Report NEP-FMK-2005-11-19

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:

• Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005 419, Society for Computational Economics.
• Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc.
• De Fiore, Fiorella & Uhlig, Harald, 2005. "Bank finance versus bond finance: what explains the differences between US and Europe?," Working Paper Series 0547, European Central Bank.
• Ritirupa Samanta & Blake LeBaron, 2005. "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005 140, Society for Computational Economics.
• Sánchez, Marcelo, 2005. "The link between interest rates and exchange rates: do contractionary depreciations make a difference?," Working Paper Series 0548, European Central Bank.
• Sikandar Hussain & M. Shahid Ebrahim, 2005. "Financial Development and Property Valuation," Computing in Economics and Finance 2005 24, Society for Computational Economics.
• Menzie D. Chinn & Hiro Ito, 2005. "Current Account Balances, Financial Development and Institutions: Assaying the World "Savings Glut"," NBER Working Papers 11761, National Bureau of Economic Research, Inc.
• Dvorak, Tomas & Podpiera, Richard, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 0552, European Central Bank.
• Xiaozhong Liang, 2005. "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005 407, Society for Computational Economics.
• Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Walid Hejazi & Eric Santor, 2005. "Degree of Internationalization and Performance: An Analysis of Canadian Banks," Staff Working Papers 05-32, Bank of Canada.
• Claudia M. Buch & Serkan Yener, 2005. "Consumption Volatility and Financial Openness," Kiel Working Papers 1260, Kiel Institute for the World Economy.
• Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
• Lane, Philip R., 2005. "Global bond portfolios and EMU," Working Paper Series 0553, European Central Bank.
• Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñezr & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, "undated". "Implicit regimes for the Spanish Peseta/Deutschmark exchange rate," Working Papers 2005-21, FEDEA.
• Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
• Mathias Hoffmann, 2005. "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005 229, Society for Computational Economics.
• Peter Nippel & Christian Pierdzioch & Andrea Schertler, 2005. "Underpricing and Index Excess Returns," Kiel Working Papers 1259, Kiel Institute for the World Economy.
• Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
• Campa, Jose M. & Goldberg, Linda S. & Gonzalez-Minguez, Jose M., 2005. "Exchange-rate pass-through to import prices in the euro area," IESE Research Papers D/609, IESE Business School.
• Ramdane Djoudad & Jack Selody & Carolyn A. Wilkins, 2005. "Does Financial Structure Matter for the Information Content of Financial Indicators?," Staff Working Papers 05-33, Bank of Canada.
• Tommaso Monacelli & Ester Faia, 2005. "Optimal Interest Rate Rules, Asset Prices and Credit Frictions," Computing in Economics and Finance 2005 452, Society for Computational Economics.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
• Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006.
• James Laurenceson & Kam Ki Tang, "undated". "China's capital account convertibility and financial stability," EAERG Discussion Paper Series 0505, School of Economics, University of Queensland, Australia.
• Michael Haliassos & Michael Reiter, 2005. "Credit card debt puzzles," Economics Working Papers 901, Department of Economics and Business, Universitat Pompeu Fabra.
• Sheri Markose & Amadeo Alentorn, 2005. "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005 397, Society for Computational Economics.
• Ajit Singh & Jack Glen & Ann Zammitt & Rafael De Hoyos & Alaka Singh & Bruce Weisse, 2005. "Shareholder value maximisation, stock market and new technology: should the US corporate model be the universal standard," Working Papers wp315, Centre for Business Research, University of Cambridge.
• Kollo, Michael G., 2005. "Underwriter competition and gross spreads in the eurobond market," Working Paper Series 0550, European Central Bank.
• Neng Wang & Rui Albuquerque, 2005. "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005 351, Society for Computational Economics.
• Glaser, Markus & Langer, Thomas & Reynders, Jens & Weber, Martin, 2005. "Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns," Sonderforschungsbereich 504 Publications 05-40, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics.
• Glaser, Markus & Weber, Martin, 2005. "Which Past Returns Affect Trading Volume?," Sonderforschungsbereich 504 Publications 05-33, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Virginia Queijo, 2005. "Bayesian Estimation of a DSGE Model with Financial Frictions for the U.S. and the Euro Area," Computing in Economics and Finance 2005 306, Society for Computational Economics.
• Duc PHAM-HI, 2005. "Operational risk management and new computational needs in banks," Computing in Economics and Finance 2005 355, Society for Computational Economics.
• Charles Engel, 2005. "The US Current Account Deficit: A Re-examination of the Role of Private Saving," RBA Research Discussion Papers rdp2005-09, Reserve Bank of Australia.
• Paolo Surico & Antonello D'Agostino & Luca Sala, 2005. "The Fed and the Stock Market," Computing in Economics and Finance 2005 293, Society for Computational Economics.
• Michael P. Dooley & David Folkerts-Landau & Peter M. Garber, 2005. "Interest Rates, Exchange Rates and International Adjustment," NBER Working Papers 11771, National Bureau of Economic Research, Inc.
• Marius Jurgilas, 2005. "Interbank market under the currency board: Case of Lithuania," Computing in Economics and Finance 2005 448, Society for Computational Economics.
• Luigi Benfratello & Fabio Schiantarelli & Alessandro Sembenelli, 2005. "Banks and Innovation: Microeconometric Evidence on Italian Firms," Boston College Working Papers in Economics 631, Boston College Department of Economics, revised 13 Jun 2007.
• Eva de Francisco, 2005. "Limited Participation, Income Distribution and Capital Account Liberalization," Computing in Economics and Finance 2005 454, Society for Computational Economics.
• Matt Pritsker, 2005. "A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance," Computing in Economics and Finance 2005 414, Society for Computational Economics.
• basab dasgupta, 2005. "Capital Accumulation in the Presence of Informal Credit Contract: Does Incentive Mechanism Work Better than Credit Rationing Under Asymmetric Information?," Computing in Economics and Finance 2005 366, Society for Computational Economics.
• James Stodder, 2005. "Computational Efficiency and Macroeconomic Stability under Centralized Exchange: Evidence from Swiss and US Exchange Data," Computing in Economics and Finance 2005 64, Society for Computational Economics.
• Jiali Liao & Theodore V. Theodosopoulos, 2005. "Optimal Timing of Mark-to-Market for Contingent Credit Risk Control," Computing in Economics and Finance 2005 220, Society for Computational Economics.
• Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance 0511009, University Library of Munich, Germany.
• Daniela Fabbri & Anna Maria Cristina Menichini, 2005. "Trade Credit, Collateral Liquidation and Borrowing Constraints," CSEF Working Papers 146, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 08 Feb 2009.
• Arup Daripa, 2005. "How (Not) to Sell Money," Macroeconomics 0511019, University Library of Munich, Germany.
• Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics.
• Pasquale Lucio Scandizzo, 2004. "Financing Technology: An Assessment of Theory and Practice," CEIS Research Paper 43, Tor Vergata University, CEIS.
• Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
• Willi Semmler & Lars Grüne, 2005. "Asset Pricing and Loss Aversion," Computing in Economics and Finance 2005 199, Society for Computational Economics.
• Mohammad R. Rahman & Ruppa K. Thulasiram & Parimala Thulasiraman, 2005. "Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing," Computing in Economics and Finance 2005 471, Society for Computational Economics.
• Oleksandr Zhylyevskyy, 2005. "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme," Computing in Economics and Finance 2005 187, Society for Computational Economics.
• Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," Finance 0511006, University Library of Munich, Germany, revised 26 Mar 2006.