New Economics Papers
on Financial Markets
Issue of 2006‒03‒05
ninety-six papers chosen by
Carolina Valiente
  1. Toward an Effective Supervision of Partially Dollarized Banking Systems By Antonio Garcia Pascual; Jorge Cayazzo; Socorro Heysen; Eva Gutierrez
  2. Monitoring and Commitment in Bank Lending Behavior By Rodolphe Blavy
  3. FIRST: A Market-Based Approach to Evaluate Financial System Risk and Stability By Renzo G. Avesani
  4. Financial Dollarization in Latin America By Robert Rennhack; Masahiro Nozaki
  5. Regulatory Capture in Banking By Daniel C. Hardy
  6. Financial Globalization and Fiscal Perfomance in Emerging Markets By David Hauner; Manmohan S. Kumar
  7. Fiscal Policy and Financial Markets By Thomas Stratmann; Bernardin Akitoby
  8. International Reserves: Precautionary vs. Mercantilist Views, Theory, and Evidence By Jaewoo Lee; Joshua Aizenman
  9. Debt Maturity, Risk, and Asymmetric Information By Marco Espinosa-Vega; Allen N. Berger; W. Scott Frame; Nathan H. Miller
  10. Financial Sector Projections and Stress Testing in Financial Programming: A New Framework By Antonio Garcia Pascual; Ritu Basu; Nada Choueiri
  11. The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability By Toni Gravelle; Jorge A. Chan-Lau
  12. Financial Sector Conditionality: Is Tougher Better? By Alessandro Giustiniani; Roger P. Kronenberg
  13. Foreign Banks in Poor Countries: Theory and Evidence By Thierry Tressel; Enrica Detragiache; Poonam Gupta
  14. Assessing Debt Sustainability in Emerging Market Economies Using Stochastic Simulation Methods By Philippe D Karam; Doug Hostland
  15. Boom-Bust Cycles in Housing: The Changing Role of Financial Structure By Calvin Schnure
  16. Fiscal Policy and Financial Development By David Hauner
  17. Estimating Markov Transition Matrices Using Proportions Data: An Application to Credit Risk By Matthew T. Jones
  18. Does Economic Diversification Lead to Financial Development? Evidence from Topography By Rodney Ramcharan
  19. Introducing financial Management Information Systems in Developing Countries By Pokar Khemani; Jack Diamond
  20. Pricing and Hedging of Contingent Credit Lines By Salih N. Neftci; Elena Loukoianova; Sunil Sharma
  21. Strengthening IMF Crisis Prevention By Jonathan David Ostry; Jeromin Zettelmeyer
  22. Pricing the Credit Risk of Secured Debt and Financial Leasing By Marco Realdon
  23. Pricing Growth-Indexed Bonds By Marcos Chamon; Paolo Mauro
  24. Sectoral Balance Sheet Mismatches and Macroeconomic Vulnerabilities in Colombia, 1996-2003 By Johannes Wiegand; Juan Manuel Lima; Enrique Montes; Carlos Varela
  25. Estimating China's "Equilibrium" Real Exchange Rate By Steven Vincent Dunaway; Xiangming Li
  26. American in the Shadows: Harry Dexter White and the Design of the International Monetary Fund By James M. Boughton
  27. Remittances, Financial Development, and Growth By Paola Giuliano; Marta Ruiz-Arranz
  28. Wealth Effects in Europe: A Tale of Two Countries (Italy and the United Kingdom) By Sònia Muñoz
  29. A model of bank capital, lending and the macro economy: Basel I versus Basel II By Lea Zicchino
  30. A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates By Tamim A. Bayoumi; Hamid Faruqee; Jaewoo Lee
  31. How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa By Marcel Peter; Martín Grandes
  32. Bank ownership type and banking relationships By Zaidi, Rida; Martinez Peria, Maria Soledad; Klapper, Leora F.; Berger, Allen N.
  33. Interpreting Real Exchange Rate Movements in Transition Countries By Mark de Broeck; Torsten Sløk
  34. The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime By Julian di Giovanni; Jay C. Shambaugh
  35. Mean and variance causality between the Cyprus Stock Exchange and major equity markets By Georgios Kouretas; Eleni Constantinou; Robert Georgiades; Avo Kazandjian
  36. Inflation and Financial Depth By Bruce D. Smith; Mohsin S. Khan; A. Senhadji Semlali
  37. Seasonalities in China's Stock Markets: Cultural or Structural? By Li L. Ong; Jason D. Mitchell
  38. Market Oganization and the prices of financial Assets By Professor George M Constantinides
  39. Bank Efficiency and Competition in Low-Income Countries: The Case of Uganda By David Hauner; Shanaka J. Peiris
  40. Identifying "Problem Banks" in the German Co-operative and Savings Bank Sector: An Econometric Analysis By Klaus Schaeck; Simon Wolfe
  41. Momentum Profits in Alternative Stock Market Structures By Patricia Chelley-Steeley; Antonios Siganos
  42. Macroeconomic Shocks and Central Bank Disclosure Policy: Is increased Transparency Necessarily Beneficial? By Phillip Lawler; Jonathan James
  43. La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI. By Jérôme Héricourt; Julien Reynaud
  44. The Global Impact of Demographic Change By Nicoletta Batini; Tim Callen; Warwick J. McKibbin
  45. The asymmetric effect of the business cycle on the relation between stock market returns and their volatility By Peter N Smith; S Sorensen; M R Wickens
  46. Real Exchange Rates in Growing Economies: How Strong Is the Role of the Nontradables Sector? By Ken Miyajima
  47. Valuing Volatility Spillovers By George Milunovich; Susan Thorp
  48. Capital Account Liberalization, Capital Flow Patterns, and Policy Responses in the EU's New Member States By Zsófia Árvai
  49. Credit Market Development, Asset Prices and Business Cycle By Caterina Mendicino
