70 documents matched the search for the 2006-07-15 issue of the NEP report on Financial Markets (nep-fmk), currently edited by Kwang Soo Cheong.
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Entry of Foreign Banks and their Impact on Host Countries,
Maria Lehner and Monika Schnitzer,
from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich
(2006)
Keywords: foreign bank entry; multinational bank; competition in banking; spillover effects
On Seller Estimates and Buyer Returns,
Alex Gershkov and Flavio Toxvaerd,
from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich
(2006)
Keywords: Auctions; information disclosure; seller manipulation; buyer credulity
The Rates and Revenue of Bank Transaction Taxes,
Jorge Baca-Campodónico, Luiz de Mello and Andrei Kirilenko,
from OECD Publishing
(2006)
Keywords: bank debit tax, bank transaction tax, impôt sur les retraits bancaires, impôts sur les transactions bancaires, productivité des impôts, tax productivity
Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models,
François-Éric Racicot, Raymond Théoret and Alain Coen,
from Département des sciences administratives, UQO
(2006)
Keywords: Realized volatility, Ultra High Frequency GARCH, time deformation, financial markets, Daily VaR.
Financial Autonomy of the European Union after Enlargement,
Maciej Cieslukowski and Rui Alves,
from Universidade do Porto, Faculdade de Economia do Porto
(2006)
Keywords: EU budget, own resources, financial autonomy
Sovereign Risk Premiums in the European Government Bond Market,
Kerstin Bernoth, Juergen von Hagen and Ludger Schuknecht,
from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich
(2006)
Keywords: asset pricing; determination of interest rates; fiscal policy; government debt
How the ECB and the US Fed Set Interest Rates,
Ansgar Belke and Thorsten Polleit,
from Department of Economics, University of Hohenheim, Germany
(2006)
Observable Reputation Trading,
Hendrik Hakenes and Martin Peitz,
from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich
(2006)
Keywords: Reputation; ownership change; intangible assets; theory of the firm.
The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator?,
Johann Burgstaller,
from Department of Economics, Johannes Kepler University Linz, Austria
(2006)
Keywords: Interest rate spreads; business cycles; financial accelerator; impulse response analysis
Can Perpetual Learning Explain the Forward Premium Puzzle?,
George Evans and Avik Chakraborty,
from University of Oregon Economics Department
(2006)
Keywords: Learning, exchange rates, forward premium.
Who gets private equity? The role of debt capacity, growth and intangible assets,
K. Baeyens and Sophie Manigart,
from Vlerick Leuven Gent Management School
(2006)
Keywords: financing choice, private equity
Willingness to Pay for Road Safety and Estimates of the Risk of Death: Evidence from a Swedish Contingent Valuation Study,
Henrik Andersson,
from Swedish National Road & Transport Research Institute (VTI)
(2006)
Keywords: age; background risk; contingent valuation; health status; willingness to pay; risk perception; road safety
Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity,
Csaba Csávás and Szilárd Erhart,
from Magyar Nemzeti Bank (Central Bank of Hungary)
(2005)
Keywords: Market liquidity, financial markets, bid-ask spread, market turnover.
Comparing Value-at-Risk Methodologies,
Luiz Lima and Breno Pinheiro Néri,
from Society for Computational Economics
(2006)
Keywords: ARCH Quantile Value-at-Risk
Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises,
Emine Boz,
from Society for Computational Economics
(2006)
Keywords: financial crises, emerging markets, informational frictions, learning
New Evidence on the Puzzles: Monetary Policy and Exchange Rates,
Almuth Scholl and Harald Uhlig,
from Society for Computational Economics
(2006)
Keywords: vector autoregressions, agnostic identification, forward discount bias puzzle, exchange rate puzzle, monetary policy
Are Indexed Bonds a Remedy for Sudden Stops?,
C. Bora Durdu,
from Society for Computational Economics
(2006)
Keywords: Indexed Bonds, Degree of Indexation
Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?,
Yunus Aksoy and Kurmaş Akdoğan,
from Society for Computational Economics
(2006)
Keywords: monetary model, exchange rates, nonlinear adjustment, real time, unit roots, forecasting
The Coordination Channel of Foreign Exchange Intervention,
Stefan Reitz and Mark Taylor,
from Society for Computational Economics
(2006)
Keywords: foreign exchange intervention, market microstructure, nonlinear mean reversion
Asset pricing with adaptive learning,
Eva Carceles-Poveda and Chryssi Giannitsarou,
from Society for Computational Economics
(2006)
Keywords: Asset pricing, adaptive learning, excess returns, predictability.
