Report NEP-FMK-2006-04-22

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:

• Hernando Vargas & Rocío Betnacourt, 2006. "Pension Fund Managers Behavior In The Foreign Exchange Market," Borradores de Economia 391, Banco de la Republica de Colombia.
• Minford, Patrick & Peel, David & Meenagh, David, 2006. "Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency," CEPR Discussion Papers 5614, C.E.P.R. Discussion Papers.
• Item repec:col:001043:002453 is not listed on IDEAS anymore

• Michael Bleaney & R. Todd Smith, 2006. "Closed-End Fund Betas," Discussion Papers 06/04, University of Nottingham, School of Economics.
• Cars Hommes, 2006. "Interacting Agents in Finance," Tinbergen Institute Discussion Papers 06-029/1, Tinbergen Institute.
• Item repec:col:001043:002462 is not listed on IDEAS anymore

• Dirk Baur & Brian M. Lucey, 2006. "Flight-to-quality or Contagion? An EmpiricalAnalysis of Stock-bond correlations," The Institute for International Integration Studies Discussion Paper Series iiisdp122, IIIS.
• Thomas Lagoarde-Segot & Brian Lucey, 2006. "Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp114, IIIS.
• Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Dynamic equilibrium correction modelling of yen Eurobond credit spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp127, IIIS.
• Philipp Paulus, 2006. "Brüssel, Frankfurt oder Basel - Wo muss das Problem steigender Staatsschulden in der Europäischen Währungsunion gelöst werden?," Otto-Wolff-Institut Discussion Paper Series 01/2006, Otto-Wolff-Institut für Wirtschaftsordnung, Köln, Deutschland.
• Mauro Mastrogiacomo & R.P. Berben & K. Bernoth, 2006. "Households' response to wealth changes; do gains or losses make a difference," CPB Discussion Paper 63, CPB Netherlands Bureau for Economic Policy Analysis.
• Bertrand BLANCHETON (CMHE-IFReDE-GRES) & Samuel MAVEYRAUD-TRICOIRE (Université Bordeaux IV), 2006. "The indicators of international financial integration: A set of convergent measures (In French)," Cahiers du GRES (2002-2009) 2006-13, Groupement de Recherches Economiques et Sociales.
• Item repec:dgr:uvatin:20060015 is not listed on IDEAS anymore

• Guonan Ma, 2006. "Who Pays China’s Bank Restructuring Bill?," Working Papers 2006-04, CEPII research center.
• Item repec:dgr:kubtil:20067 is not listed on IDEAS anymore

• Item repec:fra:franaf:163 is not listed on IDEAS anymore

• Jacob Bikker & Laura Spierdijk & Roy Hoevenaars & Pieter Jelle van der Sluis, 2006. "Forecasting Market Impact Costs and Identifying Expensive Trades," DNB Working Papers 095, Netherlands Central Bank, Research Department.
• Peter Wilson & Henry Ng Shang Ren, 2006. "Managing Exchange Rate Volatility: A Comparative Counterfactual Analysis of Singapore 1994 to 2003," SCAPE Policy Research Working Paper Series 0608, National University of Singapore, Department of Economics, SCAPE.
• Michael B. Devereux & Makoto Saito, 2006. "A Portfolio Theory of International Capital Flows," The Institute for International Integration Studies Discussion Paper Series iiisdp124, IIIS.
• Item repec:pse:psecon:2006-10 is not listed on IDEAS anymore

• Maćkowiak, Bartosz, 2006. "External shocks, US monetary policy and macroeconomic fluctuations in merging markets," SFB 649 Discussion Papers 2006-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Jan Willem van den End, 2006. "Indicator and boundaries of financial stability," DNB Working Papers 097, Netherlands Central Bank, Research Department.
• Ricardo J. Caballero & Takeo Hoshi & Anil K. Kashyap, 2006. "Zombie Lending and Depressed Restructuring in Japan," NBER Working Papers 12129, National Bureau of Economic Research, Inc.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Discussion Paper Series 2006_6, Department of Economics, Loughborough University, revised Mar 2006.
• Raj Aggarwal & Brian M. Lucey & Sunil K. Mohanty, 2006. "The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests," The Institute for International Integration Studies Discussion Paper Series iiisdp123, IIIS.
• Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS.
• Corsetti, Giancarlo, 2006. "Openness and the Case for Flexible Exchange Rates," CEPR Discussion Papers 5612, C.E.P.R. Discussion Papers.
• J.H. Dreze & E. Minelli & M. Tirelli, 2006. "Production and Financial Policies under Asymmetric Information," Working Papers ubs0608, University of Brescia, Department of Economics.
• Item repec:idb:wpaper:1020 is not listed on IDEAS anymore

