Report NEP-FMK-2006-04-08

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:

• Franklin Allen & Elena Carletti, 2005. "Credit Risk Transfer and Contagion," CFS Working Paper Series 2005/25, Center for Financial Studies.
• Dairo Estrada & Daniel Osorio, 2006. "A Market Risk Approach to Liquidity Risk and Financial Contagion," Borradores de Economia 384, Banco de la Republica de Colombia.
• Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," CFS Working Paper Series 2005/22, Center for Financial Studies.
• Wolfers, Justin & Zitzewitz, Eric, 2006. "Prediction Markets in Theory and Practice," CEPR Discussion Papers 5578, C.E.P.R. Discussion Papers.
• Wolfers, Justin & Zitzewitz, Eric, 2006. "Five Open Questions About Prediction Markets," CEPR Discussion Papers 5562, C.E.P.R. Discussion Papers.
• Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
• Luigi Guiso & Tullio Jappelli, 2005. "Awareness and Stock Market Participation," CFS Working Paper Series 2005/29, Center for Financial Studies.
• Foucault, Thierry & Menkveld, Albert J., 2006. "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers 5523, C.E.P.R. Discussion Papers.
• Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2006. "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," CEPR Discussion Papers 5591, C.E.P.R. Discussion Papers.
• Sussman, Nathan & Yafeh, Yishay & Mauro, Paolo, 2006. "Bloodshed or Reforms? The Determinants of Sovereign Bond Spreads in 1870-1913 and Today," CEPR Discussion Papers 5528, C.E.P.R. Discussion Papers.
• Sumit Agarwal & Souphala Chomsisengphet & Chunlin Liu & Nicholas S. Souleles, 2005. "Do Consumers Choose the Right Credit Contracts?," CFS Working Paper Series 2005/32, Center for Financial Studies.
• Luigi Guiso & Paola Sapienza & Luigi Zingales, 2005. "Trusting the Stock Market," CFS Working Paper Series 2005/27, Center for Financial Studies.
• Michael Halisassos & Michael Reiter, 2005. "Credit Card Debt Puzzles," CFS Working Paper Series 2005/26, Center for Financial Studies.
• Eijffinger, Sylvester & Geraats, Petra & van der Cruijsen, Carin, 2006. "Does Central Bank Transparency Reduce Interest Rates?," CEPR Discussion Papers 5526, C.E.P.R. Discussion Papers.
• Item repec:tud:ddpiec:168 is not listed on IDEAS anymore

• Michael Bleaney, 2006. "The Currency Denomination Of Sovereign Debt," Discussion Papers 06/02, University of Nottingham, School of Economics.
• Fulvio Corsi & Uta Kretschmer & Stefan Mittnik & Christian Pigorsch, 2005. "The Volatility of Realized Volatility," CFS Working Paper Series 2005/33, Center for Financial Studies.
• Minford, Patrick & Peel, David, 2006. "On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets," CEPR Discussion Papers 5611, C.E.P.R. Discussion Papers.
• Duffie, Darrell & Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2006. "Valuation in Over-the-Counter Markets," CEPR Discussion Papers 5491, C.E.P.R. Discussion Papers.
• Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
• Boot, Arnoud & Marinc, Matej, 2006. "Competition and Entry in Banking: Implications for Stability and Capital Regulation," CEPR Discussion Papers 5518, C.E.P.R. Discussion Papers.
• Hsieh, David A & Fung, William & Naik, Narayan, 2006. "Hedge Funds: Performance, Risk and Capital Formation," CEPR Discussion Papers 5565, C.E.P.R. Discussion Papers.
• Galina Hale & Assaf Razin & Hui Tong, 2006. "Institutional Weakness and Stock Price Volatility," NBER Working Papers 12127, National Bureau of Economic Research, Inc.
• Benigno, Gianluca & Thoenissen, Christoph, 2006. "Consumption and Real Exchange Rates with Incomplete Markets and Non-Traded Goods," CEPR Discussion Papers 5580, C.E.P.R. Discussion Papers.
• Item repec:tud:ddpiec:166 is not listed on IDEAS anymore

• Franklin Allen & Elena Carletti & Robert Marquez, 2005. "Credit Market Competition and Capital Regulation," CFS Working Paper Series 2005/23, Center for Financial Studies.
• Miquel Faig, 2006. "Divisible Money In An Economy With Villages," Working Papers tecipa-216, University of Toronto, Department of Economics.
• Michael Bleaney, 2006. "Fundamentals And Exchange Rate Volatility," Discussion Papers 06/03, University of Nottingham, School of Economics.
• Gavin Cameron & Kang Yong Tan & Prasanna Gai & Â, 2006. "Sovereign Risk in the Classical Gold Standard Era," Economics Series Working Papers 258, University of Oxford, Department of Economics.
• Enrico Tanuwidjaja, 2006. "Multi Factor SUR in Event Study Analysis: Evidence from M&A in Singapore’s Financial Industry," SCAPE Policy Research Working Paper Series 0607, National University of Singapore, Department of Economics, SCAPE.
• Philippe Aghion & Philippe Bacchetta & Romain Ranciere & Kenneth Rogoff, 2006. "Exchange Rate Volatility and Productivity Growth: The Role of Financial Development," NBER Working Papers 12117, National Bureau of Economic Research, Inc.
• Item repec:tud:ddpiec:167 is not listed on IDEAS anymore

