working paper series in economics and finance

... Financieros (CEMFI) have an affiliation agreement whereby CEMFI offers a Graduate Program in Economics and Finance leading to the official degrees of Master in Economics and Finance and PhD in ... according to academic merit. PhD in Economics Contents The PhD program in Economics is organized in two stages: Master in Economics and Finance (120 ECTS), which lasts for two years. > PhD in Economics: ... and PhD in Economics. The Master in Economics and Finance is a two-year program, which also serves as the first two years of the PhD in Economics. The Master combines rigorous training in advanced

Ngày tải lên: 31/03/2014, 03:20

... Springer International Publishing Switzerland 2014 Marco Gallegati and Willi Semmler (eds.), Wavelet Applications in Economics and Finance, Dynamic Modeling and Econometrics in Economics and Finance ... students, and researchers covering a wide range of wavelet applications in economics and finance and are linked to or inspired by the work of James Ramsey We have been working with James continuously ... Modeling and Econometrics in Economics and Finance Series Editors Stefan Mittnik and Willi Semmler For further volumes: http://​www.​springer.​com/? ?series/ ​5859 Editors Marco Gallegati and Willi

Ngày tải lên: 08/01/2020, 08:56

... Banking and Finance 37, p 2546–2559 Ibragimov, M., Ibragimov, R., and Walden, J (2015) Heavy-Tailed Distributions and Robustness in Economics and Finance Lecture Notes in Statistics 214 (Springer, ... enquiries@stallionpress.com Printed in Singapore Yulin - Heavy Tails and Copulas.indd 10-11-16 9:01:33 AM January 24, 2017 13:39 Heavy Tails and Copulas 9in x 6in b2639-fm To the memory of Kamil and grandmother ... Journal of Business 36, pp 394–419 Mandelbrot, B (1997) Fractals and Scaling in Finance Discontinuity, Concentration, Risk (Springer-Verlag, New York, NY) Mardia, K., Kent, J., and Bibby, J (1979)

Ngày tải lên: 08/01/2020, 09:26

... requires an increase in bank lending and hence bank leverage, which, in the presence of a leverage constraint in the banking sector, requires a further increase in the external finance premium ... borrowing and leverage associated with the sudden loss of funds increases the external finance premium in a conventional financial accelerator model The increase in entrepreneurial borrowing in ... carried out in three work streams: 1) Macro-financial models linking financial stability and the performance of the economy; 2) Early warning systems and systemic risk indicators; 3) Assessing contagion

Ngày tải lên: 22/03/2014, 21:20

... statement of purpose for the ECB Working Paper Series is available from the ECB website, http://www.ecb.int. ISSN 1561-0810 (print) ISSN 1725-2806 (online) 3 ECB Working Paper Series No. 518 September ... households and firms are mainly confronted with retail bank interest rates when making investment and savings decisions. Corporate financing is predominantly bank rather than market-based and euro ... Donnay and Degryse (2001), Toolsema et al. (2001) Heinemann and Schüller (2002) and Sander and Kleimeier (2002 and 2004) confirm this finding. Mojon (2000), Hofmann (2000 and 2003), Angeloni and

Ngày tải lên: 22/03/2014, 23:20

... WORKING PAPER SERIES NO. 546 / NOVEMBER 2005 THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION by Julien Garnier and Bjørn-Roger Wilhelmsen In 2005 ... Central Bank working paper series 28 4 ECB Working Paper Series No. 546 November 2005 Abstract The notion of a natural real rate of interest, due to Wicksell (1936), is widely used in current ... Sevillano and Simon (2004) for Germany, Larsen and McKeow n (2002) for the United Kingdom and Crespo-Cuaresma et al (2003) and Mésonnier and Renne (2004) for the euro area. 6 ECB Working Paper Series

Ngày tải lên: 22/03/2014, 23:20

... central bank differs from the baseline case 48 ECB Working Paper Series No 967 November 2008 European Central Bank Working Paper Series For a complete list of Working Papers published by the ECB, please ... parameters and assumptions regarding the traditional Keynesian and New-Keynesian models used in “Central Bank Misperceptions and the Role of Money in Interest Rates Rules” 44 ECB Working Paper Series ... Woodford (1997) and Goodfriend and King (1997) and developed in detail in Woodford (2003) and Walsh (2004) has quickly become the principal workhorse model in monetary economics The case against money

