Report NEP-FMK-2005-10-04

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schloegl 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:

• Carlos Andrés Amaya, 2005. "Interest Rate Setting and the Colombian Monetary Transmission Mechanism," Borradores de Economia 352, Banco de la Republica de Colombia.
• Will Martin & James E. Anderson, 2005. "Costs of Taxation and the Benefits of Public Goods: The Role of Income Effects," Boston College Working Papers in Economics 617, Boston College Department of Economics.
• Juan de Dios Tena & Francesco Giovannoni, 2005. "Market Concentration, Macroeconomic Uncertainty and Monetary Policy," Bristol Economics Discussion Papers 05/576, School of Economics, University of Bristol, UK.
• Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2005. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," CESifo Working Paper Series 1520, CESifo.
• Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo.
• M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," CESifo Working Paper Series 1548, CESifo.
• Flandreau, Marc & Komlos, John, 2005. "Target Zones in Theory and History: Credibility, Efficiency, and Policy Autonomy," CEPR Discussion Papers 5199, C.E.P.R. Discussion Papers.
• Gerlinde Fellner & Werner Güth & Boris Maciejovsky, 2005. "Satisficing in Financial Decision Making A Theoretical and Experimental Attempt to Explore Bounded Rationality," Papers on Strategic Interaction 2005-23, Max Planck Institute of Economics, Strategic Interaction Group.
• M. Vittoria Levati & Werner Güth & Matteo Ploner, 2005. "On the social dimension of time and risk preferences: An experimental study," Papers on Strategic Interaction 2005-26, Max Planck Institute of Economics, Strategic Interaction Group.
• Li-Gang Liu, 2005. "The Impact of Financial Services Trade Liberalization on China," Discussion papers 05024, Research Institute of Economy, Trade and Industry (RIETI).
• Mark W. French, 2005. "Why and when do spot prices of crude oil revert to futures price levels?," Finance and Economics Discussion Series 2005-30, Board of Governors of the Federal Reserve System (U.S.).
• Don H. Kim & Jonathan H. Wright, 2005. "An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates," Finance and Economics Discussion Series 2005-33, Board of Governors of the Federal Reserve System (U.S.).
• Daniel L. Thornton, 2005. "Open market operations and the federal funds rate," Working Papers 2005-063, Federal Reserve Bank of St. Louis.
• James Vickery, 2005. "How and why do small firms manage interest rate risk? Evidence from commercial loans," Staff Reports 215, Federal Reserve Bank of New York.
• Mark Furletti, 2004. "Prepaid cards: how do they function? how are they regulated?," Consumer Finance Institute discussion papers 04-04, Federal Reserve Bank of Philadelphia.
• Mark Furletti & Stephen Smith, 2005. "The laws, regulations, and industry practices that protect consumers who use electronic payment systems: credit and debit cards," Consumer Finance Institute discussion papers 05-01, Federal Reserve Bank of Philadelphia.
• James C. McGrath, 2005. "Will online bill payment spell the demise of paper checks?," Consumer Finance Institute discussion papers 05-08, Federal Reserve Bank of Philadelphia.
• Silke Brandts, 2005. "ART versus reinsurance: the disciplining effect of information insensitivity," FMG Discussion Papers dp545, Financial Markets Group.
• Charles Goodhart, 2005. "An Essay on the Interactions between the Bank of England's Forecasts, The MPC's Policy Adjustments, and the Eventual Outcome," FMG Discussion Papers dp546, Financial Markets Group.
• Menkhoff, Lukas & Rebitzky, Rafael & Schröder, Michael, 2005. "Do Dollar Forecasters Believe too Much in PPP?," Hannover Economic Papers (HEP) dp-321, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• International Monetary Fund, 2005. "Adopting the Euro in Central Europe; Challenges of the Next Step in European Integration," IMF Occasional Papers 234, International Monetary Fund.
• Rangan Gupta, 2005. "Financial Liberalization and Inflationary Dynamics in the Context of a Small Open Economy," Working papers 2005-39, University of Connecticut, Department of Economics.
• Nigel Driffield & Vidya Mahambare & Sarmistha Pal, 2005. "How Ownership Structure Affects Capital Structure and Firm Performance? Recent Evidence from East Asia," Finance 0509028, University Library of Munich, Germany.
• Yanhua ZHANG, 2005. "Collusion and Commitment in Bank Bailout," Industrial Organization 0509011, University Library of Munich, Germany.
• Trevor Breusch, 2005. "Australia's Cash Economy: Are the estimates credible?," Macroeconomics 0509025, University Library of Munich, Germany, revised 23 Sep 2005.
• Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, University Library of Munich, Germany.
• Valeria De Bonis & Pompeo Della Posta, 2005. "Strategic interactions between monetary and fiscal authorities in a monetary union," Working Papers de Economia (Economics Working Papers) 26, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro.
• Kadri Männasoo & David G Mayes, 2005. "Investigating the Early Signals of Banking Sector Vulnerabilities in Central and East European Emerging Markets," Bank of Estonia Working Papers 2005-08, Bank of Estonia, revised 10 Oct 2005.
• Danny Pitzel & Lenno Uuskula, 2005. "The Effect of Financial Depth on Monetary Transmission," Bank of Estonia Working Papers 2005-10, Bank of Estonia, revised 10 Oct 2005.
• Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
• Yetman, James, 2003. "The credibility of the monetary policy "free lunch"," Working Paper Series 0284, European Central Bank.
• Lombardo, Giovanni & Sutherland, Alan, 2003. "Monetary and fiscal interactions in open economies," Working Paper Series 0289, European Central Bank.
• Carletti, Elena & Hartmann, Philipp & Spagnolo, Giancarlo, 2003. "Bank mergers, competition and liquidity," Working Paper Series 0292, European Central Bank.
• Moneta, Fabio, 2003. "Does the yield spread predict recessions in the euro area?," Working Paper Series 0294, European Central Bank.
• Ewerhart, Christian & Cassola, Nuno & Ejerskov, Steen & Valla, Natacha, 2003. "Optimal allotment policy in the Eurosystem's main refinancing operations," Working Paper Series 0295, European Central Bank.
• Villani, Mattias & Warne, Anders, 2003. "Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs," Working Paper Series 0296, European Central Bank.
• Gropp, Reint & Moerman, Gerard, 2003. "Measurement of contagion in banks' equity prices," Working Paper Series 0297, European Central Bank.
• Freixas, Xavier & Parigi, Bruno M. & Rochet, Jean-Charles, 2003. "The lender of last resort: a 21st century approach," Working Paper Series 0298, European Central Bank.
• Manna, Michele, 2004. "Developing statistical indicators of the integration of the euro area banking system," Working Paper Series 0300, European Central Bank.
• Gropp, Reint & Vesala, Jukka, 2004. "Deposit insurance, moral hazard and market monitoring," Working Paper Series 0302, European Central Bank.
• Afonso, António & Strauch, Rolf, 2004. "Fiscal policy events and interest rate swap spreads: evidence from the EU," Working Paper Series 0303, European Central Bank.
• Corsetti, Giancarlo & Dedola, Luca & Leduc, Sylvain, 2004. "International risk-sharing and the transmission of productivity shocks," Working Paper Series 0308, European Central Bank.
• Sousa, João & Zaghini, Andrea, 2004. "Monetary policy shocks in the euro area and global liquidity spillovers," Working Paper Series 0309, European Central Bank.
• de Bondt, Gabe & Marqués-Ibáñez, David, 2004. "The high-yield segment of the corporate bond market: a diffusion modelling approach for the United States, the United Kingdom and the euro area," Working Paper Series 0313, European Central Bank.
• Derviz, Alexis, 2004. "Exchange rate risks and asset prices in a small open economy," Working Paper Series 0314, European Central Bank.
• Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 0315, European Central Bank.
• Holthausen, Cornelia & Rønde, Thomas, 2004. "Cooperation in international banking supervision," Working Paper Series 0316, European Central Bank.
• Moerman, Gerard, 2004. "Diversification in euro area stock markets: country versus industry," Working Paper Series 0327, European Central Bank.
• Straub, Roland & Tchakarov, Ivan, 2004. "Non-fundamental exchange rate volatility and welfare," Working Paper Series 0328, European Central Bank.
• De Santis, Roberto A. & Anderton, Robert & Hijzen, Alexander, 2004. "On the determinants of euro area FDI to the United States: the knowledge- capital-Tobin's Q framework," Working Paper Series 0329, European Central Bank.
• Fischer, Björn & Köhler, Petra & Seitz, Franz, 2004. "The demand for euro area currencies: past, present and future," Working Paper Series 0330, European Central Bank.
• Orphanides, Athanasios & Williams, John C., 2004. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Working Paper Series 0337, European Central Bank.
• Athey, Susan & Atkeson, Andrew & Kehoe, Patrick J., 2004. "The optimal degree of discretion in monetary policy," Working Paper Series 0338, European Central Bank.
