sse efi working paper series in economics and finance

... y 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 ... 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 ... 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:

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 ... Applications in Economics and Finance, Dynamic Modeling and Econometrics in Economics and Finance 20, DOI 10.1007/978-3-319-07061-2_1 Functional Representation, Approximation, Bases and Wavelets 1 Introduction ... students,and researchers covering a wide range of wavelet applications in economics and finance and arelinked to or inspired by the work of James Ramsey We have been working with James continuously

Ngày tải lên: 08/01/2020, 08:56

... Marshall and Olkin and its second edition Mar-shall et al (2011) and references therin) A number of papers in economics use majorization and related concepts in the analysis of income inequality and ... for many other key financial and economic indicators and variables, including income and wealth, losses from natural disas-ters, firm and city sizes, operational risks and many others (see, e.g., ... coauthors for collaboration and for their per-mission to include joint work in this book and we thank our colleagues in our field and at our institutions for interest, comments and sup-port The names

Ngày tải lên: 08/01/2020, 09:26

... 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 ... no incentive to divert assets Hence an increase in the bank's today's leverage and thus the benefit to divert assets has to be matched by an increase in lifetime profitability and thus an increase ... 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 bor-rowing in

Ngày tải lên: 22/03/2014, 21:20

... stimulative during the 1960s and 1970s, while it was on average tight in the 1980s and 1990s Regarding the output gap, the length of the business cycle’s booms and busts are in line with the ... tests to investigate the leading indicator properties of the baselineestimate of the euro area real interest rate gap on inflation and economic activity The paper is structured as follows In section ... Real interest rates perspectivesThe concept of a natural rate of interest was first introduced by Knut Wicksell in the late following Woodford’s seminal book, Interest and Prices According to

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 ... cross-checking remains effective in See Gerlach (2004), Benati (2005), Pill and Rautananen (2006) and Assenmacher-Wesche and Gerlach (2007) Beck and Wieland (2007) point out that such an interest ... 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

Ngày tải lên: 29/03/2014, 13:20

... credit, interest rate risk in the banking book, operational and other risks) and computing returns on risk weighted assets, Kuritzkes and Schuermann (2007) find that interest rate risk in the banking ... on assets and liabilities adjust in line with fundamentals To determine coupon rates in a dynamic setting we apply the pricing framework discussed in Annex 1 But in order to account for bank and ... horizon of interest is one year; since T=4 throughout the analysis, we drop the time index T in the remainder of the paper As discussed in the introduction, in line with current market and regulatory

Ngày tải lên: 29/03/2014, 13:20

... changes in the yields and in the swap spreads for both Portugal andGermany, were not directly related to the change in the yield and in the swap spreadin the leading international long-term interest ... deficit procedure and would write a report on Germany Both, the early warning to France and the excessive deficit procedure for Germany were discussed in the Economic and Financial Committee in ... Conference on Banking and Finance for helpful comments, Gerhard Schwab and Anna Foden for able research assistance, Ioana Alexopoulou and Jorge Sicilia for helping us with data and This paper can be

Ngày tải lên: 22/03/2014, 23:20

... Eurosystem, the central bank offers two standing facilities: a lending and a deposit facility The two standing facilities define a corridor limiting the fluctuation in the overnight rate We show that ... In autarchy there is no trade and a distribution of shadow interest rates is obtained These shadow prices are defined as the marginal cost of borrowing or lending the first unit of reserves and, ... data 24 7 Time series and cross section volatility 26 European Central Bank working paper series 40 Trang 5The purpose of this paper is to study the determinants of equilibrium in the market for

Ngày tải lên: 22/03/2014, 23:20

... policies see e.g Bindseil (2002). 1 2 Besides main refinancing operations also fine tuning and long-term refininancing operations are used by the ECB to supply liquidity However, fine tuning operations ... expected marginal lending rate is lower than the current minimum bid rate In this case obtaining liquidity in the future from the marginal lending facility is expected to be cheaper than obtaining it ... firms’ investment and households’ savings decisions Investment and saving then influence output and prices, the final objectives of a central bank However, the control of the short-term interest

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 determin-ing developments in the nominal and real ... classi…ed as freely ‡oating since December 1983 and as having a managed ‡oat since 1974, and New Zealand is de…ned as having a managed ‡oat since 1985 and a de facto moving band around the Australian

Ngày tải lên: 22/03/2014, 23:20

... Central Bank Working Paper Series Trang 5Abstract The present paper investigates the pass-through between market interest rates and bank interest rates in the euro area Compared to the large interest ... data break in the series, which may impact on the results However, the linking of the MIR series with the NRIR series has been done in such a way that we obtain smoothed series and retain the dynamics ... adjustment of interest rates on mortgage loans in Spain, as well as in Ireland, Austria, Portugal and Finland is that the NRIR rates in these countries predominantly were floating rate loans

Ngày tải lên: 22/03/2014, 23:20

... competitiveness and market structure we calculate interest rate margins in local and foreign currency (margin lc and margin f c) As in the model margins are defined as the difference between the loan and ... stream of income choosing the amount of deposits and loans in local and foreign currency (implicitly determining consumption in each period) Both local and foreign currency denominated assets are ... interest rate differentials for loans and deposits (ir dif d and ir dif l), defining the differential as foreign currency interest rate minus the domestic currency interest rate In constructing

Ngày tải lên: 22/03/2014, 23:20

... generates an increase in trend inflation rather than an increase in theprice level, inducing a price level overshooting and oscillating inflation behavior, or the analyses focus on inflation deviations ... increase which has not been preceded by acorresponding increase in m∗ above p Concerning inflation dynamics, we observe thatthe main inflation swings reflect monetary fluctuations, and that inflation ... way7 In fact, the ob-served nominal interest rate during the 1960-70s can be characterized by an increasing inflation objective and a higher reaction to inflation deviations8 An increasing target

Ngày tải lên: 22/03/2014, 23:20

... Trang 1ISSN 1518-3548 Forecasting Bonds Yields in the Brazilian Fixed Income Market Working Paper Series Trang 2ISSN 1518-3548 CGC 00.038.166/0001-05 Trang 3Working Paper Series Edited by Research ... research oninterest rates forecasting and specially on yield curve forecasting Duffee (2002), Dai and Singleton (2002) and Ang and Piazzesi (2003)employ Gaussian affine term structure models and are ... (2002) Term Premia and Interest Rates Forecasts in AffineModels Journal of Finance, 57, 405-443 [8] Duffie D and R Kan (1996) A Yield Factor Model of Interest Rates.Mathematical Finance, Vol 6, 4,

Ngày tải lên: 29/03/2014, 06:21

... Trang 1Working PaPer SerieSTrang 2NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB) The views expressed are those of the authors and do ... path of the equilibrium real interest rate The main finding is that under either scenario the decrease in population growth and the increase in life expectancy are two independent forces which contribute ... strengthening of privately funded elements since it introduces a ceiling on the tax-financed redistribution between workers and retirees For the second scenario type, the replacement rate remains constant,

Ngày tải lên: 29/03/2014, 13:20

... 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 ... excluding interest, staff and other overheads payments) as a proportion of total assets are included to account for investment in technology and innovation (TECH). Dissimilarities in investments in ... 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...

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