Report NEP-FMK-2006-03-05

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

• Antonio Garcia Pascual & Jorge Cayazzo & Socorro Heysen & Eva Gutierrez, 2006. "Toward An Effective Supervision of Partially Dollarized Banking Systems," IMF Working Papers 06/32, International Monetary Fund.
• Rodolphe Blavy, 2005. "Monitoring and Commitment in Bank Lending Behavior," IMF Working Papers 05/222, International Monetary Fund.
• Renzo G Avesani, 2005. "FIRST; A Market-Based Approach to Evaluate Financial System Risk and Stability," IMF Working Papers 05/232, International Monetary Fund.
• Robert Rennhack & Masahiro Nozaki, 2006. "Financial Dollarization in Latin America," IMF Working Papers 06/7, International Monetary Fund.
• International Monetary Fund, 2006. "Regulatory Capture in Banking," IMF Working Papers 06/34, International Monetary Fund.
• David Hauner & Manmohan S. Kumar, 2005. "Financial Globalization and Fiscal Perfomance in Emerging Markets," IMF Working Papers 05/212, International Monetary Fund.
• Bernardin Akitoby & Thomas Stratmann, 2006. "Fiscal Policy and Financial Markets," IMF Working Papers 06/16, International Monetary Fund.
• Joshua Aizenman & Jaewoo Lee, 2005. "International Reserves; Precautionary vs. Mercantilist Views, Theory and Evidence," IMF Working Papers 05/198, International Monetary Fund.
• Marco A Espinosa-Vega & Allen N. Berger & Nathan H. Miller & W. Scott Frame, 2005. "Debt Maturity, Risk, and Asymmetric Information," IMF Working Papers 05/201, International Monetary Fund.
• Antonio Garcia Pascual & Nada Choueiri & Ritu Basu, 2006. "Financial Sector Projections and Stress Testing in Financial Programming; A New Framework," IMF Working Papers 06/33, International Monetary Fund.
• Jorge A Chan-Lau & Toni Gravelle, 2005. "The END; A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability," IMF Working Papers 05/231, International Monetary Fund.
• Roger P. Kronenberg & Alessandro Giustiniani, 2005. "Financial Sector Conditionality; Is Tougher Better?," IMF Working Papers 05/230, International Monetary Fund.
• Enrica Detragiache & Poonam Gupta & Thierry Tressel, 2006. "Foreign Banks in Poor Countries; Theory and Evidence," IMF Working Papers 06/18, International Monetary Fund.
• Philippe D Karam & Douglas Hostland, 2005. "Assessing Debt Sustainability in Emerging Market Economies Using Stochastic Simulation Methods," IMF Working Papers 05/226, International Monetary Fund.
• Calvin Schnure, 2005. "Boom-Bust Cycles in Housing; The Changing Role of Financial Structure," IMF Working Papers 05/200, International Monetary Fund.
• David Hauner, 2006. "Fiscal Policy and Financial Development," IMF Working Papers 06/26, International Monetary Fund.
• Matthew T Jones, 2005. "Estimating Markov Transition Matrices Using Proportions Data; An Application to Credit Risk," IMF Working Papers 05/219, International Monetary Fund.
• Rodney Ramcharan, 2006. "Does Economic Diversification Lead to Financial Development? Evidence From topography," IMF Working Papers 06/35, International Monetary Fund.
• Pokar D Khemani & Jack Diamond, 2005. "Introducing Financial Management Information Systems in Developing Countries," IMF Working Papers 05/196, International Monetary Fund.
• Elena Loukoianova & Salih N. Neftci & Sunil Sharma, 2006. "Pricing and Hedging of Contingent Credit Lines," IMF Working Papers 06/13, International Monetary Fund.
• Jonathan David Ostry & Jeromin Zettelmeyer, 2005. "Strengthening IMF Crisis Prevention," IMF Working Papers 05/206, International Monetary Fund.
• Hugh Gravelle & Matt Sutton, 2006. "Income, Relative Income, and Self-Reported Health in Britain 1979-2000," Discussion Papers 06/06, Department of Economics, University of York.
• Paolo Mauro & Marcos d Chamon, 2005. "Pricing Growth-Indexed Bonds," IMF Working Papers 05/216, International Monetary Fund.