• Galí, Jordi & López-Salido, David & Vallés, Javier, 2004. "Understanding the effects of government spending on consumption," Working Paper Series 0339, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2004. "Equal size, equal role? Interdependence between the euro area and the United States," Working Paper Series 0342, European Central Bank.
• Fratzscher, Marcel & Bussière, Matthieu, 2004. "Financial openness and growth: short-run gain, long-run pain?," Working Paper Series 0348, European Central Bank.
• Coenen, Günter & Wieland, Volker, 2004. "Exchange-rate policy and the zero bound on nominal interest rates," Working Paper Series 0350, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 0354, European Central Bank.
• Bindseil, Ulrich & Camba-Méndez, Gonzalo & Hirsch, Astrid & Weller, Benedict, 2004. "Excess reserves and implementation of monetary policy of the ECB," Working Paper Series 0361, European Central Bank.
• Fratzscher, Marcel, 2004. "Communication and exchange rate policy," Working Paper Series 0363, European Central Bank.
• Detken, Carsten & Smets, Frank, 2004. "Asset price booms and monetary policy," Working Paper Series 0364, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series 0365, European Central Bank.
• Christoffersen, Peter & Mazzotta, Stefano, 2004. "The informational content of over-the-counter currency options," Working Paper Series 0366, European Central Bank.
• Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004. "Sovereign risk premia in the European government bond market," Working Paper Series 0369, European Central Bank.
• Koeppl, Thorsten Volker & Monnet, Cyril, 2004. "Guess what: it's the settlements!," Working Paper Series 0375, European Central Bank.
• Holthausen, Cornelia & Tapking, Jens, 2004. "Raising rival's costs in the securities settlement industry," Working Paper Series 0376, European Central Bank.
• Ewerhart, Christian & Cassola, Nuno & Ejerskov, Steen & Valla, Natacha, 2004. "Liquidity, information, and the overnight rate," Working Paper Series 0378, European Central Bank.
• Castrén, Olli, 2004. "Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?," Working Paper Series 0379, European Central Bank.
• Adam, Klaus & Billi, Roberto M., 2004. "Optimal monetary policy under discretion with a zero bound on nominal interest rates," Working Paper Series 0380, European Central Bank.
• Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004. "Euro area sovereign yield dynamics: the role of order imbalance," Working Paper Series 0385, European Central Bank.
• Tapking, Jens & Yang, Jing, 2004. "Horizontal and vertical integration and securities trading and settlement," Working Paper Series 0387, European Central Bank.
• Ardagna, Silvia, 2004. "Financial markets' behavior around episodes of large changes in the fiscal stance," Working Paper Series 0390, European Central Bank.
• Bindseil, Ulrich & Manzanares, Andrés & Weller, Benedict, 2004. "The role of central bank capital revisited," Working Paper Series 0392, European Central Bank.
• Moschitz, Julius, 2004. "The determinants of the overnight interest rate in the euro area," Working Paper Series 0393, European Central Bank.
• de O. Cavalcanti, Ricardo & Erosa, Andrés & Temzelides, Ted, 2004. "Liquidity, money creation and destruction, and the returns to banking," Working Paper Series 0394, European Central Bank.
• Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 0397, European Central Bank.
• Altunbas, Yener & Marqués-Ibáñez, David, 2004. "Mergers and acquisitions and bank performance in Europe: the role of strategic similarities," Working Paper Series 0398, European Central Bank.
• Ewerhart, Christian & Cassola, Nuno & Ejerskov, Steen & Valla, Natacha, 2004. "Sporadic manipulation in money markets with central bank standing facilities," Working Paper Series 0399, European Central Bank.
• Berben, Robert-Paul & Locarno, Alberto & Morgan, Julian & Vallés, Javier, 2004. "Cross-country differences in monetary policy transmission," Working Paper Series 0400, European Central Bank.
• Kaas, Leo, 2004. "Financial market integration and loan competition: when is entry deregulation socially beneficial?," Working Paper Series 0403, European Central Bank.
• Iori, Giulia, 2004. "An analysis of systemic risk in alternative securities settlement architectures," Working Paper Series 0404, European Central Bank.
• Bussière, Matthieu & Fratzscher, Marcel & Koeniger, Winfried, 2004. "Currency mismatch, uncertainty and debt maturity structure," Working Paper Series 0409, European Central Bank.
• Breedon, Francis & Vitale, Paolo, 2004. "An empirical study of liquidity and information effects of order flow on exchange rates," Working Paper Series 0424, European Central Bank.
• Miller, Darius P. & Puthenpurackal, John J., 2005. "Security fungibility and the cost of capital: evidence from global bonds," Working Paper Series 0426, European Central Bank.