• Baeyens,K. & Manigart,S., 2006. "Follow-on financing of venture capital backed companies: the choice between debt, equity, existing and new investors," Vlerick Leuven Gent Management School Working Paper Series 2006-05, Vlerick Leuven Gent Management School.
• Ettore Damiano & Hao Li & Wing Suen, 2006. "Credible Ratings," Working Papers tecipa-219, University of Toronto, Department of Economics.
• John C. Bluedorn & Christopher Bowdler, 2005. "Monetary Policy and Exchange Rate Dynamics: New Evidence from the Narrative Approach to Shock Identification," Economics Papers 2005-W18, Economics Group, Nuffield College, University of Oxford.
• Sarno, Lucio & Valente, Giorgio & Leon, Hyginus, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
• Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Giacomini, Enzo & Handel, Michael & Härdle, Wolfgang Karl, 2006. "Time dependent relative risk aversion," SFB 649 Discussion Papers 2006-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2006. "Optimal Asset Allocation and Risk Shifting in Money Management," CEPR Discussion Papers 5524, C.E.P.R. Discussion Papers.
• Reichlin, Pietro, 2006. "Relating Output and Volatility in a Model of International Risk-Sharing with Limited Commitment," CEPR Discussion Papers 5557, C.E.P.R. Discussion Papers.
• Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System," CIRJE F-Series CIRJE-F-407, CIRJE, Faculty of Economics, University of Tokyo.
• Helge Berger, 2006. "Optimal Central Bank Design: Benchmarks for the ECB," CESifo Working Paper Series 1697, CESifo.
• Kjellberg, David, 2006. "Measuring Expectations," Working Paper Series 2006:9, Uppsala University, Department of Economics.
• Impavido, Gregorio & Rocha, Roberto, 2006. "Competition and performance in the Hungarian second pillar," Policy Research Working Paper Series 3876, The World Bank.
• Moritz Schularick & Thomas Steger, 2006. "Does Financial Integration Spur Economic Growth? New Evidence from the First Era of Financial Globalization," CESifo Working Paper Series 1691, CESifo.
• Pijoan-Mas, Josep, 2006. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," CEPR Discussion Papers 5602, C.E.P.R. Discussion Papers.
• Coricelli, Fabrizio & Revoltella, Debora & Mucci, Fabio, 2006. "Household Credit in the New Europe," CEPR Discussion Papers 5520, C.E.P.R. Discussion Papers.
• Patrícia Teixeira Lopes & Lúcia Lima Rodrigues, 2006. "Accounting for Financial Instruments: An Analysis of the Determinants of Disclosure in the Portuguese Stock Exchange," FEP Working Papers 209, Universidade do Porto, Faculdade de Economia do Porto.
• Helge Berger & Jan-Egbert Sturm, 2006. "Does Money Matter in the ECB Strategy? New Evidence Based on ECB Communication," CESifo Working Paper Series 1652, CESifo.
• Kollmann, Robert, 2006. "International Portfolio Equilibrium and the Current Account," CEPR Discussion Papers 5512, C.E.P.R. Discussion Papers.
• Caballero, Ricardo & Gourinchas, Pierre-Olivier & Farhi, Emmanuel, 2006. "An Equilibrium Model of 'Global Imbalances' and Low Interest Rates," CEPR Discussion Papers 5573, C.E.P.R. Discussion Papers.
• Saggi, Kamal & Limão, Nuno, 2006. "Tariff Retaliation versus Financial Compensation in the Enforcement of International Trade Agreements," CEPR Discussion Papers 5560, C.E.P.R. Discussion Papers.
• Brücker, Herbert & Schröder, Philipp J. H., 2006. "International Migration with Heterogeneous Agents: Theory and Evidence," IZA Discussion Papers 2049, Institute of Labor Economics (IZA).
• Silke Brandts & Christian Laux, 2005. "ART Versus Reinsurance: The Disciplining Effect of Information Insensitivity," CFS Working Paper Series 2005/21, Center for Financial Studies.
• Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
• Monacelli, Tommas & Faia, Ester, 2006. "Optimal Monetary Policy in a Small Open Economy with Home Bias," CEPR Discussion Papers 5522, C.E.P.R. Discussion Papers.
• Aoki, Kosuke, 2006. "Price-Level Determination Under Dispersed Information and Monetary Policy," CEPR Discussion Papers 5570, C.E.P.R. Discussion Papers.
• Item repec:col:001043:002426 is not listed on IDEAS anymore

