Report NEP-FMK-2006-05-20

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:

• Evan Gatev & Til Schuermann & Philip E. Strahan, 2006. "Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions," NBER Working Papers 12234, National Bureau of Economic Research, Inc.
• D. Johannes Juttner & David Chung & Wayne Leung, 2004. "Emerging Market Bond Returns – An Investor Perspective," Research Papers 0406, Macquarie University, Department of Economics.
• Edwin M. Truman & Anna Wong, 2006. "The Case for an International Reserve Diversification Standard," Working Paper Series WP06-2, Peterson Institute for International Economics.
• Martha A. Starr & Rasim Yilmaz, 2006. "Bank Runs in Emerging-Market Economies: Evidence from Turkey’s Special Finance Houses," Working Papers 2006-08, American University, Department of Economics.
• Schmeling, Maik, 2006. "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Hannover Economic Papers (HEP) dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP) dp-335, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Item repec:dgr:rugccs:2006/02 is not listed on IDEAS anymore

• Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research 83, National Bank of Belgium.
• Item repec:ver:wpaper:25 is not listed on IDEAS anymore

• Nora Lado & Anna Torres & Oscar Licandro, 2006. "Changes in the Importance of Bank Attributes Provoked by a Financial Crisis: A Dynamic Analysis of the Uruguayan Case," Economics Working Papers ECO2006/4, European University Institute.
• Rachel Reeves & Michael Sawicki, 2005. "Do financial markets react to Bank of England communication?," Discussion Papers 15, Monetary Policy Committee Unit, Bank of England.
• D. Johannes Juttner & Wayne Leung, 2004. "Towards Decoding Currency Volatilities," Research Papers 0405, Macquarie University, Department of Economics.
• Michael B. Devereux & Charles Engel, 2006. "Expectations and Exchange Rate Policy," NBER Working Papers 12213, National Bureau of Economic Research, Inc.
• Huyen Nguyen-Thi-Thanh, 2006. "Quantitative selection of hedge funds using data envelopment analysis," Post-Print halshs-00067742, HAL.
• D. Johannes Juttner & Wayne Leung, 2004. "Currency hedging of global portfolios - a closer examination of some of the ingredients," Research Papers 0411, Macquarie University, Department of Economics.
• Fernandes, José L. B., 2006. "Risk premium: insights over the threshold," DEE - Working Papers. Business Economics. WB wb062808, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
• Sebastian Edwards, 2006. "Monetary Unions, External Shocks and Economic Performance: A Latin American Perspective," NBER Working Papers 12229, National Bureau of Economic Research, Inc.
• Francis A. Longstaff & Arvind Rajan, 2006. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," NBER Working Papers 12210, National Bureau of Economic Research, Inc.
• Vinicius Carrasco & João Manoel Pinho de Mello, 2006. "A relational theory of relationship lending under contractual incompleteness," Textos para discussão 520, Department of Economics PUC-Rio (Brazil), revised Jan 2000.
• Douglas A. Hershey & Kène Henkens & Hendrik P. van Dalen, 2006. "Mapping the Minds of Retirement Planners," Tinbergen Institute Discussion Papers 06-038/1, Tinbergen Institute.
• Robert A. Blecker, 2006. "The Economic Consequences of Dollar Appreciation for US Manufacturing Investment: A Time-Series Analysis," Working Papers 2006-07, American University, Department of Economics.
• Bagnoli, Mark & Watts, Susan G., 2006. "Financial Reporting and Supplemental Voluntary Disclosures," Purdue University Economics Working Papers 1186, Purdue University, Department of Economics.
• J. David Cummins & Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2006. "Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities," Cahiers de recherche 0616, CIRPEE.
• Christian Leuz & Karl V. Lins & Francis E. Warnock, 2006. "Do Foreigners Invest Less in Poorly Governed Firms?," NBER Working Papers 12222, National Bureau of Economic Research, Inc.
• Item repec:ver:wpaper:24 is not listed on IDEAS anymore

• Item repec:ver:wpaper:21 is not listed on IDEAS anymore

• Fang Cai & Francis E. Warnock, 2006. "International Diversification at Home and Abroad," NBER Working Papers 12220, National Bureau of Economic Research, Inc.
• Pierpaolo Benigno, 2006. "Are Valuation Effects Desirable from a Global Perspective?," NBER Working Papers 12219, National Bureau of Economic Research, Inc.
• Bagnoli, Mark & Clement, Michael & Watts, Susan G., 2005. "Around-the-Clock Media Coverage and the Timing of Earnings Announcements," Purdue University Economics Working Papers 1184, Purdue University, Department of Economics.
• Michael B. Devereux & Charles Engel, 2006. "Expenditure Switching vs. Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy," NBER Working Papers 12215, National Bureau of Economic Research, Inc.
• Mehtap Kesriyeli & Erdal Ozmen & Serkan Yigit, 2005. "Corporate Sector Debt Composition and Exchange Rate Balance Sheet Effect in Turkey," ERC Working Papers 0507, ERC - Economic Research Center, Middle East Technical University, revised Nov 2005.
• Viviana Fernandez, 2006. "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," NBER Working Papers 12233, National Bureau of Economic Research, Inc.
• Norberg, Peter, 2006. "From Passive Aristocracy to Ethical Activity: Self-regulation in the Swedish Financial Market," SSE/EFI Working Paper Series in Business Administration 2006:4, Stockholm School of Economics, revised 04 Jan 2008.
• Item repec:cep:stiecm:/2006/501 is not listed on IDEAS anymore