  50. The Stock-Flow Approach to the Real Exchange Rate of CEE Transition Economies: By Kirsten Lommatzsch; Balazs Egert; Amina Lahreche-Revil
  51. Incentives in universal banks By Ugo Albertazzi
  52. The Impact of Explicit Deposit Insurance on Market Discipline By Vasso Ioannidou; Jan de Dreu
  53. Habit Formation and Persistence in Individual Asset Portfolio Holdings: The Case of Italy By Sònia Muñoz
  54. The French Pension Trust Fund: Can it cope with the Expected Financial Unsustainability of the PAYG Pension System? By Anne Lavigne; Charlie Berger
  55. Households' Response to Wealth Changes: Do Gains or Losses make a Difference? By Robert Paul Berben; Kerstin Bernoth; Mauro Mastrogiacomo
  56. The Shapley decomposition for portfolio risk By Stéphane Mussard; Virginie Terraza
  57. Bank Ownership and Lending Behavior By Micco, Alejandro; Panizza, Ugo
  58. The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability By Thomas Nitschka
  59. Optimal research in financial markets with heterogeneous private information; a rational expectations model By Katrin Tinn
  60. Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go? By Massimiliano De Santis
  61. Robbing the Riches: Capital Flight, Institutions, and Instability By Meenakshi Rishi; Valerie Cerra; Sweta Chaman Saxena
  62. The Foregone Gains of Incomplete Portfolios By Monica Paiella
  63. Non-Linear Properties of Currency Crises in Emerging Markets By Bettina Becker; Stephan G Hall
  64. The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks By Dennis P. J. Botman; Cees G. H. Diks
  65. The Empirics of Foreign Exchange Intervention in Emerging Market Countries The Cases of Mexico and Turkey By Roberto Guimaraes; Cem Karacadag
  66. Les fonds de pension protègent-ils les investisseurs des évolutions du marché? By Fabrice Hervé
  67. The Feasibility of a Fixed Exchange Rate Regime for New EU-members Evidence from Real Exchange Rates By Clemens J M Kool; Tom Van Veen; Bertrand Chandelon; Katharina Raabe
  68. Stylized Facts on Bilateral Trade and Currency Unions: Implications for Africa By Charalambos G. Tsangarides; Pierre Ewenczyk; Michal Hulej
  69. Cycles And Banking Crisis By Ioannis Lazopoulos
  70. Australian Banking Efficiency and its Relation to Stock Returns By Joshua Kirkwood; Daehoon Nahm
  71. The Rise and Fall of Cooperative Credit in Colonial Burma By Sean Turnell
  72. Futures Maturity and Hedging Effectiveness - The Case of Oil Futures By Ronald Ripple; Imad Moosa
  73. The Political Economy of Financial Liberalisation By Anja Shortland; Sourafel Girma
  74. Efficiency of European Banking - Inequality and Integration By Marina Tomova
  75. Informal Credit Markets, Judicial Costs and Consumer Credit: Evidence from Firm Level Data By Charles Grant; Mario Padula
  76. Volatility, spillover Effects and Correlations in US and Major European Markets By Christos Savva; Denise R Osborn; Len Gill
  77. The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets By Mario Cerrato; Neil Kellard; Nicholas Sarantis
  78. New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market By Kleopatra Nikolaou; Lucio Sarno
  79. Risk management for pension funds By Francesco Menoncin
  80. Credit Frictions, Housing Prices and Optimal Monetary Policy Rules By Andrea Pescatori; Caterino Mendicino
  81. Multiple banking Relationships and Over-Leverage in Italian Manufacturing Firms By Valentina Meliciani; Stefania Cosci
  82. Beyond Purchasing Power Parity: Nominal exchange rates, output shocks and non linear/asymmetric equilibrium adjustment in Central Europe By Michael Arghyrou; Virginie Boinet; Christopher Martin
  83. Optimal real exchange rate targeting: a stochastic analysis By Francesco Menoncin; Marco Tronzano
  84. Multiple breaks in lending rate pass-through A cross country study for the euro area By Gianluca Di Lorenzo; Giuseppe Marotta
  85. The Evolution of International Political Risk 1956-2001 By Radu Tunaru; Ephraim Clark
  86. Risk management for an internationally diversified portfolio By Francesco Menoncin
  87. Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account By Theo Panagiotidis; Mark J Holmes
  88. The risk premium for equity: implications for resource allocation, welfare and policy By Simon Grant; John Quiggin
  89. Determinants of profitability of domestic UK commercial banks: panel evidence from the period 1995-2002 By Sailesh Tanna; Kyriaki Kosmidou; Fotios Pasiouras
  90. Bulgaria ' s institutions and policies : integrating into Pan-European markets By Kaminski, Bartlomiej
  91. Liability Rules under Evidentiary Uncertainty By Claude Fluet
  92. Bank Ownership and Performance Does Politics Matter? By Micco, Alejandro; Panizza, Ugo; Yañez, Monica
  93. Dynamics of Equity Markets Integration in Europe: Evidence of Change with Events and over Time By Cal Muckley; Raj Aggarwal; Brian Lucey
  94. Option pricing and spikes in volatility: theoretical and empirical analysis By Paola Zerilli
  95. Mutual Fund Performance: Skill Or Luck? By Dirk Nitzsche; Keith Cuthbertson; Niall O'Sullivan
  96. How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP By Georgios Chortareas; George Kapetanios
  1. By: Antonio Garcia Pascual; Jorge Cayazzo; Socorro Heysen; Eva Gutierrez
    Keywords: Bank supervision , Financial stability , Exchange risk , Risk premium , Dollarization , Banking systems , Credit , Liquidity ,
