Economic Notes

1999 - 2023

From Banca Monte dei Paschi di Siena SpA
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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

Volume 29, issue 3, 2000

Solving the Currency Conundrum pp. 315-339

Barry Eichengreen

Financial and Thermodynamic Equilibrium pp. 341-354

Antonio Roma

The Role of Political Instability in Stock Market Development and Economic Growth: The Case of Greece pp. 355-374

Dimitrios Asteriou and Costas Siriopoulos

Liquidity Creation through Banks and Markets: A Theoretical Perspective on Securitization pp. 375-391

Ernst-Ludwig von Thadden

Comments on the paper by Ernst-Ludwig von Thadden: Liquidity Creation through Banks and Markets: A Theoretical Perspective on Securitization pp. 393-397

Ian Cooper

Business Practice in Europe pp. 399-405

Patrizia Canziani

Managing a Bank Credit Portfolio: A Practical Standpoint pp. 407-418

Marco G. Mazzucchelli

Cross Country Legal Differences and the Italian Way to Securitization pp. 419-431

Enrico Granata

Essay Review: Franklin Allen and Douglas Gale Comparing Financial Systems pp. 433-439

Fausto Panunzi

Volume 29, issue 2, 2000

The Pricing of Italian Equity Returns pp. 153-177

Annalisa Aleati, Pietro Gottardo and Maurizio Murgia

Liquidity, Trading Size, and the Co-existence of Dealership and Auction Markets pp. 179-199

Fabio Bagliano, Andrea Brandolini and Alberto Dalmazzo

Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns pp. 201-213

H. A. Benink and Christian Wolff

The Italian Banking Structure in the 1990s: Testing the Multimarket Contact Hypothesis pp. 215-241

Riccardo De Bonis and Annalisa Ferrando

Convergence within the EU: Evidence from Interest Rates pp. 243-266

Teresa Corzo Santamaria and E. S. Schwartz

Private and Government Employment in the OECD: Productivities and Wages pp. 267-279

Georgios Karras

Institutional Design as a Commitment Device in Credit Markets with Asymmetric Information: Experimental Evidence pp. 281-313

Daniela Di Cagno and Emanuela Sciubba

Volume 29, issue 1, 2000

A Simple Model of an International Lender of Last Resort pp. 1-11

C. A. E. Goodhart and H. Huang

Can Official Crisis Lending be Counterproductive in the Short Run? pp. 13-29

Jeromin Zettelmeyer

The East Asian Dollar Standard, Life After Death? pp. 31-82

Ronald McKinnon

Banking System Failures in Developing and Transition Countries: Diagnosis and Prediction pp. 83-109

Patrick Honohan

The Macroeconomic Implications of Regulatory Capital Adequacy Requirements for Korean Banks pp. 111-143

G. Choi

Conclusions pp. 145-151

Joseph Stiglitz

Volume 28, issue 3, 1999

Introduction pp. 249-254

Joseph Stiglitz

The East Asian Crisis and Policy Response – An Overview pp. 255-284

T. Lane, A. R. Ghosh, A. Javier Hamann, S. Phillips, M. Schulze-Ghattas and T. Tsikata

What Caused the Asian Crises: An Early Warning System Approach pp. 285-334

Andrew Berg and C. Pattillo

The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis pp. 335-355

Giovanni Ferri, L.-G. Liu and Joseph Stiglitz

Predicting the Evolution of the Asian Crisis – A View from the IMF pp. 357-363

T. Lane

Some Lessons from Forecasting Errors in the Recent Crisis pp. 365-381

U. Dadush, M. Riordan and B. Wolfe

Predicting the Evolution and Effects of the Asia Crisis from the OECD Perspective pp. 383-402

Peter Richardson, I. Visco and Claude Giorno

Did the East Asian Crisis Disproportionately Hit Small Businesses in Korea? pp. 403-429

Ilker Domac and Giovanni Ferri

Volume 28, issue 2, 1999

Individual Decision Making and Investor Welfare pp. 119-143

Michael J. Brennan and Walter N. Torous

A Base Model for Multifactor Specifications of the Term Structure pp. 145-170

Andrea Berardi and Marcello Esposito

The Term Structure of Interest Differentials in a Target Zone with Time-varying Devaluation Risk pp. 171-194

Klaas Knot, Theo Dijkstra and Jakob de Haan

The Credit Channel at Work: Lessons from the Financial Crisis in Korea pp. 195-221

Giovanni Ferri and Tae Soo Kang

Anticipated Inflation, Liquidity Costs and the Tobin Effect pp. 223-235

Alberto Petrucci

Lemmen, J. (1998) Integrating Financial Markets in the European Union pp. 237-248

Marco Mazzoli

Volume 28, issue 1, 1999

The Lender of Last Resort pp. 1-14

Marcello De Cecco

Inflation Targeting and the Accountability of the European Central Bank pp. 15-23

Guido Tabellini

Gaussian Estimation of a Two-factor Continuous Time Model of the Short-term Interest Rate pp. 25-41

Albert Bergstrom and K. B. Nowman

Deficits, Money Growth and Inflation in Italy: 1875–1994 pp. 43-71

Carlo Favero and Franco Spinelli

Stability of Risk Premia in the Italian Stock Market pp. 73-89

Giovanni Mazzariello and Antonio Roma

Price Limits, Information Acquisition, and Bid–ask Spreads: Theory and Evidence pp. 91-118

V. Ravi Anshuman and Avanidhar Subrahmanyam