Economic Notes

1999 - 2023

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Volume 36, issue 3, 2007

The Heath, Jarrow, Morton Model pp. 205-207

Oldrich Alfons Vasicek

The Value of Relationship Lending: Small Banks in an Era of Consolidation pp. 209-230

Paola Bongini, Maria Luisa Di Battista and Emma Zavarrone

Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market pp. 231-246

Benjamin Tabak

The Interaction between the Central Bank and a Single Monopoly Union Revisited: Does Greater Monetary Policy Uncertainty Reduce Nominal Wages? pp. 247-258

Luigi Bonatti

Volume 36, issue 2, 2007

Household Debt and Credit: Economic Issues and Data Problems pp. 115-146

Giuseppe Bertola and Stefan Hochguertel

Lessons from the ECB Experience: Frankfurt Still Matters! pp. 147-170

Zeno Rotondi and Giacomo Vaciago

Does Financial Liberalization Lower Problem Loans in Banks? pp. 171-188

Saibal Ghosh

What Do Data Say About Monetary Policy, Bank Liquidity and Bank Risk Taking? pp. 189-203

Marcella Lucchetta

Volume 36, issue 1, 2007

Dynamic Equilibrium with Overpriced Put Options pp. 1-26

Sergei Isaenko

A New Approach to Predicting Recessions pp. 27-42

Ken Nyholm

Information Technology and Productivity Changes in the Banking Industry pp. 43-76

Luca Casolaro and Giorgio Gobbi

Financial Frictions and Risky Corporate Debt pp. 77-87

Doriana Ruffino and Jonathan Treussard

Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence pp. 89-113

Sami Ben Naceur and Samir Ghazouani

Volume 35, issue 3, 2006

A Comparison of Alternative Non‐parametric Estimators of the Short Rate Diffusion Coefficient pp. 227-252

Roberto Renò, Antonio Roma and Stephen Schaefer

Investor Reaction to Inter‐corporate Business Contracting: Evidence and Explanation pp. 253-291

Fayez A. Elayan, Kuntara Pukthuanthong and Richard Roll

Do Upgradings and Downgradings Convey Information? An Event Study of the French Bond Market pp. 293-317

Maurizio Dallocchio, Jerome Hubler, Philippe Raimbourg and Antonio Salvi

The Number of Bank Relationships of SMEs: A Disaggregated Analysis of Changes in the Swiss Loan Market pp. 319-353

Doris Neuberger, Solvig Räthke and Christoph Schacht

Estimating the Term Structure of Credit Spreads on Euro‐denominated Corporate Bonds pp. 355-375

Ombretta Terazzan

Finance, Banks and the Stability of Emerging Markets pp. 377-383

Diego Lanzi

Volume 35, issue 2, 2006

Revisiting the European Monetary System Experience: Were Some Members More Equal than Others? pp. 151-172

Lorenzo Bini Smaghi and Giovanni Ferri

Tax‐induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy pp. 173-202

Roberto Savona

Credibility, Irreversibility of Investment, and Liberalization Reforms in LDCs pp. 203-218

Andrea Bassanini

Essay Review on Raghuram G. Rajan and Luigi Zingales (2003), Saving Capitalism from the Capitalists, Random House, New York pp. 219-225

Giovanni Ferri

Volume 35, issue 1, 2006

Stock Market Fluctuations and Money Demand in Italy, 1913–2003 pp. 1-47

Massimo Caruso

Bank Mergers, Information, Default and the Price of Credit pp. 49-62

Margarida Catalão-Lopes

Optimal Monetary Policy with Price and Wage Rigidities pp. 63-95

Massimiliano Marzo

Market for Information and Identity Disclosure in an Experimental Open Limit Order Book pp. 97-119

Pietro Perotti and Barbara Rindi

Do Market‐based Indicators Anticipate Rating Agencies? Evidence for International Banks pp. 121-150

Antonio Di Cesare

Volume 34, issue 3, 2005

Liquidity and Twin Crises pp. 257-277

Hyun Song Shin

Competition and Profitability in European Banking: Why Are British Banks So Profitable? pp. 279-311

David T. Llewellyn

Equilibrium Determinacy under Monetary and Fiscal Policies in an Overlapping Generations Model pp. 313-330

Alessandro Piergallini

Greek Monetary Economics in Retrospect: The Adventures of the Drachma pp. 331-370

Sophia Lazaretou

Determinants of Corporate Governance in the Italian Financial Market pp. 371-405

Emilio Barucci and Jury Falini

Integration or Independence? An Alternative Assessment of Real Interest Rate Linkages in the European Union pp. 407-427

