Economic Notes

1999 - 2025

From Banca Monte dei Paschi di Siena SpA
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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

Volume 30, issue 3, 2001

Opening Remarks pp. 319-326

Giovanni Ferri

The New Basel Capital Adequacy Framework pp. 327-335

Giovanni Carosio

Competition Among Banks, Capital Requirements and International Spillovers pp. 337-358

Viral Acharya

Perverse Effects of an External Ratings-Related Capital Adequacy System pp. 359-372

Patrick Honohan

Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What Can we Infer About Private Sector Monitoring of Bank Soundness? pp. 373-398

Reint Gropp and Anthony Richards

Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies? pp. 399-419

Maria Chiuri, Giovanni Ferri and Giovanni Majnoni

The Definition of the Grading Scales in Banks’ Internal Rating Systems pp. 421-456

A. Foglia, S. Iannotti and P. Marullo Reedtz

Analytical and Empirical Features of Internal Ratings: An Empirical Consistency Test based on Statistical Models pp. 457-489

Andrea Resti and Cristina Omacini

Capital Requirements in a Financially Driven Business Cycle Model pp. 491-507

Fabrizio Mattesini

Volume 30, issue 2, 2001

Introduction pp. 163-166

Andrea Berardi and Francesco Rossi

Non parametric VaR Techniques. Myths and Realities pp. 167-181

Giovanni Barone-Adesi and Kostas Giannopoulos

Consistent High-precision Volatility from High-frequency Data pp. 183-204

Fulvio Corsi, Gilles Zumbach, Ulrich A. Muller and Michel Dacorogna

Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data pp. 205-234

Andrea Beltratti and Claudio Morana

Value-at-risk Trade-off and Capital Allocation with Copulas pp. 235-256

Umberto Cherubini and Elisa Luciano

Hedging a Portfolio of Derivative Securities: A Simulation Approach pp. 257-279

Claudio Tebaldi

Credit Risk: Constructing the Basic Building Blocks pp. 281-292

Lane P. Hughston and Stuart M. Turnbull

Fuzzy Value-at-risk: Accounting for Market Liquidity pp. 293-312

Umberto Cherubini and Giovanni Della Lunga

Marcello Messori (ed.) Financial Constraints and Market Failures. The Microfoundations of New Keynesian Macroeconomics pp. 313-317

Giorgio Rampa

Volume 30, issue 1, 2001

Knightian Uncertainty in Financial Markets: An Assessment pp. 1-26

Marcello Basili

Current Account and Exchange Rate Dynamics pp. 27-51

Lilia Cavallari

Does Correlation Between Stock Returns Really Increase During Turbulent Periods? pp. 53-80

Francois Chesnay and Eric Jondeau

Measuring Monetary Policy Shocks in a Small Open Economy pp. 81-107

Giuseppe De Arcangelis and Giorgio Di Giorgio

On the Institutional Design of the European Monetary Union: Conservatism, Stability Pact and Economic Shocks pp. 109-143

Leonardo Gambacorta

Monetary Disequilibrium, Endogenous Money, Stability and the Determinacy of Inflation pp. 145-161

David Chappell and Kent Matthews