e-Mid interbank market: implications for systemic risk***by*Hatzopoulos, V. & Iori, G.**12/03 The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation***by*Iori, G. & Kapar, B. & Olmo, J.**12/01 Export diversification and resource-based industrialization: the case of natural gas***by*Massol, O. & Banal-Estanol, A.

### 2011

**11/10 The costs of adjusting labor: Evidence from temporally disaggregated data***by*Yaman, F.**11/09 Ethnic concentration and language fluency of immigrants in Germany***by*Danzer, A. M. & Yaman, F.**11/08 Ethnic externalities and 2nd generation immigrants***by*Yaman, F.**11/07 A tree formulation for signaling games***by*Dassiou, X. & Glycopantis, D.**11/06 Valuing voluntary disclosure using a real options approach***by*Delaney, L. & Thijssen, J.**11/05 Forecasting in the presence of recent structural change***by*Eklund, J. & Kapetanios, G. & Price, S.**11/04 Security of supply and retail competition in the European gas market: Some model-based insights***by*Abada, I. & Massol, O.**11/03 A cost function for the natural gas transmission industry: further considerations***by*Massol, O.**11/02 The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk***by*Kapar, B. & Olmo, J.**11/01 Perverse cross-subsidization in the credit market***by*Coco, G. & Pignataro, G.

### 2010

**10/09 Argentina's default and the lack of dire consequences***by*Baer, W & Margot, D & Montes-Rojas, G.**10/08 Which quantile is the most informative? Maximum likelihood, maximum entropy and quantile regression***by*Bera, A. K. & Galvao Jr, A. F. & Montes-Rojas, G. & Park, S. Y.**10/07 Who benefits from reducing the cost of formality? Quantile regression discontinuity analysis***by*Gabrieli, T. & Galvao Jr, A. F. & Montes-Rojas, G.**10/06 Nonparametric estimation of ATE and QTE: an application of Fractile Graphical Analysis***by*Montes-Rojas, G.**10/05 Herding effects in order driven markets: The rise and fall of gurus***by*Iori, G. & Tedeschi, G.**10/03 A century of methodological individualism part 2: Mises and Hayek***by*Denis, A.**10/02 A century of methodological individualism part 1: Schumpeter and Menger***by*Denis, A.**10/01 Body image, peer effects and food disorders: Evidence from a sample of European women***by*Costa-Font, J. & Jofre-Bonet, M.

### 2009

**09/10 Detecting the Presence of Informed Price Trading Via Structural Break Tests***by*Olmo, J. & Pilbeam, K. & Pouliot, W.**09/09 Extreme Value Theory Filtering Techniques for Outlier Detection***by*Olmo, J.**09/08 A uniform Time Trade Off method for states better and worse than dead: feasibility study of the ‘lead time’ approach***by*Devlin, N. & Tsuchiya, A. & Buckingham, K. & Tilling, C.**09/07 Does the value of quality of life depend on duration?***by*Devlin, N. & Tsuchiya, A. & Buckingham, K. & Tilling, C.**09/06 Instrumental variables quantile regression for panel data with measurement errors***by*Galvao Jr, A. F. & Montes-Rojas, G.**09/03 Using the EQ-5D as a performance measurement tool in the NHS***by*Devlin, N. & Parkin, D. & Browne, J.**09/02 The two sector endogenous growth model: an atlas***by*Ben-Gad, M.**09/01 The role of quality ladders in a Ricardian model of trade with nonhomothetic preference***by*Jaimovich, E. & Merella, V.