• Miquel Faig & Pauline Shum, 2006. "What Explains Household Stock Holdings?," Working Papers tecipa-218, University of Toronto, Department of Economics.
• Kirchsteiger, Georg & Alos-Ferrer, Carlos & Walzl, Markus, 2006. "On the Evolution of Market Institutions: The Platform Design Paradox," CEPR Discussion Papers 5538, C.E.P.R. Discussion Papers.
• Gebhardt, Georg & Schmidt, Klaus M., 2006. "Conditional Allocation of Control Rights in Venture Capital Finance," Discussion Papers in Economics 909, University of Munich, Department of Economics.
• Chin-Shien Lin & Haider A. Khan & Ying-Chieh Wang & Ruei-Yuan Chang, 2006. "A New Approach to Modeling Early Warning Systems for Currency Crises : can a machine-learning fuzzy expert system predict the currency crises effectively?," CIRJE F-Series CIRJE-F-411, CIRJE, Faculty of Economics, University of Tokyo.
• Hernando Vargas Herrera & Dpto de Estabilidad Financiera, 2006. "El Riesgo de Mercado de la Deuda Pública: ¿Una Restricción a la Política Monetaria? El Caso Colombiano," Borradores de Economia 382, Banco de la Republica de Colombia.
• Svensson, Roger, 2006. "Innovation Performance and Government Financing," Working Paper Series 664, Research Institute of Industrial Economics, revised 30 Sep 2006.
• von Hagen, Jurgen & Zhou, Jizhong, 2006. "The Interaction Between Capital Controls and Exchange Rate Regimes: Evidence from Developing Countries," CEPR Discussion Papers 5537, C.E.P.R. Discussion Papers.
• Linda S. Goldberg & José Manuel Campa, 2006. "Distribution Margins, Imported Inputs, and the Sensitivity of the CPI to Exchange Rates," NBER Working Papers 12121, National Bureau of Economic Research, Inc.
• Jayasri Dutta & Colin Rowat, 2006. "The Road to Extinction: commons with capital markets," Discussion Papers 04-11r, Department of Economics, University of Birmingham.
• Yin-Wong Cheung, 2006. "An Empirical Model of Daily Highs and Lows," CESifo Working Paper Series 1695, CESifo.
• Pinar Ayse Yesin, 2006. "Financing Government Expenditures Optimally," Working Papers 06.01, Swiss National Bank, Study Center Gerzensee.
• Bentahar, Imen & Bouchard, Bruno, 2006. "Barrier option hedging under constraints: A viscosity approach," SFB 649 Discussion Papers 2006-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Mauricio Avella Gómez, 2006. "El Acceso De Colombia Al Financiamiento Externo Durante El Siglo Xx. Una Sintesis," Borradores de Economia 387, Banco de la Republica de Colombia.
• Panunzi, Fausto & Burkart, Mike, 2006. "Takeovers," CEPR Discussion Papers 5572, C.E.P.R. Discussion Papers.
• Yannis Bilias & Dimitris Georgarakos & Michael Haliassos, 2005. "Equity Culture and the Distribution of Wealth," CFS Working Paper Series 2005/20, Center for Financial Studies.
• Julian Pérez Amaya, 2006. "Evaluación de Reglas de Tasa de Interés en un Modelo de Economía Pequeña y Abierta," Borradores de Economia 385, Banco de la Republica de Colombia.
• Pavlo Blavatskyy & Ganna Pogrebna, 2006. "Risk Aversion When Gains Are Likely and Unlikely: Evidence from a Natural Experiment with Large Stakes," IEW - Working Papers 278, Institute for Empirical Research in Economics - University of Zurich.
• Item repec:hal:papers:halshs-00009834_v1 is not listed on IDEAS anymore

• Fernando Tenjo G. & Enrique López E. & Nancy Zamudio, 2006. "Determinantes de la estructura de capital de las empresas colombianas (1996-2002)," Borradores de Economia 380, Banco de la Republica de Colombia.
• Neil A. Doherty & Alexander Muermann, 2005. "Insuring the Uninsurable: Brokers and Incomplete Insurance Contracts," CFS Working Paper Series 2005/24, Center for Financial Studies.
• Michel Lelart, 2006. "De la finance informelle à la microfinance," Post-Print halshs-00009833, HAL.
• Flandreau, Marc & Jobst, Clemens, 2006. "The Empirics of International Currencies: Historical Evidence," CEPR Discussion Papers 5529, C.E.P.R. Discussion Papers.
• M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo.
• Item repec:hal:papers:halshs-00009836_v1 is not listed on IDEAS anymore

• Amy Finkelstein & James Poterba, 2006. "Testing for Asymmetric Information Using 'Unused Observables' in Insurance Markets: Evidence from the U.K. Annuity Market," NBER Working Papers 12112, National Bureau of Economic Research, Inc.
• John C. Bluedorn, 2005. "Hurricanes: Intertemporal Trade and Capital Shocks," Economics Papers 2005-W22, Economics Group, Nuffield College, University of Oxford.
• von Hagen, Jurgen & Zhou, Jizhong, 2006. "Fear of Floating and Fear of Pegging: An Empirical Analysis of De Facto Exchange Rate Regimes in Developing Countries," CEPR Discussion Papers 5530, C.E.P.R. Discussion Papers.
• Vasconcelos, Helder & Fumagalli, Eileen, 2006. "Cross-Border Merger Waves," CEPR Discussion Papers 5601, C.E.P.R. Discussion Papers.
• Item repec:col:001043:002427 is not listed on IDEAS anymore