• Juan Manuel Lima & Johannes Wiegand & Enrique Montes & Carlos Varela, 2006. "Sectoral Balance Sheet Mismatches and Macroeconomic Vulnerabilities in Colombia, 1996-2003," IMF Working Papers 06/5, International Monetary Fund.
• Xiangming Li & Steven V Dunaway, 2005. "Estimating China's "Equilibrium" Real Exchange Rate," IMF Working Papers 05/202, International Monetary Fund.
• James M. Boughton, 2006. "American in the Shadows; Harry Dexter White and the Design of the International Monetary Fund," IMF Working Papers 06/6, International Monetary Fund.
• Marta Ruiz-Arranz & Paola Giuliano, 2005. "Remittances, Financial Development, and Growth," IMF Working Papers 05/234, International Monetary Fund.
• Sònia Muñoz, 2006. "Wealth Effects in Europe; A Tale of Two Countries (Italy and the United Kingdom)," IMF Working Papers 06/30, International Monetary Fund.
• Lea Zicchino, 2005. "A model of bank capital, lending and the macro economy: Basel I versus Basel II," Money Macro and Finance (MMF) Research Group Conference 2005 88, Money Macro and Finance Research Group.
• Jaewoo Lee & Hamid Faruqee & Tamim Bayoumi, 2005. "A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates," IMF Working Papers 05/229, International Monetary Fund.
• Marcel Peter & Martín Grandes, 2005. "How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa," IMF Working Papers 05/217, International Monetary Fund.
• Berger, Allen N. & Klapper,Leora & Martinez Peria,Maria Soledad & Zaidi, Rida & Berger, Allen N. & Klapper, Leora F. & Martinez Peria,Maria Soledad & Zaidi, Rida, 2006. "Bank ownership type and banking relationships," Policy Research Working Paper Series 3862, The World Bank.
• International Monetary Fund, 2001. "Interpreting Real Exchange Rate Movements in Transition Countries," IMF Working Papers 01/56, International Monetary Fund.
• Julian Di Giovanni & Jay C Shambaugh, 2006. "The Impact of Foreign Interest Rateson the Economy; The Role of the Exchange Rate Regime," IMF Working Papers 06/37, International Monetary Fund.
• Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
• Mohsin S. Khan & Abdelhak S Senhadji & Bruce D. Smith, 2001. "Inflation and Financial Depth," IMF Working Papers 01/44, International Monetary Fund.
• Jason D. Mitchell & Li L Ong, 2006. "Seasonalities in China's Stock Markets; Cultural or Structural?," IMF Working Papers 06/04, International Monetary Fund.
• Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
• David Hauner & Shanaka J Peiris, 2005. "Bank Efficiency and Competition in Low-Income Countries; The Case of Uganda," IMF Working Papers 05/240, International Monetary Fund.
• Klaus Schaeck & Simon Wolfe, 2005. "Identifying "Problem Banks" in the German Co-operative and Savings Bank Sector: An Econometric Analysis," Money Macro and Finance (MMF) Research Group Conference 2005 44, Money Macro and Finance Research Group.
• Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group.
• Phillip Lawler & Jonathan James, 2005. "Macroeconomic Shocks and Central Bank Disclosure Policy: Is increased Transparency Necessarily Beneficial?," Money Macro and Finance (MMF) Research Group Conference 2005 27, Money Macro and Finance Research Group.
• Jérôme Héricourt & Julien Reynaud, 2006. "La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI," Cahiers de la Maison des Sciences Economiques bla06009, Université Panthéon-Sorbonne (Paris 1).
• Tim Callen & Warwick J. McKibbin & Nicoletta Batini, 2006. "The Global Impact of Demographic Change," IMF Working Papers 06/9, International Monetary Fund.
• Peter N Smith & S Sorensen & M R Wickens, 2005. "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005 47, Money Macro and Finance Research Group.
• Ken Miyajima, 2005. "Real Exchange Rates in Growing Economies; How Strong Is the Role of the Nontradables Sector?," IMF Working Papers 05/233, International Monetary Fund.
• George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics.
• Zsófia Árvai, 2005. "Capital Account Liberalization, Capital Flow Patterns, and Policy Responses in the EU's New Member States," IMF Working Papers 05/213, International Monetary Fund.
• Caterina Mendicino, 2005. "Credit Market Development, Asset Prices and Business Cycle," Money Macro and Finance (MMF) Research Group Conference 2005 74, Money Macro and Finance Research Group.