    Date: 2006–02–08
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/32&r=fmk
  2. By: Rodolphe Blavy
    Keywords: Banking , Bank credit , Bank supervision ,
    Date: 2005–12–13
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/222&r=fmk
  3. By: Renzo G. Avesani
    Keywords: Risk premium , Markets , Credit , Financial institutions , Financial stability , Global financial stability report , Financial systems ,
    Date: 2005–12–22
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/232&r=fmk
  4. By: Robert Rennhack; Masahiro Nozaki
    Keywords: Dollarization , Latin America , Monetary policy , Credit , Flexible exchange rates , Exchange rate depreciation ,
    Date: 2006–01–19
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/7&r=fmk
  5. By: Daniel C. Hardy
    Keywords: Banking , Bank regulations , Capital , Competition ,
    Date: 2006–02–08
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/34&r=fmk
  6. By: David Hauner; Manmohan S. Kumar
    Keywords: Emerging markets , Fiscal reforms , Fiscal management , Globalization , Interest rate differential , Financial stability ,
    Date: 2005–11–28
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/212&r=fmk
  7. By: Thomas Stratmann; Bernardin Akitoby
    Keywords: Fiscal policy , Risk premium , Bond markets , Emerging markets , Financial systems , Government expenditures , Revenues ,
    Date: 2006–01–30
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/16&r=fmk
  8. By: Jaewoo Lee; Joshua Aizenman
    Keywords: Foreign exchange reserves , Financial crisis , Demand , Capital account , Economic models ,
    Date: 2005–10–27
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/198&r=fmk
  9. By: Marco Espinosa-Vega; Allen N. Berger; W. Scott Frame; Nathan H. Miller
    Keywords: Debt , Risk premium , Banks , Credit , Economic models ,
    Date: 2005–10–27
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/201&r=fmk
  10. By: Antonio Garcia Pascual; Ritu Basu; Nada Choueiri
    Keywords: Financial sector , Financial programs , Financial institutions , Exchange rate policy surveillance , Fund ,
    Date: 2006–02–08
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/33&r=fmk
  11. By: Toni Gravelle; Jorge A. Chan-Lau
    Keywords: Risk premium , Korea, Republic of , Malaysia , Thailand , Credit , Financial sector ,
    Date: 2005–12–22
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/231&r=fmk
  12. By: Alessandro Giustiniani; Roger P. Kronenberg
    Keywords: Conditionality , Fund , Financial sector ,
    Date: 2005–12–21
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/230&r=fmk
  13. By: Thierry Tressel; Enrica Detragiache; Poonam Gupta
    Keywords: Financial sector , Development , Banks , Low income developing countries , Economic models ,
    Date: 2006–01–31
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/18&r=fmk
  14. By: Philippe D Karam; Doug Hostland
    Keywords: Debt , Emerging markets , Risk premium , Fiscal policy , Fiscal management , Capital flows , Economic models ,
    Date: 2005–12–20
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/226&r=fmk
  15. By: Calvin Schnure
    Keywords: Financial sector , Financial stability ,
    Date: 2005–10–27
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/200&r=fmk
  16. By: David Hauner
    Date: 2006–02–02
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/26&r=fmk
  17. By: Matthew T. Jones
    Keywords: Credit , United States , Risk premium , Loans , Data analysis ,
    Date: 2005–12–06
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/219&r=fmk
  18. By: Rodney Ramcharan
    Keywords: Financial sector , Financial systems , Development , Economic growth ,
    Date: 2006–02–09
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/35&r=fmk
  19. By: Pokar Khemani; Jack Diamond
    Keywords: Financial systems , Developing countries , Government expenditures ,
    Date: 2005–10–20
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/196&r=fmk
  20. By: Salih N. Neftci; Elena Loukoianova; Sunil Sharma
    Keywords: Contingent credit lines , Banking , Capital markets , Economic models ,
    Date: 2006–01–24
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/13&r=fmk
  21. By: Jonathan David Ostry; Jeromin Zettelmeyer
    Keywords: Fund , Crisis prevention , Exchange rate policy surveillance ,
    Date: 2005–11–08
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/206&r=fmk
  22. By: Marco Realdon
    Abstract: This paper presents closed form solutions to price secured bank loans and financial leases subject to default risk. Secured debt fair credit spreads always increase in the debtor's default probability, whereas financial leasing fair credit spreads may well decrease in the lessee's default probability and even be negative. The reason is that the lessor, unlike the secured lender, can gain from the lessee's default, especially when the leasing contract envisages initial prepayments or the lessee's terminal options to either purchase the leased asset or to extend the lease maturity. This result, which critically depends on contractual and bankruptcy code provisions, can explain some of the empirical evidence and the use of financial leases as an alternative to secured bank lending to finance small, risky and relatively opaque firms.