The Triple-Parity Law,
Jean-Christian Lambelet and Alexander Mihailov,
from Society for Computational Economics
(2006)
Keywords: nominal uncovered interest rate parity, relative purchasing power parity, real interest rate parity, international arbitrage, economic laws, OECD countries
Optimal Monetary Policy when Agents are Learning,
Krisztina Molnar and Sergio Santoro,
from Society for Computational Economics
(2006)
Keywords: Optimal Monetary Policy, Learning, Rational Expectations
Monetary Policy and the Illusionary Exchange Rate Puzzle,
Hilde C. Bjørnland,
from Society for Computational Economics
(2006)
Keywords: Dornbusch overshooting, VAR, monetary policy, exchange rate puzzle, identification.
Estimation of Precautionary Demand by Financial Anxieties,
Y. Morita, Md. J. Rahman and S. Miyagawa,
from Society for Computational Economics
(2006)
Keywords: financial anxieties, precautionary demand, cointegration, EGARCH
Exploring the International Linkages of the Euro Area: a Global VAR Analysis,
Stephane Dees, Filippo di Mauro, Mohammad Pesaran and L. Vanessa Smith,
from Society for Computational Economics
(2006)
Keywords: Global VAR (GVAR), Global interdependencies, global macroeconomic modeling, impulse responses
Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974,
Adrian Peralta-Alva and Sami Alpanda,
from Society for Computational Economics
(2006)
Keywords: Stock Market, Energy Prices, Tobin's q
The discounted economic stock of money with VAR forecasting,
William Barnett, Unja Chae and John Keating,
from Society for Computational Economics
(2006)
Keywords: Monetary aggregation, discounted economic capital stock, VAR, robustness, capital asset pricing
Rational Inattention, Portfolio Choice, and the Equity Premium,
Yulei Luo,
from Society for Computational Economics
(2006)
Keywords: Rational Inattention, Portfolio Choice, and the Equity Premium
The External Finance Premium and the Macroeconomy: US post-WWII Evidence,
Ferre De Graeve,
from Society for Computational Economics
(2006)
Keywords: financial accelerator, external finance premium, DSGE model, Bayesian estimation
Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model,
Pau Rabanal,
from Society for Computational Economics
(2006)
Keywords: Real Exchange Rates, Bayesian Estimation, Model Comparison
The predictive power of the present value model of stock prices,
Geraldine Ryan,
from Society for Computational Economics
(2006)
Keywords: Present Value Model of Stock Prices, Nonlinear Unit Root Tests, Nonlinear Cointegration Tests, ESTAR- EGARCH model, Long Horizon Predictability Tests
Macroeconomic Models and the Yield Curve,
Jagjit Chadha and Sean Holly,
from Society for Computational Economics
(2006)
Keywords: macroeconomic models, yield curve
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis,
Carl Chiarella, Roberto Dieci and Xuezhong (Tony) He,
from Society for Computational Economics
(2006)
Keywords: Mean variance analysis, heterogeneous beliefs, aggregation, asset pricing
Mathematical methods of market risk valuation in application to Russian stock market,
Andrey M. Boyarshinov,
from Society for Computational Economics
(2006)
An approximate consumption function,
Mario Padula and Università di Salerno,
from Society for Computational Economics
(2006)
Keywords: Consumption, Precautionary Saving, Buffer Stock
Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations,
J. Huston McCulloch and Ohio State University,
from Society for Computational Economics
(2006)
Keywords: Local Scale Model, Adaptive Learning, IGARCH, State-Space Model, Stock volatility
Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market,
Daxue Wang,
from Society for Computational Economics
(2006)
Keywords: Cross-Autocorrelation, Segmented Stock Markets, Dual-Listed Stocks, Market-Wide and Portfolio-Specific Information.
