Report NEP-FMK-2006-09-30

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:

• Ursel Baumann & Glenn Hoggarth & Darren Pain, 2005. "The substitution of bank for non-bank corporate finance: evidence for the United Kingdom," Bank of England working papers 274, Bank of England.
• Misa Tanaka & Glenn Hoggarth, 2006. "Resolving banking crises - an analysis of policy options," Bank of England working papers 293, Bank of England.
• Alexei Goriaev & Alexei Zabotkin, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Working Papers w0077, Center for Economic and Financial Research (CEFIR).
• David Aikman & Matthias Paustian, 2006. "Bank capital, asset prices and monetary policy," Bank of England working papers 305, Bank of England.
• Lea Zicchino, 2005. "A model of bank capital, lending and the macroeconomy: Basel I versus Basel II," Bank of England working papers 270, Bank of England.
• Suzan Hol, 2006. "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers 469, Statistics Norway, Research Department.
• Item repec:cfs:cfswop:wp2000617 is not listed on IDEAS anymore

• Misa Tanaka, 2005. "Bank loans versus bond finance: implications for sovereign debtors," Bank of England working papers 267, Bank of England.
• Schwarzbauer, Wolfgang, 2006. "Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe. A Time-varying Interest Rate Pass-through Model," Economics Series 191, Institute for Advanced Studies.
• Mark J Manning & Matthew Willison, 2006. "Modelling the cross-border use of collateral in payment systems," Bank of England working papers 286, Bank of England.
• Luigi Guiso & Tullio Jappelli, 2006. "Information Acquisition and Portfolio Performance," CSEF Working Papers 167, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Prasanna Gai & Peter Kondor & Nicholas Vause, 2006. "Procyclicality, collateral values and financial stability," Bank of England working papers 304, Bank of England.
• Winston T.H. Koh & Edward H.K. Ng, 2005. "Investing in Real Estate: Mortgage Financing Practices and Optimal Holding Period," Working Papers 03-2005, Singapore Management University, School of Economics.
• Brännäs, Kurt & Soultanaeva, Albina, 2006. "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," Umeå Economic Studies 696, Umeå University, Department of Economics.
• Item repec:cfs:cfswop:wp2000619 is not listed on IDEAS anymore

• Jan Kakes, 2006. "Financial behaviour of Dutch pension funds: a disaggregated approach," DNB Working Papers 108, Netherlands Central Bank, Research Department.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004. "Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore," Working Papers 02-2005, Singapore Management University, School of Economics, revised Jan 2005.
• Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2005. "Overconfidence and Market Efficiency with Heterogeneous Agents," Carlo Alberto Notebooks 11, Collegio Carlo Alberto.
• Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
• Rivaud-Danset, Dorothée & Oheix, Valérie, 2005. "Do corporate financial patterns in European countries converge and testitfy for disintermediation?," MPRA Paper 40, University Library of Munich, Germany.
• Roberto S. Mariano & Delano Villanueva, 2005. "Sustainable External Debt Levels: Estimates for Selected Asian Countries," Working Papers 07-2005, Singapore Management University, School of Economics.
• Giulio PALOMBA, 2006. "Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis," Working Papers 267, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Fulgencio López Martínez & José Yagüe & Pedro Martínez Solano, 2006. "Titulización De Activos: Efectos Sobre El Valor De Las Entidades Bancarias," Working Papers. Serie EC 2006-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
• H.J. Roelfsema, 2006. "Why are Federal Central Banks more Activist?," Working Papers 06-06, Utrecht School of Economics.
• Anna Zalewska, 2006. "Is Locking Domestic Funds into the Local Market Beneficial? Evidence from the Polish Pension Reforms," The Centre for Market and Public Organisation 06/153, The Centre for Market and Public Organisation, University of Bristol, UK.
• Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2006. "Ambiguity in Asset Markets: Theory and Experiment," Carlo Alberto Notebooks 27, Collegio Carlo Alberto, revised 2009.
• Item repec:sbs:wpsefe:2006fe9 is not listed on IDEAS anymore

• Igor Livshits & James MacGee & Michele Tertilt, 2006. "Accounting for the Rise in Consumer Bankruptcies," University of Western Ontario, Economic Policy Research Institute Working Papers 20066, University of Western Ontario, Economic Policy Research Institute.
• Spyros Pagratis, 2005. "Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?," Bank of England working papers 265, Bank of England.
• Jason Allen & Walter Engert & Ying Liu, 2006. "Are Canadian Banks Efficient? A Canada--U.S. Comparison," Staff Working Papers 06-33, Bank of Canada.
• Francis Nathan Okurut, 2006. "Access to credit by the poor in South Africa: Evidence from Household Survey Data 1995 and 2000," Working Papers 13/2006, Stellenbosch University, Department of Economics.
• Bjørn-Andersen, Niels, 2006. "Impact Of It In The Danish Banking Industry, With Specific Illustrations From The Nordea Group And Lån & Spar Bank," Working Papers 2004-4, Copenhagen Business School, Department of Informatics.
• Item repec:dgr:kubcen:200683 is not listed on IDEAS anymore