    Keywords: default risk, secured debt, debt valuation, collateral asset, leasing valuation, leasing options
    JEL: G13 G33
    Date: 2005–11
    URL: http://d.repec.org/n?u=RePEc:yor:yorken:06/06&r=fmk
  23. By: Marcos Chamon; Paolo Mauro
    Keywords: Emerging markets , Bonds , Pricing policy ,
    Date: 2005–12–02
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/216&r=fmk
  24. By: Johannes Wiegand; Juan Manuel Lima; Enrique Montes; Carlos Varela
    Keywords: Risk premium , Colombia , Data analysis , Financial systems , Public debt ,
    Date: 2006–01–19
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/5&r=fmk
  25. By: Steven Vincent Dunaway; Xiangming Li
    Date: 2005–11–02
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/202&r=fmk
  26. By: James M. Boughton
    Keywords: Fund , International monetary system , White, Harry Dexter , Exchange rate regimes , Capital controls , Capital flows ,
    Date: 2006–01–19
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/6&r=fmk
  27. By: Paola Giuliano; Marta Ruiz-Arranz
    Keywords: Workers remittances , Financial systems , Economic growth , Investment ,
    Date: 2005–12–23
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/234&r=fmk
  28. By: Sònia Muñoz
    Keywords: Income distribution , Italy , United Kingdom , Financial assets , Asset ratio , Capital markets , Economic models ,
    Date: 2006–02–06
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/30&r=fmk
  29. By: Lea Zicchino (Bank of England)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:88&r=fmk
  30. By: Tamim A. Bayoumi; Hamid Faruqee; Jaewoo Lee
    Keywords: Exchange rates , Economic models ,
    Date: 2005–12–21
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/229&r=fmk
  31. By: Marcel Peter; Martín Grandes
    Date: 2005–12–02
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/217&r=fmk
  32. By: Zaidi, Rida; Martinez Peria, Maria Soledad; Klapper, Leora F.; Berger, Allen N.
    Abstract: The authors formulate and test hypotheses about the role of bank ownership types-foreign, state-owned, and private domestic banks-in banking relationships, using data from India. The empirical results are consistent with all of their hypotheses with regard to foreign banks. These banks tend to serve as the main bank for transparent firms, and firms with foreign main banks are most likely to have multiple banking relationships, have the most relationships, and diversify relationships across bank ownership types. The data are also consistent with the hypothesis that firms with state-owned main banks are relatively unlikely to diversify across bank ownership types. However, state-owned banks often do not provide the main relationship for firms they are mandated to serve (for example, small, opaque firms), and the predictions of negative effects on multiple banking and number of relationships hold for only one type of state-owned bank.
    Keywords: Banks & Banking Reform,Financial Intermediation,Financial Crisis Management & Restructuring,Banking Law,Economic Theory & Research
    Date: 2006–03–01
    URL: http://d.repec.org/n?u=RePEc:wbk:wbrwps:3862&r=fmk
  33. By: Mark de Broeck; Torsten Sløk
    Abstract: Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA.
    Keywords: Real effective exchange rates , Transition economies ,
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:01/56&r=fmk
  34. By: Julian di Giovanni; Jay C. Shambaugh
    Keywords: Exchange rate regimes , Interest rates , Economic growth , Monetary policy , Economic models ,
    Date: 2006–02–10
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/37&r=fmk
  35. By: Georgios Kouretas (University of Crete); Eleni Constantinou (The Philips College Cyprus); Robert Georgiades (The Philips College Cyprus); Avo Kazandjian (The Philips College Cyprus)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:24&r=fmk
  36. By: Bruce D. Smith; Mohsin S. Khan; A. Senhadji Semlali
    Abstract: Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA.
    Keywords: Inflation , Markets , Economic models ,
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:01/44&r=fmk
  37. By: Li L. Ong; Jason D. Mitchell
    Date: 2006–01–19
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/04&r=fmk
  38. By: Professor George M Constantinides (University of Chicago)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:49&r=fmk
  39. By: David Hauner; Shanaka J. Peiris
    Date: 2006–01–09
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/240&r=fmk
  40. By: Klaus Schaeck (University of Southampton); Simon Wolfe
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:44&r=fmk
  41. By: Patricia Chelley-Steeley (Aston Business School); Antonios Siganos (University of Glasgow)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:63&r=fmk
  42. By: Phillip Lawler (University of Wales, Swansea); Jonathan James (University of Wales, Swansea)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:27&r=fmk
  43. By: Jérôme Héricourt (CES-TEAM); Julien Reynaud (CES-TEAM)
    Abstract: This article empirically investigates the failure of the Exchange Rate-Based Stabilisation Program started in Turkey in January 2000, under the IMF supervision. For that purpose, a Vectorial Error Correction Model integrating an uncovered interest rate parity modeling short term deviations is estimated. We use an unusual daily database to take into account the everyday commitment of monetary authorities for the crawling exchange rate. The results show the inability of the central bank to sustain the program, despite its seeming flexibility. Indeed, the monetary instrument apparently left to the central bank, namely the monetary base, was actually mainly market-determined.
    Keywords: Exchange rate crisis, monetary policy, exchange rate-based stabilization program, Turkey, VECM.
    JEL: E42 E52 F31
    Date: 2006–01
    URL: http://d.repec.org/n?u=RePEc:mse:wpsorb:bla06009&r=fmk
  44. By: Nicoletta Batini; Tim Callen; Warwick J. McKibbin
    Keywords: Capital flows , Japan , United States , Aging , Population , Savings , Investment , Economic models ,
    Date: 2006–01–19
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/9&r=fmk
  45. By: Peter N Smith (University of York); S Sorensen (University of York); M R Wickens (University of York)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:47&r=fmk
  46. By: Ken Miyajima
    Keywords: Real effective exchange rates , Economic growth , Productivity , Accounting ,
    Date: 2005–12–22
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/233&r=fmk
  47. By: George Milunovich (Department of Economics, Macquarie University); Susan Thorp (School of Finance and Economics, University of Technology, Sydney)
    Abstract: We measure the reduction in realized portfolio risk that can be achieved by allowing for volatility spillover in forecasts of equity covariance. The conditional second moment matrix of equity returns for pairs of major European equity markets is estimated via two asymmetric dynamic conditional correlation models (A-DCC): the unrestricted model includes volatility spillover e¤ects and the restricted model does not. Data are daily returns on the London, Frankfurt and Paris equity market price indices synchronized at London 16:00 time. Covariance forecasts from the restricted and unrestricted models are combined with assumed expected returns to compute e¢ cient three-asset portfolios (two equity indices and the risk-free asset). The impact of expected return choice on out-of-sample portfolio e¢ ciency is minimized via the polar co-ordinates method of Engel and Colacito (2004), which allows expected equity returns to span all relatives. Out-of-sample realized portfolio returns and variances from e¢ cient portfolios are computed and tested. Allowing for volatility spillover e¤ects produces small, statistically signi.cant reductions in portfolio risk. Portfolio standard deviations for the unrestricted model are at most one per cent smaller than standard deviations for restricted models. Significant risk reductions persist across daily, weekly, and monthly rebalancing horizons. Tests for second degree stochastic dominance indicate that realized returns from portfolios based on the volatility spillover model would be preferred by risk averse agents.