Ngày tải lên: 29/03/2014, 13:20

... Bank Working Paper Series 53 20 21 26 27 27 28 28 ECB Working Paper Series No 1041 April 2009 Abstract Banks typically determine their capital levels by separately analysing credit and interest ... frequently, increases in credit risk can be partly passed on to borrowers ECB Working Paper Series No 1041 April 2009 Introduction “The Committee remains convinced that interest rate risk in the banking ... Throughout the paper we make the simplifying assumption that maturity and time to repricing are the same ECB Working Paper Series No 1041 April 2009 VaR), capital and net interest income indeed cover

Ngày tải lên: 29/03/2014, 13:20

... Papers and Proceedings, 600-605 [5] Adrian, Tobias, and Hyun Song Shin, 2010a, Financial intermediaries and monetary economics, Handbook of Monetary Economics 3A, Ch 12, eds Benjamin ... what’s next?, Working Paper [19] Cociuba, Simona, Malik Shukayev and Alexander Ueberfeldt, 2011, Financial intermediation, risk taking and monetary policy, Working Paper [20] ... WORKING PAPER SERIES NO 1457 / AUGUST 2012 EXCESSIVE BANK RISK TAKING AND MONETARY POLICY Itai Agur and Maria Demertzis NOTE: This Working Paper should not be reported as representing the

Ngày tải lên: 22/03/2014, 21:20

... Bank of International Settlements Steiner, M and Heinke, V (2001) “Event Study Concerning International Bond Price Effects of Credit Rating Actions,” International Journal of Finance and Economics, ... month interest rates (Reuters) USD3MZ=R SEK3MZ=R DKK3MZ=R GBP3MZ=R EUR3MZ=R ECB Working Paper Series No 303 February 2004 45 European Central Bank working paper series For a complete list of Working ... a large information set” by E Angelini, J Henry and M Marcellino, August 2003 253 “Bond market inflation expectations and longer-term trends in broad monetary growth and inflation in industrial

Ngày tải lên: 22/03/2014, 23:20

... statement of purpose for the ECB Working Paper Series is available from the ECB website, http://www.ecb.int. ISSN 1561-0810 (print) ISSN 1725-2806 (online) 3 ECB Working Paper Series No. 351 CONTENTS Abstract ... data are examined in Section 6 In Section 7 we 10 ECB Working Paper Series No 351 April 2004 model the time -series and cross-section behaviour of interest rates in the daily ... average during a reserve maintenance period. As in the Eurosystem, the central bank offers two standing facilities: a lending and a deposit facility. The two standing facilities define a corridor

Ngày tải lên: 22/03/2014, 23:20

... residuals from EGARCH model 54 ECB Working Paper Series No 393 September 2004 3.0 European Central Bank working paper series For a complete list of Working Papers published by the ECB, please ... operating procedures ECB Working Paper Series No 393 September 2004 Non-technical summary This paper studies the determinants of the overnight interest rate and quantifies them The overnight interest ... operation in a reserve maintenance period, and even higher at days afterwards Volatility increases at the day of a change in the policy rate and around the end of a month ECB Working Paper Series

Ngày tải lên: 22/03/2014, 23:20

... 1998, Indonesia in 2000, Thailand in 2000, and the Philippines in 2001. In Latin America, in? ??ation targeting has been adopted with Chile in 1990 (together with an exchange rate ‡oat only since ... exchange rates and interest rates in both advanced and developing countries. This is understandable, given the important role these variables play in determining developments in the nominal and real ... special interest in the link between exchange rates and interest rates in both advanced and developing countries. This is understandable, given the important role these variables play in determin- ing

Ngày tải lên: 22/03/2014, 23:20

... Bank Working Paper Series 61 ECB Working Paper Series No 580 January 2006 Abstract The present paper investigates the pass-through between market interest rates and bank interest rates in the ... business) Chart B Linking the new business volumes with the outstanding amounts in the MIR statistics ECB Working Paper Series No 580 January 2006 51 Loans in EUR Deposits in EUR to non-financial corporations ... bank-based and market-based products may have induced banks to increasingly pay attention to market rates when setting bank interest rates ECB Working Paper Series No 580 January 2006 covered in previous