• Kauko, Karlo, 2005. "Interlinking securities settlement systems: a strategic commitment?," Working Paper Series 0427, European Central Bank.
• Pons-Sanz, Vicente, 2005. "Who benefits from IPO underpricing? Evidence form hybrid bookbuilding offerings," Working Paper Series 0428, European Central Bank.
• Buch, Claudia M. & Driscoll, John C. & Ostergaard, Charlotte, 2005. "Cross-border diversification in bank asset portfolios," Working Paper Series 0429, European Central Bank.
• Da Rin, Marco & Nicodano, Giovanna & Sembenelli, Alessandro, 2005. "Public policy and the creation of active venture capital markets," Working Paper Series 0430, European Central Bank.
• Calzolari, Giacomo & Loranth, Gyongyi, 2005. "Regulation of multinational banks: a theoretical inquiry," Working Paper Series 0431, European Central Bank.
• Cheung, Yiu Chung & de Jong, Frank & Rindi, Barbara, 2005. "Trading European sovereign bonds: the microstructure of the MTS trading platforms," Working Paper Series 0432, European Central Bank.
• Papaioannou, Elias, 2005. "What drives international bank flows? Politics, institutions and other determinants," Working Paper Series 0437, European Central Bank.
• Brousseau, Vincent & Manzanares, Andrés, 2005. "A look at intraday frictions in the euro area overnight deposit market," Working Paper Series 0439, European Central Bank.
• Castrén, Olli, 2005. "Estimating and analysing currency options implied risk-neutral density functions for the largest new EU member states," Working Paper Series 0440, European Central Bank.
• Monnet, Cyril & Quintin, Erwan, 2005. "Why do financial systems differ? History matters," Working Paper Series 0442, European Central Bank.
• Castrén, Olli & Mazzotta, Stefano, 2005. "Foreign exchange option and returns based correlation forecasts: evaluation and two applications," Working Paper Series 0447, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 0452, European Central Bank.
• Pearlman, Joseph G., 2005. "Central bank transparency and private information in a dynamic macroeconomic model," Working Paper Series 0455, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2005. "Transparency, disclosure and the federal reserve," Working Paper Series 0457, European Central Bank.
• Miller, Marcus & Castrén, Olli & Zhang, Lei, 2005. "Capital flows and the US ‘New Economy’: consumption smoothing and risk exposure," Working Paper Series 0459, European Central Bank.
• Bernadell, Carlos & Coche, Joachim & Nyholm, Ken, 2005. "Yield curve prediction for the strategic investor," Working Paper Series 0472, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2005. "Communication and decision-making by central bank committees: different strategies, same effectiveness?," Working Paper Series 0488, European Central Bank.
• Tinn, Katrin, 2005. "Optimal research in financial markets with heterogeneous private information: a rational expectations model," Working Paper Series 0493, European Central Bank.
• Giannetti, Mariassunta & Ongena, Steven, 2005. "Financial integration and entrepreneurial activity: evidence from foreign bank entry in emerging markets," Working Paper Series 0498, European Central Bank.
• Meier, André & Müller, Gernot J., 2005. "Fleshing out the monetary transmission mechanism: output composition and the role of financial frictions," Working Paper Series 0500, European Central Bank.
• Ferrero, Andrea, 2005. "Fiscal and monetary rules for a currency union," Working Paper Series 0502, European Central Bank.
• Bussière, Matthieu & Fratzscher, Marcel & Müller, Gernot J., 2005. "Productivity shocks, budget deficits and the current account," Working Paper Series 0509, European Central Bank.
• Liu, Zheng & Pappa, Evi, 2005. "Gains from international monetary policy coordination: does it pay to be different?," Working Paper Series 0514, European Central Bank.
• Durré, Alain & Giot, Pierre, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Series 0515, European Central Bank.
• Van Roy, Patrick, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Working Paper Series 0517, European Central Bank.
• de Bondt, Gabe & Mojon, Benoît & Valla, Natacha, 2005. "Term structure and the sluggishness of retail bank interest rates in euro area countries," Working Paper Series 0518, European Central Bank.
• Albuquerque, Rui & Bauer, Gregory H. & Schneider, Martin, 2004. "International equity flows and returns: a quantative equilibrium approach," Working Paper Series 0310, European Central Bank.
• Linzert, Tobias & Nautz, Dieter & Bindseil, Ulrich, 2004. "The longer term refinancing operations of the ECB," Working Paper Series 0359, European Central Bank.
• Galos, Peter & Soramäki, Kimmo, 2005. "Systemic risk in alternative payment system designs," Working Paper Series 0508, European Central Bank.