• Trond Borgersen & Dag Einar Sommervoll & Tom Wennemo, 2006. "Endogenous Housing Market Cycles," Discussion Papers 458, Statistics Norway, Research Department.
• Vinicius Carrasco & Gustavo Manso, 2006. "Syndication and Robust Collusion in Financial Markets," Textos para discussão 522, Department of Economics PUC-Rio (Brazil).
• Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute.
• Emilie Laffiteau & Jean-Marc Montaud, 2006. "Choix d’un régime monétaire et pauvreté des ménages : l’exemple du currency board argentin," Documents de travail 128, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
• Alberto Humala, 2006. "Depreciation expectations and interest rate differentials: Are there regime switches? The Peruvian case," Working Papers 2006-002, Banco Central de Reserva del Perú.
• Item repec:hal:papers:halshs-00068384_v1 is not listed on IDEAS anymore

• Vinicius Carrasco & João Manoel Pinho de Mello, 2006. "Relationship lending: Is it Incentives or hidden information?," Textos para discussão 519, Department of Economics PUC-Rio (Brazil).
• Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne.
• Arnaud Féral, 2006. "Merger Control With Transfers from the Capital Gains Tax and Asset Divestments," THEMA Working Papers 2006-05, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
• Charles Engel & Akito Matsumoto, 2006. "Portfolio Choice in a Monetary Open-Economy DSGE Model," NBER Working Papers 12214, National Bureau of Economic Research, Inc.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Hagem, Cathrine & Westskog, Hege, 2006. "Distributional constraints and efficiency in a tradable permit market," Memorandum 09/2006, Oslo University, Department of Economics.
• Reich, Denis & Kliebenstein, James, 2006. "Economics of Breeding, Gestating and Farrowing Hogs in 'Natural Pork' Production; Financial Comparison," Staff General Research Papers Archive 12613, Iowa State University, Department of Economics.
• Item repec:rbp:wpaper:2005-008 is not listed on IDEAS anymore

• Marco Vega & Diego Winkelried, 2006. "¿Cambia la Inflación Cuando los Países Adoptan Metas Explícitas de Inflación?," Working Papers 2006-001, Banco Central de Reserva del Perú.
• Célia Firmin, 2006. "Wage and employment in a finance-led economy," Cahiers de la Maison des Sciences Economiques r06024, Université Panthéon-Sorbonne (Paris 1).
• Christian Keuschnigg & Soren Bo Nielsen, 2006. "Self-Selection and Advice in Venture Capital Finance," University of St. Gallen Department of Economics working paper series 2006 2006-06, Department of Economics, University of St. Gallen.
• Chad Syverson, 2006. "Prices, Spatial Competition, and Heterogenous Producers: An Empirical Test," NBER Working Papers 12231, National Bureau of Economic Research, Inc.
• Elke Holst & Mechthild Schrooten, 2006. "Sending Money Abroad – What Determines Migrants’ Remittances?," Discussion Papers 009, Europa-Universität Flensburg, International Institute of Management.
• Bagnoli, Mark & Watts, Susan G. & Zhang, Yong, 2005. "Reg FD and the Competitiveness of All-Star Analysts," Purdue University Economics Working Papers 1185, Purdue University, Department of Economics.
• Carlos Cortinhas, 2006. "Asymmetry of Shocks and Convergence in Selected Asean Countries: A Dynamic Analysis," NIPE Working Papers 3/2006, NIPE - Universidade do Minho.
• Rodrigo M. Zeidan & Marcelo Resende, 2006. "Accounting and Economic Rates of Return: a Dynamic Econometric Investigation," Economics Working Papers ECO2006/7, European University Institute.
• Barry Eichengreen & Poonam Gupta & Ashoka Mody, 2006. "Sudden Stops and IMF-Supported Programs," NBER Working Papers 12235, National Bureau of Economic Research, Inc.
• Martha A. Starr, 2006. "Macroeconomic dimensions of social economics: Saving, the stock market, and pension systems," Working Papers 2006-09, American University, Department of Economics.
• Item repec:col:001035:002495 is not listed on IDEAS anymore

• Frode Brevik & Manfred Gärtner, 2006. "Macroeconomic effects of banking secrecy when tax evasion is endogenous," University of St. Gallen Department of Economics working paper series 2006 2006-10, Department of Economics, University of St. Gallen.
• Item repec:col:001035:002494 is not listed on IDEAS anymore

• Mark Grinblatt & Matti Keloharju, 2006. "Sensation Seeking, Overconfidence, and Trading Activity," NBER Working Papers 12223, National Bureau of Economic Research, Inc.
• Marco LiCalzi & Paolo Pellizzari, 2006. "The allocative effectiveness of market protocols under intelligent trading," Working Papers 134, Department of Applied Mathematics, Università Ca' Foscari Venezia.
• Item repec:col:001035:002492 is not listed on IDEAS anymore

• Item repec:ver:wpaper:29 is not listed on IDEAS anymore

• Item repec:ver:wpaper:28 is not listed on IDEAS anymore

• An Chen & Michael Suchanecki, 2006. "Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities," Bonn Econ Discussion Papers bgse8_2006, University of Bonn, Germany.
• Murat G. Kirdar, 2005. "Return Migration and Saving Behavior of Foreign Workers in Germany," ERC Working Papers 0506, ERC - Economic Research Center, Middle East Technical University, revised Nov 2005.
• Dimitrios Christelis & Tullio Jappelli & Mario Padula, 2006. "Cognitive Abilities and Portfolio Choice," CSEF Working Papers 157, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Marco Battaglini & Stephen Coate, 2006. "A Dynamic Theory of Public Spending, Taxation and Debt," NajEcon Working Paper Reviews 321307000000000026, www.najecon.org.