• Schclarek, Alfredo, 2006. "Industry Diversification, Financial Development and Productivity-Enhancing Investments," Working Papers 2006:19, Lund University, Department of Economics.
• Orla May & Merxe Tudela, 2005. "When is mortgage indebtedness a financial burden to British households? A dynamic probit approach," Bank of England working papers 277, Bank of England.
• Item repec:diw:diwwpp:dp624 is not listed on IDEAS anymore

• David Laidler, 2006. "Monetary Cooperation in the North American Economy," University of Western Ontario, Economic Policy Research Institute Working Papers 20064, University of Western Ontario, Economic Policy Research Institute.
• Christian Hellwig & Guido Lorenzoni, 2006. "Bubbles and Self-enforcing Debt," Levine's Bibliography 321307000000000383, UCLA Department of Economics.
• Tan Kim Song & Khor Hoe Ee, 2005. "China’s Changing Economic Structures and Its Implications for Regional Patterns of Trade Production and Integration," Working Papers 23-2005, Singapore Management University, School of Economics.
• Alessandro Fedele, 2006. "Joint Liability Lending in Microcredit Markets with Adverse Selection: a Survey," Working Papers 20060901, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Sep 2006.
• Xia Su, 2006. "Hedging Basket Options by Using a Subset of Underlying Assets," Bonn Econ Discussion Papers bgse14_2006, University of Bonn, Germany.
• Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Statistics Norway, Research Department.
• Prasanna Gai & Nicholas Vause, 2005. "Measuring investors' risk appetite," Bank of England working papers 283, Bank of England.
• Katie Farrant & Gert Peersman, 2005. "Accounting for the source of exchange rate movements: new evidence," Bank of England working papers 269, Bank of England.
• Post, Erik, 2006. "Foreign exchange market interventions as monetary policy," Working Paper Series 2006:21, Uppsala University, Department of Economics.
• Kenneth Kasa & Todd B. Walker & Charles H. Whiteman, 2006. "Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders," CAEPR Working Papers 2006-010, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Severin Borenstein, 2006. "Customer Risk from Real-Time Retail Electricity Pricing: Bill Volatility and Hedgability," NBER Working Papers 12524, National Bureau of Economic Research, Inc.
• Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
• Mulraine, Millan L. B., 2006. "Real Exchange Rate Dynamics With Endogenous Distribution Costs," MPRA Paper 9, University Library of Munich, Germany.
• Andrea Buffa & Giovanna Nicodano, 2006. "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Carlo Alberto Notebooks 16, Collegio Carlo Alberto.
• Bastiaan Verhoef, 2006. "Pricing-to-market, sectoral shocks and gains from monetary cooperation," DNB Working Papers 110, Netherlands Central Bank, Research Department.
• Nizar Allouch & Cuong Le Van & Frank H. Page, 2006. "Arbitrage and equilibrium in unbounded exchange economies with satiation," Post-Print halshs-00096040, HAL.
• Philip Bunn & Kamakshya Trivedi, 2005. "Corporate expenditures and pension contributions: evidence from UK company accounts," Bank of England working papers 276, Bank of England.
• Laura Alfaro & Areendam Chanda & Sebnem Kalemli-Ozcan & Selin Sayek, 2006. "How Does Foreign Direct Investment Promote Economic Growth? Exploring the Effects of Financial Markets on Linkages," NBER Working Papers 12522, National Bureau of Economic Research, Inc.
• Stephen Millard & Matthew Willison, 2006. "The welfare benefits of stable and efficient payment systems," Bank of England working papers 301, Bank of England.
• Guerrero, Carlos & Urzúa, Carlos M., 2006. "Reflexiones sobre la política cambiaria en México," EGAP Working Papers 2006-06, Tecnológico de Monterrey, Campus Ciudad de México.
• Andrew Benito & Haroon Mumtaz, 2006. "Consumption excess sensitivity, liquidity constraints and the collateral role of housing," Bank of England working papers 306, Bank of England.
• Kamakshya Trivedi & Garry Young, 2006. "Defined benefit company pensions and corporate valuations: simulation and empirical evidence from the United Kingdom," Bank of England working papers 289, Bank of England.
• Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.
• Xavier De Scheemaekere, 2006. "The epistemology of modern finance," Working Papers CEB 06-017.RS, ULB -- Universite Libre de Bruxelles.
• Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
• Todd B. Walker, 2006. "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," CAEPR Working Papers 2006-011, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Item repec:cfs:cfswop:wp2000615 is not listed on IDEAS anymore