• Kirsten Lommatzsch & Balazs Egert & Amina Lahreche-Revil, 2005. "The Stock-Flow Approach to the Real Exchange Rate of CEE Transition Economies:," Money Macro and Finance (MMF) Research Group Conference 2005 14, Money Macro and Finance Research Group.
• Ugo Albertazzi, 2006. "Incentives in universal banks," Temi di discussione (Economic working papers) 572, Bank of Italy, Economic Research and International Relations Area.
• Vasso Ioannidou & Jan de Dreu, 2006. "The Impact of Explicit Deposit Insurance on Market Discipline," DNB Working Papers 089, Netherlands Central Bank, Research Department.
• Sònia Muñoz, 2006. "Habit Formation and Persistence in Individual Asset Portfolio Holdings; The Case of Italy," IMF Working Papers 06/29, International Monetary Fund.
• Anne Lavigne & Charlie Berger, 2005. "The French Pension Trust Fund: Can it cope with the Expected Financial Unsustainability of the PAYG Pension System?," Money Macro and Finance (MMF) Research Group Conference 2005 7, Money Macro and Finance Research Group.
• Robert Paul Berben & Kerstin Bernoth & Mauro Mastrogiacomo, 2006. "Households' Response to Wealth Changes: Do Gains or Losses make a Difference?," DNB Working Papers 090, Netherlands Central Bank, Research Department.
• Stéphane Mussard & Virginie Terraza, 2006. "The Shapley decomposition for portfolio risk," Cahiers de recherche 06-09, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
• Micco, Alejandro & Panizza, Ugo, 2006. "Bank Ownership and Lending Behavior," POLIS Working Papers 61, Institute of Public Policy and Public Choice - POLIS.
• Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.
• Katrin Tinn, 2005. "Optimal research in financial markets with heterogeneous private information; a rational expectations model," Money Macro and Finance (MMF) Research Group Conference 2005 6, Money Macro and Finance Research Group.
• Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
• Sweta Chaman Saxena & Meenakshi Rishi & Valerie Cerra, 2005. "Robbing the Riches; Capital Flight, Institutions, and Instability," IMF Working Papers 05/199, International Monetary Fund.
• Monica Paiella, 2006. "The Foregone Gains of Incomplete Portfolios," CSEF Working Papers 156, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Bettina Becker & Stephan G Hall, 2005. "Non-Linear Properties of Currency Crises in Emerging Markets," Money Macro and Finance (MMF) Research Group Conference 2005 13, Money Macro and Finance Research Group.
• Cees G. H. Diks & Dennis P Botman, 2005. "The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks," IMF Working Papers 05/205, International Monetary Fund.
• Roberto Guimaraes & Cem Karacadag, 2005. "The Empirics of Foreign Exchange Intervention in Emerging Market Countries The Cases of Mexico and Turkey," Money Macro and Finance (MMF) Research Group Conference 2005 68, Money Macro and Finance Research Group.
• Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers CREGO 1060101, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
• Clemens J M Kool & Tom Van Veen & Bertrand Chandelon & Katharina Raabe, 2005. "The Feasibility of a Fixed Exchange Rate Regime for New EU-members Evidence from Real Exchange Rates," Money Macro and Finance (MMF) Research Group Conference 2005 20, Money Macro and Finance Research Group.
• Michal Hulej & Charalambos G Tsangarides & Pierre Ewenczyk, 2006. "Stylized Facts on Bilateral Trade and Currency Unions; Implications for Africa," IMF Working Papers 06/31, International Monetary Fund.
• Ioannis Lazopoulos, 2005. "Cycles And Banking Crisis," Money Macro and Finance (MMF) Research Group Conference 2005 15, Money Macro and Finance Research Group.
• Joshua Kirkwood & Daehoon Nahm, 2005. "Australian Banking Efficiency and its Relation to Stock Returns," Research Papers 0508, Macquarie University, Department of Economics.
• Sean Turnell, 2005. "The Rise and Fall of Cooperative Credit in Colonial Burma," Research Papers 0509, Macquarie University, Department of Economics.
• Ronald Ripple & Imad Moosa, 2005. "Futures Maturity and Hedging Effectiveness - The Case of Oil Futures," Research Papers 0513, Macquarie University, Department of Economics.
• Anja Shortland & Sourafel Girma, 2005. "The Political Economy of Financial Liberalisation," Money Macro and Finance (MMF) Research Group Conference 2005 39, Money Macro and Finance Research Group.