    Date: 2005–05
    URL: http://d.repec.org/n?u=RePEc:mac:wpaper:0506&r=fmk
  48. By: Zsófia Árvai
    Keywords: Capital flows , European Union , Capital account liberalization ,
    Date: 2005–11–30
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/213&r=fmk
  49. By: Caterina Mendicino (Stockholm School of Economics)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:74&r=fmk
  50. By: Kirsten Lommatzsch (German Institute of Economic Research); Balazs Egert (University of Paris); Amina Lahreche-Revil
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:14&r=fmk
  51. By: Ugo Albertazzi (Bank of Italy, Economic Research Department)
    Abstract: This paper studies the provision of incentives in a universal bank. This is regarded as a (common) agent serving different clients with potentially conflicting interests; for example, it may buy assets on behalf of investors and sell assets on behalf of issuing firms. The clients offer incentive schemes to the bank and they behave non-cooperatively. The bank decides a level of effort and, when firewalls are absent, a level of collusion, modelled as a costly and unproductive redistribution of wealth among the clients. The main conclusion is that in the absence of firewalls the equilibrium incentive schemes are steeper. This means that the level of effort is higher and may compensate the (ex post) inefficiency of collusion. Moreover, this is shown not to hold in the presence of one naive player who does not recognize the existence of the conflict of interest. The model allows to draw conclusions about the desirability of firewalls or of softer measures like the imposition of transparency requirements.
    Keywords: Common Agency, Collusion, Conflicts of Interest, Universal Banks
    JEL: G21 G24 G28
    Date: 2006–01
    URL: http://d.repec.org/n?u=RePEc:bdi:wptemi:td_572_06&r=fmk
  52. By: Vasso Ioannidou; Jan de Dreu
    Abstract: This paper studies the impact of explicit deposit insurance on market discipline in a framework that resembles a natural experiment. We improve upon previous studies by exploiting a unique combination of country-specific circumstances, design features, and data availability that allows us to distinguish between demand and supply effects. We show that deposit insurance causes a significant reduction in market discipline. We also show that the effect of deposit insurance depends on the coverage rate. When the coverage rate is more than 60 percent, market discipline is significantly reduced and it is completely eliminated when the coverage rate reaches 100 percent. Our results also suggest that most market discipline comes from large depositors and that the introduction of deposit insurance affected mainly those who were already active in imposing discipline. Our findings emphasize the need for binding coverage limits per depositor, high degrees of co- insurance, and "tailor made" deposit insurance systems that preserve the incentives of a critical mass of depositors that are willing and able to perform this function.
    Keywords: Market Discipline; Deposit Insurance; Deposit Insurance Coverage.
    JEL: F30 F41 G14 G21 G28
    Date: 2006–02
    URL: http://d.repec.org/n?u=RePEc:dnb:dnbwpp:089&r=fmk
  53. By: Sònia Muñoz
    Date: 2006–02–06
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/29&r=fmk
  54. By: Anne Lavigne (University of Orleans); Charlie Berger
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:7&r=fmk
  55. By: Robert Paul Berben; Kerstin Bernoth; Mauro Mastrogiacomo
    Abstract: We estimate the excess impact of financial asset capital losses relative to gains on household active savings and durable goods consumption in the Netherlands. The sample period covers both the stock market boom during the 90’s, and the bear period afterwards. The results suggest that households react more to capital losses than to capital gains. Failing to take into account this asymmetry may seriously bias the estimates of the marginal propensity to consume out of wealth.
    Keywords: Household savings; wealth effect; capital gains
    JEL: D12 E21
    Date: 2006–02
    URL: http://d.repec.org/n?u=RePEc:dnb:dnbwpp:090&r=fmk
  56. By: Stéphane Mussard (GREDI, Université de Sherbrooke and GEREM, Université de Perpignan); Virginie Terraza (CREA, University of Luxembourg, Faculty of Law Economics and Finance)
    Abstract: The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified according to risk scales.
    Keywords: Decomposition, Risk, Shapley, Volatility
    JEL: C3 D31 D63 G11
    Date: 2006
    URL: http://d.repec.org/n?u=RePEc:shr:wpaper:06-09&r=fmk
  57. By: Micco, Alejandro; Panizza, Ugo
    Abstract: This paper checks whether state-ownership of banks is correlated with lending behavior over the business cycle and finds that their lending is less responsive to macroeconomic shocks than the lending of private banks.