### 2008

**08/15 U-statistic Type Tests for Structural Breaks in Linear Regression Models***by*Pouliot, W. & Olmo, J.**08/14 The Impact of Industry Collaboration on Academic Research Output: A Dynamic Panel Data Analysis***by*Banal-Estanol, A. & Jofre-Bonet, M. & Meissner, C.**08/13 Commercial Incentives in Academia***by*Banal-Estanol, A. & Macho-Stadler, I.**08/12 Glass slippers and glass ceilings: A positive analysis of gender inequality and marriage***by*Jafarey, S.**08/11 Testing Downside Risk Efficiency Under Market Distress***by*Gonzalo, J. & Olmo, J.**08/10 Statistical analysis of EQ-5D profiles: does the use of value sets bias inference?***by*Parkin, D. & Rice, N. & Devlin, N.**08/09 Early Detection Techniques for Market Risk Failure***by*Olmo, J. & Pouliot, W.**08/08 A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences***by*Martinez, O. & Olmo, J.**08/07 Analyzing Economic Policy Using High Order Perturbations***by*Ben-Gad, M.**08/06 Infrastructure Contracts: Trust and Institutional Updating***by*Dassiou, X. & Stern, J.**08/05 Allocating Security Expenditures under Knightian Uncertainty: an Info-Gap Approach***by*Ben-Gad, M. & Ben-Haim, Y. & Peled, D.**08/04 The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows***by*Chiarella, C. & Iori, G. & Perello, J.**08/03 An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture***by*Iori, G. & Deissenberg, C.**08/02 A note on the nature of utility in time and health and implications for cost utility analysis***by*Buckingham, K. & Devlin, N.**08/01 Robust misspecification tests for the Heckman’s two-step estimator***by*Montes-Rojas, G.

### 2007

**07/16 The strategic interaction between firms and formulary committees: effects on the prices of new drugs***by*García-Alonso, M. D. C. & Garcia-Marinoso, B.**07/15 Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation***by*Kapetanios, G. & Labhard, V. & Price, S.**07/14 The Relative Price of Non-traded Goods in an Imperfectly Competitive Economy: Empirical Evidence for G7 Countries***by*Coto-Martinez, J. & Reboredo, J. C.**07/13 Are African electricity distribution companies efficient? Evidence from southern African countries***by*Estache, A. & Tovar, B. & Trujillo, L.**07/12 Socioeconomic networks with long-range interactions***by*Carvalho, R. & Iori, G.**07/11 Estimation risk effects on backtesting for parametric value-at-risk models***by*Escanciano, J. C. & Olmo, J.**07/10 A resolution of the forward discount puzzle***by*Olmo, J. & Pilbeam, K.**07/09 Financial incentives in academia: research versus development***by*Banal-Estanol, A. & Macho-Stadler, I.**07/08 Efficiency measurement in the port industry: a survey of the empirical evidence***by*Gonzalez, M. & Trujillo, L.**07/07 Utilities reforms and corruption in developing countries***by*Estache, A. & Goicoechea, A. & Trujillo, L.**07/06 Institutions and investment in low and middle-income countries: the case of mobile communications***by*Maiorano, F. & Stern, J.**07/05 The European port industry: an analysis of its economic efficiency***by*Trujillo, L. & Tovar, B.**07/04 Econometric estimation of scale and scope economies within the port sector: a review***by*Tovar, B. & Jara-Diaz, S. & Trujillo, L.**07/03 Government expenditure on education, health and infrastructure: a naive look at levels, outcomes and efficiency***by*Estache, A. & Gonzalez, M. & Trujillo, L.**07/02 The impact of heavy tails and comovements in downside-risk diversification***by*Gonzalo, J. & Olmo, J.**07/01 An asset pricing model for mean-variance-downside-risk averse investors***by*Olmo, J.

### 2006

**06/11 Bank mergers and diversification: implications for competition policy***by*Banal-Estanol, A. & Ottaviani, M.**06/10 Weighted network analysis of high frequency cross-correlation measures***by*Iori, G. & Precup, O. V.**06/09 Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis***by*Mattiussi, V. & Iori, G.**06/08 A fitness model for the Italian interbank money market***by*de Masi, G. & Iori, G. & Caldarelli, G.**06/07 Merged clusters during economic booms***by*Banal-Estanol, A. & Heidhues, P.**06/06 Identifying the effect of public health program on child immunisation in rural Bangladesh***by*Sadique, M. Z. & Asadullah, M. N.**06/05 The impact of government targets on waiting times for elective surgery: new insights from time-to-event analysis***by*Dimakou, S. & Parkin, D. & Devlin, N. & Appleby, J.**06/04 Modeling stock pinning***by*Jeannin, M. & Iori, G. & Samuel, D.**06/03 Trading strategies in the Italian interbank market***by*Iori, G. & Reno, R. & de Masi, G. & Caldarelli, G.**06/02 The hypostatisation of the concept of equilibrium in neoclassical economics***by*Denis, A.**06/01 A new family of estimators for the extremal index***by*Olmo, J.