Testing Financial Integration: Finite Sample Motivated Mothods,
Marie-Claude Beaulieu, Lynda Khalaf and Marie-Hélène Gagnon,
from Society for Computational Economics
(2006)
Keywords: market integration, finite sample methods
Modeling the strategic trading of electricity assets,
Fernando Oliveira, Derek W. Bunn and London Business School,
from Society for Computational Economics
(2006)
Keywords: Competitive advantage, computational learning, auctions, asset trading, simulation, electricity markets
Secular Trends in U.S Saving and Consumption,
Kaiji Chen, Ayse Imrohoroglu and Selahattin Imrohoroglu,
from Society for Computational Economics
(2006)
Keywords: Consumption, Saving
Monetary regime choice in the accession countries - a theoretical analysis,
Anna Lipinska,
from Society for Computational Economics
(2006)
Keywords: monetary regime choice, real exchange rate dynamics, accession economies
Technological Transfers, Limited Commitment and Growth,
Alexandre Dmitriev,
from Society for Computational Economics
(2006)
Keywords: Incentive compatibility, technological diffusion, international capital flows, default risk, numerical algorithm.
Learning, structural instability and present value calculations,
Mohammad Pesaran, Davide Pettenuzzo and Allan Timmermann,
from Society for Computational Economics
(2006)
Keywords: present value, stock prices, structural breaks, Bayesian learning
Monetary Policy with Heterogeneous Agents and Credit Constraints,
Yann Algan and Xavier Ragot,
from Society for Computational Economics
(2006)
Keywords: monetary policy, Credit constraints, Welfare
Assessing the structural VAR approach to exchange rate pass-through,
Ida Wolden Bache,
from Society for Computational Economics
(2006)
Complete Markets, Enforcement Constraints and Intermediation,
Arpad Abraham and Eva Carceles-Poveda,
from Society for Computational Economics
(2006)
Keywords: Complete markets, Enforcement Constraints, Intermediation
Asset Prices and asset Correlations in Illiquid Markets,
Celso Brunetti and Alessio Caldarera,
from Society for Computational Economics
(2006)
Keywords: Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM
Pricing problems of perpetual Bermudan options,
Yoshifumi Muroi and Takashi Yamada,
from Society for Computational Economics
(2006)
Keywords: perpetual Bermudan options, optimal stopping problems, linear complementarity problem, PSOR algorithm, linear programming methods, interior point methods
The emergence of knowledge exchange: an agent-based model of a software market,
Maria Chli and Philippe De Wilde,
from Society for Computational Economics
(2006)
Keywords: Agent-based Computational Economics, adaptive behaviour, knowledge sharing, market efficiency
Bank Profitability and Taxation,
Ugo Albertazzi and Leonardo Gambacorta,
from Society for Computational Economics
(2006)
Keywords: Tax-Shifting, Corporate Income Tax, Bank Profitability
Learning to Forecast the Exchange Rate: Two Competing Approaches,
Paul De Grauwe and Agnieszka Markiewicz,
from Society for Computational Economics
(2006)
Keywords: Exchange Rate Economics, Adaptive Learning, Behavioral Finance
A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function,
George Monokroussos,
from Society for Computational Economics
(2006)
Keywords: Reserves, Federal Funds Rate, Open Market Operations, Open Market Desk, Censored Models, Data Augmentation, Markov Chain Monte Carlo, Gibbs Sampling, Time-Varying Parameter Models
Currency Predictions for Multi-Currency Instruments,
Baldur P. Magnusson,
from Society for Computational Economics
(2006)
Keywords: Currency Forecasting, Neural Networks, Brownian Motion
Comparative study of central decision makers versus groups of evolved agents trading in equity markets,
Cyril Schoreels and Jonathan M. Garibaldi,
from Society for Computational Economics
(2006)