    Keywords: State-owned banks; Credit Cycle
    JEL: G21 H11 E44
    Date: 2006–02
    URL: http://d.repec.org/n?u=RePEc:uca:ucapdv:61&r=fmk
  58. By: Thomas Nitschka (University of Dortmund)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:22&r=fmk
  59. By: Katrin Tinn (London School of Economics)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:6&r=fmk
  60. By: Massimiliano De Santis (Dartmouth College)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:5&r=fmk
  61. By: Meenakshi Rishi; Valerie Cerra; Sweta Chaman Saxena
    Keywords: Capital outflows , Debt , Development assistance ,
    Date: 2005–10–25
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/199&r=fmk
  62. By: Monica Paiella (Bank of Italy, Research Department)
    Abstract: This paper estimates a lower bound to the foregone gains of incomplete portfolios, which are in turn a lower bound to the (unobserved) entry costs that could rationalize non-participation to financial markets. My estimates provide a heuristic test for the cost-based explanation of limited financial market participation: high estimates would imply implausibly high participation costs. Using the CEX and assuming isoelastic utility and a relative risk aversion of 3 or less, for the stock market I estimate an average lower bound ranging between 0.7 and 3.3 percent of consumption. Since annual total (observable plus unobservable) participation costs are likely to exceed these bounds, the cost-based explanation is not rejected by this test.
    Keywords: intertemporal consumption model, financial market participation, household portfolio allocation, non-proportional cost of participation, near-rationality
    JEL: G11 D12 E21
    Date: 2006–02–01
    URL: http://d.repec.org/n?u=RePEc:sef:csefwp:156&r=fmk
  63. By: Bettina Becker (University of Munich and Birkbeck College); Stephan G Hall (Imperial College Business School London)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:13&r=fmk
  64. By: Dennis P. J. Botman; Cees G. H. Diks
    Date: 2005–11–03
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/205&r=fmk
  65. By: Roberto Guimaraes (International Monetary Fund); Cem Karacadag (International Monetary Fund)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:68&r=fmk
  66. By: Fabrice Hervé (Université de Bourgogne)
    Abstract: (VF)Cet article étudie la performance des fonds de pension individuels britanniques (Individual Personal Pension Scheme). Moskowitz (2000) suggère que les fonds pourraient protéger les investisseurs contre les états défavorables de la nature. C’est pourquoi, nous proposons de mesurer la performance des fonds activement gérés sur les phases du cycle de marché durant la période octobre 1990 – novembre 2004. L’identification des phases (haussières et baissières) du marché des actions anglais s’appuie sur la méthode de Pagan et Sossounov (2003). Nos résultats sont moins prégnants que dans la littérature antérieure sur la performance des fonds mutuels pendant les phases du cycle de marché / cycle économique : les fonds de pension produisent des performances moindres en période de marché haussier et certains fonds protègent les investisseurs en marché baissier.(VA)This article studies the performance of UK individual personal pension scheme. Moskowitz (2000) suggests that mutual funds could protect investors against undesirable states of nature. Therefore, we measure the performance of actively managed pension funds during phases of the stock market cycle over the period October 1990 - November 2004. The identification of the phases (bear and bull) of the stock market relies on Pagan and Sossounov method (2003). Our results are less striking than in previous literature on the performance of mutual funds during phases of the market/business cycle: funds produce inferior performance during bull market and some funds protect investors during bear market.
    Keywords: fonds de pension;performance;cotisations définies;cycle de marché;bull;bear markets
    JEL: G12 G14 G23
    Date: 2006–01
    URL: http://d.repec.org/n?u=RePEc:dij:wpfarg:1060101&r=fmk
  67. By: Clemens J M Kool (University of Utrecht); Tom Van Veen (University of Maastricht); Bertrand Chandelon (University of Maastricht); Katharina Raabe (University of Maastricht)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:20&r=fmk
  68. By: Charalambos G. Tsangarides; Pierre Ewenczyk; Michal Hulej
    Keywords: Bilateral trade , Africa , Monetary unions , Economic models ,
    Date: 2006–02–07
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:06/31&r=fmk
  69. By: Ioannis Lazopoulos (Keele University)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:15&r=fmk
  70. By: Joshua Kirkwood (Reserve Bank of Australia); Daehoon Nahm (Department of Economics, Macquarie University)
    Abstract: This paper considers cost and profit efficiency for Australian banks between 1995 and 2002. Data Envelopment Analysis (DEA) is used to construct an efficient frontier for ten banks listed on the Australian Stock Exchange. Empirical results indicate the major banks have improved their cost and profit efficiency, while the regional banks have experienced little change in cost efficiency, and a decline in profit efficiency. This result provides interesting insights into the structure of the Australian banking industry. Malmquist indices indicate technological change is the dominant source of improvements in total factor productivity over the period. An attempt is made to relate the changes in efficiency to stock returns, using a method superior to that previously adopted. Results indicate that for our sample changes in firm efficiency are reflected in stock returns.
    Keywords: DEA, Banks, Profit Efficiency, Cost Efficiency
    JEL: G14 G21 D24
    Date: 2005–05
    URL: http://d.repec.org/n?u=RePEc:mac:wpaper:0508&r=fmk
  71. By: Sean Turnell (Department of Economics, Macquarie University)
    Abstract: Cooperative credit was the British Empire's all-purpose answer to problems of rural poverty and indebtedness, usury, and land alienation. Originating in the idealism of the 'Rochedale Pioneers' and in schemes from rural Germany, cooperative credit was imported into India with an evangelical zeal to solve all manner of perceived economic and social ills. With only slightly less moral fervour it was transplanted from India into Burma in the first decade of the Twentieth Century, and by 1920 several thousand cooperative credit societies had mushroomed across the country. The purpose of this paper is to trace the development of cooperative credit in Burma from these promising beginnings, until the near collapse of the movement on the eve of the Great Depression. The paper explores the way in which cooperative credit was seen by the imperial authorities as a device to limit the role of Indian money-lenders in Burma, and as the basis for the establishment of formal rural credit markets. The paper concludes that poor implementation, on top of official myopia as to the cultural, historical and economic differences between India, Burma and Europe, brought about the demise of a movement that promised much.