### 2005

**05/06 Developing country borrowing lending from a monopolistic lender: strategic interaction and endogenous leadership***by*Jafarey, S. & Lahiri, S.**05/05 A network analysis of the Italian oversight money market***by*Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G.**05/04 Cross-correlation measures in the high-frequency domain***by*Precup, O. V. & Iori, G.**05/03 Understanding individuals’ decisions about vaccination: a comparison between Expected Utility and Regret Theory models***by*Sadique, Z. & Edmunds, W. J. & Devlin, N. & Parkin, D.**05/02 The relationship of drug reimbursement with the price and the quality of pharmaceutical innovations***by*García-Alonso, M. D. C. & Mariñoso, B. G.**05/01 The demand for long distance travel in Great Britain: some new evidence***by*Asteriou, D. & Cubbin, J. & Jones, I. & Metcalfe, I. & Paredes, D. & van der Veer, J. P.

### 2004

**04/10 Optimal taxation with imperfect competition and increasing returns to specialization***by*Coto-Martinez, J. & Garriga, C. & Sanchez-Losada, F.**04/09 Regulation, competition and ownership in electricity distribution companies: the effects on efficiency***by*Macedo, L.**04/08 Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series***by*Burridge, P. & Gjorstrup, F. & Robert Taylor, A. M.**04/07 A theoretical framework for TTO valuations and a taxonomy of TTO approaches: results from a pilot study***by*Buckingham, K. & Devlin, N. & Tabberer, M.**04/06 Non-linear adjustments in fiscal policy***by*Legrenzi, G. & Milas, C.**04/05 Uncertainty and UK Monetary Policy***by*Martin, C. & Milas, C.**04/04 Regulatory effectiveness: the impact of good regulatory governance on electricity industry capacity and efficiency in developing countries***by*Cubbin, J. & Stern, J.**04/03 Is there a case for using Visual Analogue Scale valuations in Cost-Utility Analysis?***by*Parkin, D. & Devlin, N.**04/02 Valuing the benefit of varicella vaccination: comparison of willingness to pay and quality-adjusted life-years***by*Brisson, M. & Edmunds, J.**04/01 Regulatory effectiveness: the impact of regulation and regulatory governance arrangements on electricity industry outcomes: a review paper***by*Stern, J. & Cubbin, J.

### 2003

**03/10 Two rhetorical strategies of laissez-faire***by*Denis, A.**03/09 Collective and individual rationality: Robert Malthus’s heterodox theodicy***by*Denis, A.**03/08 Non-linear multivariate adjustment of the UK real exchange rate***by*Milas, C.**03/07 Trade and Linked Exchange; Price Discrimination Through Transaction Bundling***by*Choi, C. J. & Dassiou, X. & Maldoom, D.**03/06 The determinants of foreign direct investment: a panel data study for the OECD countries***by*Agiomirgianakis, G. M. & Asteriou, D. & Papathoma, K.**03/05 The price-dividend relationship in inflationary and deflationary regimes***by*Madsen, J. B. & Milas, C.**03/04 Pricing Structures in the Deregulated UK Electricity Market***by*Salies, E. & Waddams Price, C.**03/03 The linkage between financial liberalization and economic development: empirical evidence from Poland***by*Andriesz, E. & Asteriou, D. & Pilbeam, K.**03/02 A note on the modelling of hyper-inflations***by*Moffatt, P. G. & Salies, E.**03/01 Does NICE have a cost effectiveness threshold and what other factors influence its decisions? A discrete choice analysis***by*Devlin, N.