• R. Anton Braun & Max Gillman, 2006. "Banking in General Equilibrium with an Application to Japan," CIRJE F-Series CIRJE-F-412, CIRJE, Faculty of Economics, University of Tokyo.
• Arnoud W.A. Boot & Radhakrishnan Gopaian & Anjan V. Thakor, 2006. "Market Liquidity, Investor Participation and Managerial Autonomy: Why do Firms go Private?," Tinbergen Institute Discussion Papers 06-011/2, Tinbergen Institute.
• Philippe Bacchetta & Eric van Wincoop, 2005. "Incomplete Information Processing: A Solution to the Forward Discount Puzzle," Working Papers 05.03, Swiss National Bank, Study Center Gerzensee.
• Clemens Sialm, 2006. "Investment Taxes and Equity Returns," NBER Working Papers 12146, National Bureau of Economic Research, Inc.
• Christopher F. Baum & Mustafa Caglayan, 2006. "On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty," Boston College Working Papers in Economics 641, Boston College Department of Economics, revised 06 Feb 2008.
• John Y. Campbell, 2006. "Household Finance," NBER Working Papers 12149, National Bureau of Economic Research, Inc.
• Item repec:pas:camaaa:2006-12 is not listed on IDEAS anymore

• Takatoshi Ito & Kiyotaka Sato, 2006. "Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through," Discussion papers 06018, Research Institute of Economy, Trade and Industry (RIETI).
• Ricardo J. Caballero & Arvind Krishnamurthy, 2006. "Flight to Quality and Collective Risk Management," NBER Working Papers 12136, National Bureau of Economic Research, Inc.
• Paolo Panteghini, 2006. "The Capital Structure of Multinational Companies Under Tax Competition," Working Papers ubs0606, University of Brescia, Department of Economics.
• Philip R. Lane & Gian Maria Milesi-Ferretti, 2006. "The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities,1970–2004," The Institute for International Integration Studies Discussion Paper Series iiisdp126, IIIS.
• Li Gan & Qinghua Zhang, 2006. "The Thick Market Effect on Housing Markets Transactions," NBER Working Papers 12134, National Bureau of Economic Research, Inc.
• Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal asset allocation based on utility maximization in the presence of market frictions," "Marco Fanno" Working Papers 0012, Dipartimento di Scienze Economiche "Marco Fanno".
• Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc.
• Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal Asset Allocation Based on Utility Maximization in the Presence of Market Frictions," Working Papers ubs0605, University of Brescia, Department of Economics.
• Yoshiyasu Ono & Akihisa Shibata, 2006. "Capital Income Taxation and Specialization Patterns: Investment Tax vs. Saving Tax," KIER Working Papers 613, Kyoto University, Institute of Economic Research.
• Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
• Enrico Minelli & Salvatore Modica, 2006. "Credit Market Failures and Policy," Working Papers ubs0607, University of Brescia, Department of Economics.
• Robert Engle & Robert Ferstenberg, 2006. "Execution Risk," NBER Working Papers 12165, National Bureau of Economic Research, Inc.
• Michel Lelart, 2002. "La diversité au cœur de la finance : la finance informelle," Post-Print halshs-00009840, HAL.
• Jay C. Shambaugh & Julian di Giovanni, 2006. "The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime," The Institute for International Integration Studies Discussion Paper Series iiisdp116, IIIS.
• Quoreshi, Shahiduzzaman, 2006. "A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data," Umeå Economic Studies 674, Umeå University, Department of Economics.
• Maćkowiak, Bartosz, 2006. "Macroeconomic regime switches and speculative attacks," SFB 649 Discussion Papers 2006-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Muellbauer, John & Murphy, Anthony & Cameron, Gavin, 2006. "Was There a British House Price Bubble? Evidence from a Regional Panel," CEPR Discussion Papers 5619, C.E.P.R. Discussion Papers.
• Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, University of Gothenburg, Department of Economics.
• Roberto Casarin & Carmine Trecroci, 2006. "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers ubs0603, University of Brescia, Department of Economics.
• Francois-Éric Racicot & Raymond Théoret, 2006. "La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)," RePAd Working Paper Series UQO-DSA-wp052006, Département des sciences administratives, UQO.
• Quoreshi, Shahiduzzaman, 2006. "Time Series Modelling Of High Frequency Stock Transaction Data," Umeå Economic Studies 675, Umeå University, Department of Economics.
• Item repec:col:001043:002451 is not listed on IDEAS anymore