    JEL: Q14 Q13 O16 N25
    Date: 2005–06
    URL: http://d.repec.org/n?u=RePEc:mac:wpaper:0509&r=fmk
  72. By: Ronald Ripple (Department of Economics, Macquarie University); Imad Moosa (Department of Economics and Finance, La Trobe University)
    Abstract: This paper examines the effect of the maturity of the futures contact used as the hedging instrument on the effectiveness of futures hedging. For this purpose, daily and monthly data on the WTI crude oil futures and spot prices are used to work out the hedge ratios and the measures of hedging effectiveness resulting from using the near-month contract and those resulting from the use of a more distant (six-month) contract. The results show that futures hedging is more effective when the near-month contract is used. They also reveal that hedge ratios are lower for near-month hedging. Some explanations are presented for these findings.
    Date: 2005–11
    URL: http://d.repec.org/n?u=RePEc:mac:wpaper:0513&r=fmk
  73. By: Anja Shortland (University of Leicester); Sourafel Girma (University of Nottingham)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:39&r=fmk
  74. By: Marina Tomova (University of National and World Economy)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:89&r=fmk
  75. By: Charles Grant (University of Reading); Mario Padula (University of Salerno and CSEF)
    Abstract: How does the punishment for default affect repayment behavior? We use administrative data provided by the leading Italian lender of unsecured credit to the household sector to investigate the effect of two potentially important factors: judicial efficiency and the availability of informal credit from family and friends. By making economic assumptions we can place upper and lower bounds on these effects. We find that the availability of informal credit reduces repayment, while variation in court enforcement has no significant effect. Moreover, households with access to informal credit are more likely to borrow from our lender
    Keywords: Households Borrowing, Informal Credit Markets, Asymmetric Information
    JEL: D14 K42 O17
    Date: 2006–02–01
    URL: http://d.repec.org/n?u=RePEc:sef:csefwp:155&r=fmk
  76. By: Christos Savva (University of Manchester); Denise R Osborn (University of Manchester); Len Gill (University of Manchester)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:23&r=fmk
  77. By: Mario Cerrato (London Metropolitan University); Neil Kellard (University of Essex); Nicholas Sarantis (London Metropolitan University)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:34&r=fmk
  78. By: Kleopatra Nikolaou (University of Warwick); Lucio Sarno (Centre for Economic Policy Research)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:77&r=fmk
  79. By: Francesco Menoncin
    Abstract: We take into account the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. When both the interest rate and the market price of risk are deterministic, we are able to compute an explicit solution. In a simplified framework we demonstrate that this optimal portfolio is always less risky than the Merton’s (1969-1971) one. In particular, the asset allocation is less and less risky until the pension date while, after retirement of the fund’s member, it becomes riskier and riskier.
    URL: http://d.repec.org/n?u=RePEc:ubs:wpaper:ubs0403&r=fmk
  80. By: Andrea Pescatori (Universitat Pompeu Fabra); Caterino Mendicino (Stockholm School of Economics)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:67&r=fmk
  81. By: Valentina Meliciani (University of Teramo); Stefania Cosci (LUMSA University of Rome)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:87&r=fmk
  82. By: Michael Arghyrou (Cardiff Business School); Virginie Boinet (Brunel Business School); Christopher Martin (Brunel Business School)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:35&r=fmk
  83. By: Francesco Menoncin; Marco Tronzano
    Abstract: This paper extends the literature on real exchange rate targeting inside a stochastic optimization framework where the real exchange rate displays long run mean reversion while temporarily reflecting a “liquidity effect”. When real exchange rate volatility is constant, an active stabilization rule is welfare increasing with respect to non intervention only beyond a given volatility threshold. Moreover, the welfare gains are larger the lower is the degree of mean reversion. Under a stochastic volatility assumption, the policy maker’s intertemporal discount rate has instead a major influence, and real exchange rate targeting is welfare increasing only if the policymaker is sufficiently farsighted.
    URL: http://d.repec.org/n?u=RePEc:ubs:wpaper:ubs0401&r=fmk
  84. By: Gianluca Di Lorenzo; Giuseppe Marotta
    Abstract: A new approach to search for structural breaks in the retail lending rA new approach is proposed for searching multiple unknown breaks, possibly associated with EMU, in the short term business lending rate pass-through. Multiple breaks are detected in five out of nine countries of the euro area. The last break occurs much before the start of EMU for France, several months after that event for Austria, Italy and Germany. Long run pass-throughs decrease (except for France) sizably below one (except for the Netherlands); heterogeneity in the monetary transmission increases across countries. These results raise doubts on claims of a more effective monetary policy under EMU.
    Keywords: Interest rates; Monetary policy; Economic and Monetary Union; Cointegration analysis; Structural breaks
    JEL: E43 E52 E58 F36
    Date: 2006–02
    URL: http://d.repec.org/n?u=RePEc:mod:modena:0602&r=fmk
  85. By: Radu Tunaru (Cass Business School, City University London); Ephraim Clark (Middlesex Business School)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:37&r=fmk
  86. By: Francesco Menoncin
    Abstract: In a simple framework where we have: (i) a stochastic domestic interest rate, (ii) a stochastic exchange rate, (iii) both a domestic and a foreign riskless asset, and (iv) both a domestic and a foreign risky asset, we explicitly compute the optimal asset allocation for an investor who wants to maximize the expected (CRRA) utility of his final wealth. This explicit solution allows us the widely investigate the behaviour of the optimal portfolio hedging component with respect to all the parameters in the model. In particular, we show a numerical simulation for investigating the hedging strategy against the exchange rate risk.