Keywords: Agents, Decision Making, Equity Market Trading, Genetic Algorithms, Technical Indicators
Exchange-Rate-Based Stabilization, Durables Consumption, and Stylized Facts,
Manoj Atolia and Edward F. Buffie,
from Society for Computational Economics
(2006)
Keywords: Inflation, Exchange-Rate-Based-Stabilization, Durables
Financial Market Imperfections: Does it Matter for Firm Size Dynamics?,
Kim Huynh and Robert Petrunia,
from Society for Computational Economics
(2006)
Keywords: Firm Dynamics, Leverage, Dynamic Panel Data
The Independent Monetary Policy under the Fixed Exchange Regime,
Gang Gong and Jian Gao,
from Society for Computational Economics
(2006)
Asset price volatilities and trading volumes in heterogeneous agent economies,
Costas Xiouros,
from Society for Computational Economics
(2006)
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis,
Andrea Cipollini and George Kapetanios,
from Society for Computational Economics
(2006)
Keywords: Financial Contagion, Dynamic Factor Model, Stochastic Simulation
Forecasting stock prices using Genetic Programming and Chance Discovery,
Alma Lilia Garcia-Almanza and Edward P.K. Tsang,
from Society for Computational Economics
(2006)
Keywords: Forecasting, Chance discovery, Genetic programming, machine learning
Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets,
Natasha Todorovic and Bhavesh Gokani,
from Society for Computational Economics
(2006)
Keywords: PCA, Logit model, value/growth and small/large style rotation
On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics,
Elena Kalotychou and Ana-Maria Fuertes,
from Society for Computational Economics
(2006)
Keywords: Sovereign credit risk; Rating transitions, Markov chain, Time heterogeneity, Rating momentum, Duration dependence.
Evaluating the Success of Malaysia’s Exchange Controls (1998-99),
S. M. Abbas,
from Queen Elizabeth House, University of Oxford
The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building,
Jesus Ferreyra Gugliermino and Jorge Salas,
from Banco Central de Reserva del Perú
(2006)
Keywords: Equilibrium Real Exchange Rate, BEER Models, Cointegration, Structural Break, Bootstrap
Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies,
Jose Eduardo de A. Ferreira,
from School of Economics, University of Kent
(2006)
Keywords: Foreign Exchange; Fundamentals; Panel Data; Unit Roots; Assets
The Political Economy of Corruption and the Role of Financial Institutions,
Kira Boerner and Christa Hainz,
from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich
(2006)
Keywords: Corruption; Financial Markets; Institutions; Development; Voting
Financial development in Latin America: big emerging issues, limited policy answers,
Augusto de la Torre, Juan Carlos Gozzi and Sergio Schmukler,
from The World Bank
(2006)
Keywords: Financial Economics,Economic Theory&Research,Financial Intermediation,Macroeconomic Management,Markets and Market Access
Household financial assets in the process of development,
Patrick Honohan,
from The World Bank
(2006)
Keywords: Economic Theory&Research,Banks&Banking Reform,Investment and Investment Climate,Financial Intermediation,Settlement of Investment Disputes
On the financial sustainability of earnings-related pension schemes with"pay-as-you-go"financing and the role of government indexed bonds,
David Robalino and Andras Bodor,
from The World Bank
(2006)
Keywords: Economic Theory&Research,Technology Industry,Pensions&Retirement Systems,Economic Growth,Population Policies
Financial Deregulation and Industrial Development: Subsequent Impact on Economic Growth in the Czech Republic, Hungary and Poland,
Patricia McGrath,
from William Davidson Institute at the University of Michigan
(2006)
Keywords: Transition Economies, Industrial Development, Financial Deregulation, Economic Growth, Eastern Europe
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