• Bertram Düring & Michel Fournié & Ansgar Jüngel, 2001. "High order compact finite difference schemes for a nonlinear Black-Scholes equation," CoFE Discussion Paper 01-07, Center of Finance and Econometrics, University of Konstanz.
• Froukelien Wendt, 2006. "Intraday Margining of Central Counterparties: EU Practice and a Theoretical Evaluation of Benefits and Costs," DNB Working Papers 107, Netherlands Central Bank, Research Department.
• Willison, Robert, 2005. "Understanding the Offender/Environment Dynamic for Computer Crimes," Working Papers 2005-4, Copenhagen Business School, Department of Informatics.
• Jean-François Ponsot, 2005. "Stratégie monétaire des économies émergentes : les écueils de la dollarisation," Post-Print halshs-00098285, HAL.
• Hlávka, Zdeněk & Peésta, Michal, 2006. "Constrained general regression in pseudo-Sobolev spaces with application to option pricing," SFB 649 Discussion Papers 2006-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Torstein Bye & Annegrete Bruvoll & Finn Roar Aune, 2006. "The importance of volatility in inflow in a deregulated hydro-dominated power market," Discussion Papers 472, Statistics Norway, Research Department.
• Brishti Guha, 2005. "Honesty and Intermediation: Corporate Cheating, Auditor Involvement and the Implications for Development," Working Papers 18-2005, Singapore Management University, School of Economics.
• Tatyana Chesnokova & Kala Krishna, 2006. "Skill Acquisition, Credit Constraints, and Trade," NBER Working Papers 12411, National Bureau of Economic Research, Inc.
• Andrew Benito, 2006. "How does the down-payment constraint affect the UK housing market?," Bank of England working papers 294, Bank of England.
• Jacob Bikker & Jan de Dreu, 2006. "Pension fund efficiency: the impact of scale, governance and plan design," DNB Working Papers 109, Netherlands Central Bank, Research Department.
• Suzan Hol & Nico van der Wijst, 2006. "The financing structure of non-listed firms," Discussion Papers 468, Statistics Norway, Research Department.
• Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc.
• Andersson, Henrik, 2006. "Willingness to Pay for Car Safety: Evidence from Sweden," Working Papers 2006:7, Swedish National Road & Transport Research Institute (VTI).
• Ronald Bosman & Frans van Winden, 2006. "Global Risk, Investment, and Emotions," DNB Working Papers 112, Netherlands Central Bank, Research Department.
• Pamela Kaval & John Loomis & Dave Theobald, 2006. "Investigating the Relationship between Stakeholder Opinion about Wildfire Management and Landscape Context Using GIS," Working Papers in Economics 06/09, University of Waikato.
• Mahnke, Volker & Overby, Mikkel Lucas, 2006. "Managing Risk and Synergies R&D-Collaborations," Working Papers 2004-16, Copenhagen Business School, Department of Informatics.
• Alessandro Fedele & Federica Calidoni Lundberg, 2006. "Technology Replaces Culture in Microcredit Markets: the Case of Italian MAGs," Working Papers 20060902, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Sep 2006.
• Giovanni Mastrobuoni & Wioletta Dziuda, 2005. "The Euro Changeover and its Effects on Price Transparency and Inflation," Carlo Alberto Notebooks 26, Collegio Carlo Alberto, revised 2006.
• Rey, Patrick & Tirole, Jean, 2007. "Financing and Access in Cooperatives," IDEI Working Papers 404, Institut d'Économie Industrielle (IDEI), Toulouse.
• Leo de Haan & Hubert Schokker & Anastassia Tcherneva, 2006. "What do current account reversals in OECD countries tell us about the US case?," DNB Working Papers 111, Netherlands Central Bank, Research Department.
• Céline Gondat-Larralde & Erlend Nier, 2006. "Switching costs in the market for personal current accounts: some evidence for the United Kingdom," Bank of England working papers 292, Bank of England.
• Rob Alessie & Thomas Crossley & Vincent Hildebrand, 2006. "Estimating a collective household model with survey data on financial satisfaction," IFS Working Papers W06/19, Institute for Fiscal Studies.