Mark Holmes

Volume 34, issue 2, 2005

The Impact of the Rating Agencies’ Through‐the‐cycle Methodology on Rating Dynamics pp. 127-154

Edward Altman and Herbert A. Rijken

Correlation at First Sight pp. 155-183

Andrew Friend and Ebbe Rogge

Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened pp. 185-230

Greg Gupton

Risk Mapping and Key Risk Indicators in Operational Risk Management pp. 231-256

Sergio Scandizzo

Volume 34, issue 1, 2005

Long‐term Performance of New Equity Issuers, Venture Capital and Reputation of Investment Bankers pp. 1-34

John Doukas and Halit Gonenc

Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds pp. 35-50

Niklas Wagner, Warren Hogan and Jonathan Batten

Specification Analysis of Diffusion Models for the Italian Short Rate pp. 51-83

Monica Gentile and Roberto Renò

Does Trade Credit Substitute Bank Credit? Evidence from Firm‐level Data pp. 85-112

Guido de Blasio

Finance–Growth Nexus and the P‐bias: Evidence from OECD Countries pp. 113-126

Franz Hahn

Volume 31, issue 3, 2002

The Cross–section of Risk Premia in the Italian Stock Market pp. 389-416

Andrea Beltratti and Massimo Di Tria

The Stability of the Relation Between the Stock Market and Macroeconomic Forces pp. 417-450

Fabio Panetta

Monetary Policy, Credit and Aggregate Supply: The Evidence from Italy pp. 451-491

Riccardo Fiorentini and Roberto Tamborini

Interbank Lending, Liquidity and Banking Crises pp. 493-521

Paola Brighi

The Race Towards Transparency: An Experimental Investigation pp. 523-545

Marco Rossi

Increasing Dependency Ratios, Pensions and Tax Smoothing pp. 547-558

Efraim Sadka and Vito Tanzi

Carlo A. Favero (2001) Applied Macroeconometrics pp. 559-563

Riccardo Fiorito

Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims pp. 565-568

Roberto Renò

Volume 31, issue 2, 2002

Introduction pp. 197-199

Andrea Berardi and Francesco Rossi

Managing Credit Risk: A Challenge for the New Millennium pp. 201-214

Edward Altman

Bank and Business Performance Measurement pp. 215-236

Stuart M. Turnbull

An Extended Analytical Approach to Credit Risk Management pp. 237-253

Alexandre Kurth, Hadley Taylor and Armin Wagner

Basic Insights in Pricing Basket Credit Derivatives pp. 255-276

Marcello Esposito

Risk Management Using Quasi–static Hedging pp. 277-336

Steve Allen and Otello Padovani

Principal Component Models for Generating Large GARCH Covariance Matrices pp. 337-359

Carol Alexander

Stochastic Models of Implied Volatility Surfaces pp. 361-377

Rama Cont, José Da Fonseca and Valdo Durrleman

Expected Shortfall: A Natural Coherent Alternative to Value at Risk pp. 379-388

Carlo Acerbi and Dirk Tasche

Volume 31, issue 1, 2002

The Organizational Structure of Banking Supervision pp. 1-32

Charles A. E. Goodhart

The Role of Hedge Funds in International Financial Markets pp. 33-57

Catherine Lubochinsky, M. D. Fitzgerald and Lee McGinty

Optimization of Monte Carlo Procedures for Value at Risk Estimates pp. 59-78

Sabrina Antonelli and Maria Gabriella Iovino

Regional Integration and the Co-ordination of Capital Income Taxation pp. 79-108

Valeria De Bonis

Volatility, Stabilization and Union Wage-setting: The Effects of Monetary Policy on the ‘Natural’ Unemployment Rate pp. 109-123

Luigi Bonatti

Economic Significance of the Predictable Movements in Futures Returns pp. 125-142

Joelle Miffre

Imperfect Forward Markets and Hedging pp. 143-154

Udo Broll and Kit Pong Wong

Price Discovery and Risk Transfer in the Crude Oil Futures Market: Some Structural Time Series Evidence pp. 155-165

Imad A. Moosa

Social Cost and Groves Mechanisms pp. 167-174

Donald E. Campbell

Reply to ‘Social Cost and Groves Mechanisms’ pp. 175-178

Giacomo Bonanno

Structural Reforms, Regulatory Compact and Competition in Network Industries pp. 179-190

Diego Lanzi

John Adams and Francesco Pigliaru, Economic Growth and Change: National and Regional Patterns of Convergence and Divergence pp. 191-192

Carlotta Berti Ceroni

Andrea Boltho, Alessandro Vercelli and Hiroshi Yoshikawa, Comparing Economic Systems: Italy and Japan pp. 193-195

Ronald Dore