• Item repec:hal:papers:halshs-00009839_v1 is not listed on IDEAS anymore

• Eugene N. White, 2006. "Bubbles and Busts: The 1990s in the Mirror of the 1920s," NBER Working Papers 12138, National Bureau of Economic Research, Inc.
• Item repec:col:001043:002457 is not listed on IDEAS anymore

• Item repec:col:001043:002449 is not listed on IDEAS anymore

• Eiji Ogawa & Michiru Sakane, 2006. "The Chinese Yuan after the Chinese Exchange Rate System Reform," Discussion papers 06019, Research Institute of Economy, Trade and Industry (RIETI).
• Sebastian Edwards, 2006. "The Relationship Between Exchange Rates and Inflation Targeting Revisited," NBER Working Papers 12163, National Bureau of Economic Research, Inc.
• Ravi Jagannathan & Ann E. Sherman, 2006. "Why Do IPO Auctions Fail?," NBER Working Papers 12151, National Bureau of Economic Research, Inc.
• Michel Lelart, 2005. "La Zone Euro et la monnaie unique face à l'élargissement de l'Union Européenne," Post-Print halshs-00009842, HAL.
• Item repec:hal:papers:halshs-00009841_v1 is not listed on IDEAS anymore

• Michel Lelart, 2005. "Le micro-crédit, un contrat social ?," Post-Print halshs-00009930, HAL.
• Guillaume Gaulier & Amina Lahrèche-Révil & Isabelle Méjean, 2006. "Exchange-Rate Pass-Trough at the Product Level," Working Papers 2006-02, CEPII research center.
• Elke Holst & Mechthild Schrooten, 2006. "Migration and Money - What Determines Remittances?: Evidence from Germany," Discussion Papers of DIW Berlin 566, DIW Berlin, German Institute for Economic Research.
• Donald Lien & David A. Hennessy, 2005. "Evaluating the Saskatchewan Short-Term Hog Loan Program," Center for Agricultural and Rural Development (CARD) Publications 05-wp385, Center for Agricultural and Rural Development (CARD) at Iowa State University.
• Item repec:col:001043:002461 is not listed on IDEAS anymore

• Item repec:idb:wpaper:1019 is not listed on IDEAS anymore

• Orazio Attanasio & Laura Blow & Robert Hamilton & Andrew Leicester, 2005. "Booms and busts: consumption, house prices and expectations," IFS Working Papers W05/24, Institute for Fiscal Studies.
• Sebastian Edwards, 2006. "The U.S. Current Account Deficit: Gradual Correction or Abrupt Adjustment?," NBER Working Papers 12154, National Bureau of Economic Research, Inc.
• Item repec:ias:fpaper:05-bp44 is not listed on IDEAS anymore

• Chad E. Hart & Bruce A. Babcock, 2005. "Loan Deficiency Payments versus Countercyclical Payments: Do We Need Both for a Price Safety Net?," Center for Agricultural and Rural Development (CARD) Publications 05-bp44, Center for Agricultural and Rural Development (CARD) at Iowa State University.