Ngày tải lên: 22/03/2014, 23:20

... Bank Working Paper Series 73 30 Abstract This paper develops a model to explain the determinants of finan- cial dollarization. Expanding on the existing literature, our framework allows interest ... the important insights from the minimum variance portfolio approach our modeling strategy is to nest the minimum variance portfolio approach and expand on it. 5 ECB Working Paper Series No 748 ... countries we also obtained data for euro denominated credit and deposits The time series available are of varying length resulting... } 20 ECB Working Paper Series No 748 May

Ngày tải lên: 22/03/2014, 23:20

... capital in financial institutions, Journal of Banking and Finance 19, pp. 393-430. Berger, A. N. (1995), The relationship between capital and earnings in banking, Journal of Money, Credit, and Banking ... Business and Economics 37, 4, pp. 48-56. Vander Vennet, R. (1996), The effect of mergers and acquisitions on the efficiency and profitability of EC credit institutions, Journal of Banking and Finance ... evolution of post-acquisition practices in the U.S. banking industry, University of Pennsylvania, The Wharton School Working Paper Series 10. 30 ECB Working Paper Series No. 398 October 2004 References Acharya,...

Ngày tải lên: 06/03/2014, 09:22

... Differences in the responses in % over 48 months. Positive differences indicate a higher pass-through during the EMU sample 42 ECB Working Paper Series No. 518 September 2005 47 ECB Working Paper Series ... testing and error correction modelling, Applied Economics, 31, 267-277. Wong, K.P., 1997, On the determinants of bank interest margins under credit and interest rate risks, Journal of Banking and ... Donnay and Degryse (2001), Toolsema et al. (2001) Heinemann and Schüller (2002) and Sander and Kleimeier (2002 and 2004) confirm this finding. Mojon (2000), Hofmann (2000 and 2003), Angeloni and...

Ngày tải lên: 15/03/2014, 14:20

... Forecast Unemployment and In ation in OECD Countries?" Computing in Economics and Finance 359. [15] Devine, Theresa J., and Nicholas M. Kiefer (1991) Empirical Labor Economics: The Search Approach,OxfordUniversityPress. [16] ... Central Bank working paper series For a complete list of Working Papers published by the ECB, please visit the ECB’s website (http://www.ecb.int) 402 “Forecasting euro area inflation using dynamic ... duration as a signal of the individual’s productivity level on which to base their hiring decisions. 11 ECB Working Paper Series No. 441 February 2005 45 ECB Working Paper Series No. 441 February...

Ngày tải lên: 24/10/2012, 09:11

... ¯u. 10 ECB Working Paper Series No. 407 November 2004 or fire (R =0)the credit officer accordingly. W ORKING PAPER SERIES NO. 407 / NOVEMBER 2004 BANKING CONSOLIDATION AND SMALL BUSINESS LENDING by ... G. and White, Lawrence J., 1999, The dynamics of market en try: The effects of mergers and ac- quisitions on de novo entry and small business lending in the banking industry, Working Paper, Economics ... and the agent is linear in terms of their respective payoffs. 6 In the following discussion the bank will be referred in the feminine, and the individual agents in the masculinetoeaseidentification. The...

Ngày tải lên: 06/03/2014, 09:22

... 34?>B8C>AB C> <>=8C>A 10=:4AB WORKING PAPER SERIES NO 845 / DECEMBER 2007 RUN-PRONE BANKING AND ASSET MARKETS by Marie Hoerova 35 ECB Working Paper Series No 845 December 2007 B>;4;H ... synchronization and insurance mechanisms in the EU” by A. Afonso and D. Furceri, December 2007. 845 “Run-prone banking and asset markets” by M. Hoerova, December 2007. 29 ECB Working Paper Series No ... forecasts tell us about in ation risks?” by J. A. García and A. Manzanares, October 2007. 826 “Risk sharing, fi nance and institutions in international portfolios” by M. Fratzscher and J. Imbs, October...

Ngày tải lên: 06/03/2014, 09:22