    URL: http://d.repec.org/n?u=RePEc:ubs:wpaper:ubs0404&r=fmk
  87. By: Theo Panagiotidis (Loughborough University); Mark J Holmes (Loughborough University)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:29&r=fmk
  88. By: Simon Grant (Department of Economics, Rice University); John Quiggin (Department of Economics, University of Queensland)
    Abstract: This paper describes experiences in the development and testing of three distinct financial models to support farm forestry decisions involving non-traditional tree species in northern Australia and in the Philippines. A variety of options were examined with respect to model design, yield prediction, computing platform, forestry performance criteria and other features. Two of the models focus on the forestry enterprise in isolation, while the third evaluates forestry within the context of the overall farm business. It is found that choice of model design depends on the particular type of application intended and availability of financial data for this application. Some complementarities were gained in replicating features when progressing from one model to the next. Model construction and testing were challenging tasks requiring considerable funds and for two of the models proceeding over a number of years. Validation involved the gradual gaining of confidence in a model as it progressed through various versions. For the more complex models, greater effort in development of the user interface was found to be warranted. The models have proved more suitable for use by extension agents than individual landholders. Even with major resource inputs into model development, a number of desirable additional features can be identified.
    Keywords: equity premium puzzle, public investment
    JEL: G12 H1
    Date: 2004–08
    URL: http://d.repec.org/n?u=RePEc:rsm:riskun:r04_8&r=fmk
  89. By: Sailesh Tanna (Coventry Business School); Kyriaki Kosmidou (Technical University of Crete and University of Crete); Fotios Pasiouras (Technical University of Crete and Coventry Business School)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:45&r=fmk
  90. By: Kaminski, Bartlomiej
    Abstract: This paper analyzes the process of institutional transformation in Bulgaria and assesses the extent to which it has established institutions and policies fostering domestic economic activity and integration into global markets. After a brief review of characteristics and achieved progress in first-generation reforms, that is, removal of central control over prices, liberalization of foreign trade and exchange rate regimes, the paper first assesses in the comparative perspective the progress made in the quality of governance and structural reforms. It then takes a look at the extent to which this has impacted foreign direct investment inflows and was translated into improved business environment in its domestic and external dimensions. The external dimension relates to backbone services facilitating trade and Bulgaria ' s trade policies. As far as the latter are concerned, the discussion highlights tensions that emerge from duality-regional versus multilateral-in Bulgaria ' s trade policy. Despite significant progress in implementation of structural reforms and converging to the EU acquis communautaire that has led to a significant enhancement in the quality of governance and market supporting institutions, " macro " institutional improvements are yet to be fully transplanted to a micro-level, as three areas appear to remain a binding constraint: First and foremost is the low quality of the judicial system and, by the same token, weaknesses in the enforcement of property rights and contracts. Second, backbone services facilitating trade remain a barrier. Bulgaria ranks low relative to the levels of efficiency achieved on average by both EU-8 and the EU-15 countries in management of ports, information technology infrastructure, and customs. Third, there are recurrent complaints among businesses of government bureaucracy, poor infrastructure, and frequent changes in the legal framework including taxation. As a result, the regulatory burden remains huge. There are still redundant and excessive sector-specific regulatory regimes. Bulgaria ' s markets for industrial goods are fully contestable for pan-Europe (EU-25, European Free Trade Association, Romania, and Turkey), exposing local producers to duty-free competition from imports. With relatively high most favored-nation tariff rates, the level of reverse discrimination significantly increased over the past couple of years. While this has not resulted in perceptible trade diversion, organizational arrangements preventing that to happen unnecessarily increase administrative intervention in the economy.
    Keywords: Governance Indicators,National Governance,Economic Policy, Institutions and Governance,Economic Theory & Research,Financial Crisis Management & Restructuring
    Date: 2006–03–01
    URL: http://d.repec.org/n?u=RePEc:wbk:wbrwps:3864&r=fmk
  91. By: Claude Fluet
    Abstract: I consider the efficiency of liability rules when courts obtain imperfect information about precautionary behavior. I ask what tort rules are consistent with socially efficient precautions, what informational requirements the evidence about the parties' behavior must satisfy, what decision rules courts should apply when faced with imperfectly informative evidence, whether these decision rules can be formulated in terms of the legal concept of standard of proof, and whether some general characterization of the efficient standard can be given. I show that court judgments provide appropriate incentives to exert care if they signal that the party prevailing at trial most likely exerted due care, neither more nor less.
    Keywords: Basket Tort, negligence, moral hazard, imperfect information, standard of proof
    JEL: D8 K4
    Date: 2006
    URL: http://d.repec.org/n?u=RePEc:lvl:lacicr:0606&r=fmk
  92. By: Micco, Alejandro; Panizza, Ugo; Yañez, Monica
    Abstract: This paper uses a new dataset to reassess the relationship between bank ownership and bank performance, providing separate estimations for developing and industrial countries. It finds that state-owned banks located in developing countries tend to have lower profitability and higher costs than their private counterparts, and that the opposite is true for foreign-owned banks. The paper finds no strong correlation between ownership and performance for banks located in industrial countries. Next, in order to test whether the differential in performance between public and private banks is driven by political considerations, the paper checks whether this differential widens during election years; it finds strong support for this hypothesis.
    Keywords: Banking; Privatization; Ownership; Performance
    JEL: G21 D21
    Date: 2006–02
    URL: http://d.repec.org/n?u=RePEc:uca:ucapdv:62&r=fmk
  93. By: Cal Muckley (University of Dublin Trinity College); Raj Aggarwal (Kent State University); Brian Lucey (University of Dublin Trinity College)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:48&r=fmk
  94. By: Paola Zerilli (University of York)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:76&r=fmk
  95. By: Dirk Nitzsche (Cass Business School, City University London); Keith Cuthbertson (Cass Business School, City University London); Niall O'Sullivan (University College Cork)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:4&r=fmk
  96. By: Georgios Chortareas (University of Essex); George Kapetanios (Queen Mary University of London)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:36&r=fmk
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