• Marina Tomova, 2005. "Efficiency of European Banking - Inequality and Integration," Money Macro and Finance (MMF) Research Group Conference 2005 89, Money Macro and Finance Research Group.
• Charles Grant & Mario Padula, 2006. "Informal Credit Markets, Judicial Costs and Consumer Credit: Evidence from Firm Level Data," CSEF Working Papers 155, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Christos Savva & Denise R Osborn & Len Gill, 2005. "Volatility, spillover Effects and Correlations in US and Major European Markets," Money Macro and Finance (MMF) Research Group Conference 2005 23, Money Macro and Finance Research Group.
• Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2005. "The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets," Money Macro and Finance (MMF) Research Group Conference 2005 34, Money Macro and Finance Research Group.
• Kleopatra Nikolaou & Lucio Sarno, 2005. "New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market," Money Macro and Finance (MMF) Research Group Conference 2005 77, Money Macro and Finance Research Group.
• Francesco Menoncin, "undated". "Risk management for pension funds," Working Papers ubs0403, University of Brescia, Department of Economics.
• Andrea Pescatori & Caterino Mendicino, 2005. "Credit Frictions, Housing Prices and Optimal Monetary Policy Rules," Money Macro and Finance (MMF) Research Group Conference 2005 67, Money Macro and Finance Research Group.
• Valentina Meliciani & Stefania Cosci, 2005. "Multiple banking Relationships and Over-Leverage in Italian Manufacturing Firms," Money Macro and Finance (MMF) Research Group Conference 2005 87, Money Macro and Finance Research Group.
• Michael Arghyrou & Virginie Boinet & Christopher Martin, 2005. "Beyond Purchasing Power Parity: Nominal exchange rates, output shocks and non linear/asymmetric equilibrium adjustment in Central Europe," Money Macro and Finance (MMF) Research Group Conference 2005 35, Money Macro and Finance Research Group.
• Francesco Menoncin & Marco Tronzano, "undated". "Optimal real exchange rate targeting: a stochastic analysis," Working Papers ubs0401, University of Brescia, Department of Economics.
• Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "Multiple breaks in lending rate pass-through A cross country study for the euro area," Heterogeneity and monetary policy 0602, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
• Radu Tunaru & Ephraim Clark, 2005. "The Evolution of International Political Risk 1956-2001," Money Macro and Finance (MMF) Research Group Conference 2005 37, Money Macro and Finance Research Group.
• Francesco Menoncin, "undated". "Risk management for an internationally diversified portfolio," Working Papers ubs0404, University of Brescia, Department of Economics.
• Theo Panagiotidis & Mark J Holmes, 2005. "Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account," Money Macro and Finance (MMF) Research Group Conference 2005 29, Money Macro and Finance Research Group.
• Simon Grant & John Quiggin, 2004. "The risk premium for equity: implications for resource allocation, welfare and policy," Risk & Uncertainty Working Papers WPR04_8, Risk and Sustainable Management Group, University of Queensland.
• Sailesh Tanna & Kyriaki Kosmidou & Fotios Pasiouras, 2005. "Determinants of profitability of domestic UK commercial banks: panel evidence from the period 1995-2002," Money Macro and Finance (MMF) Research Group Conference 2005 45, Money Macro and Finance Research Group.
• Kaminski, Bartlomiej, 2006. "Bulgaria's institutions and policies : integrating into Pan-European markets," Policy Research Working Paper Series 3864, The World Bank.
• Claude Fluet, 2006. "Liability Rules under Evidentiary Uncertainty," Cahiers de recherche 0606, CIRPEE.
• Micco, Alejandro & Panizza, Ugo & Yañez, Monica, 2006. "Bank Ownership and Performance Does Politics Matter?," POLIS Working Papers 62, Institute of Public Policy and Public Choice - POLIS.
• Cal Muckley & Raj Aggarwal & Brian Lucey, 2005. "Dynamics of Equity Markets Integration in Europe: Evidence of Change with Events and over Time," Money Macro and Finance (MMF) Research Group Conference 2005 48, Money Macro and Finance Research Group.
• Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group.
• Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group.
• Georgios Chortareas & George Kapetanios, 2005. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP," Money Macro and Finance (MMF) Research Group Conference 2005 36, Money Macro and Finance Research Group.