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LSE Research Online Documents on Economics

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25165: Data-driven wavelet-Fisz methodology for nonparametric function estimation Downloads
Piotr Fryzlewicz
25164: Exchange rate regime choice with multiple key currencies Downloads
Thomas Plümper and Eric Neumayer
25162: Consistent classification of non-stationary time series using stochastic wavelet representations Downloads
Piotr Fryzlewicz and Hernando Ombao
25099: Reforming pensions: principles, analytical errors and policy directions Downloads
Nicholas Barr and Peter Diamond
25092: Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary Downloads
Oliver Linton, Kyungchul Song and Yoon-Jae Whang
25069: What happens when you regulate risk?: evidence from a simple equilibrium model Downloads
Jean-Pierre Zigrand and Jon Danielsson
25068: Rational limits to arbitrage Downloads
Jean-Pierre Zigrand
25067: Saving eliminates credit rationing Downloads
David de Meza and David C. Webb
25066: Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises Downloads
Prasanna Gai, Simon Hayes and Hyun Song Shin
25065: Financial development, agency and the pace of adoption of new techniques Downloads
Ronald W. Anderson and Kjell Nyborg
25063: Signalling with debt and equity: a unifying approach and its implications for the pecking order hypothesis and competitive credit rationing Downloads
Florian Heider
25062: What do internal capital markets do? Redistribution vs. incentives Downloads
Axel Gautier and Florian Heider
25061: Constrained indirect inference estimation Downloads
Giorgio Calzorali, Gabriele Fiorentini and Enrique Sentana
25059: Efficiency properties of rational expectations equilibria with asymmetric information Downloads
Piero Gottardi and Rohit Rahi
25058: Mean-variance portfolio allocation with a value at risk constraint Downloads
Enrique Sentana
25057: Tests of the Fama and French model in India Downloads
Gregory Connor and Sanjay Sehgal
25056: Agency conflicts, ownership concentration, and legal shareholder protection Downloads
Mike Burkart and Fausto Panunzi
25052: The skill profile of central bankers and supervisors Downloads
Charles Goodhart, Dirk Schoenmaker and Paolo Dasgupta
25050: Financing and corporate growth under repeated moral hazard Downloads
Ronald W. Anderson and Kjell Nyborg
25048: The impact of technology on cash usage Downloads
Charles Goodhart and Malte Krueger
25046: Coordination risk and the price of debt Downloads
Stephen Morris and Hyun Song Shin
25045: Does one Soros make a difference? A theory of currency crises with large and small traders Downloads
Giancarlo Corsetti, Amil Dasgupta, Stephen Morris and Hyun Song Shin
25044: Disclosures and asset returns Downloads
Hyun Song Shin
25042: In defence of usury laws Downloads
Giuseppe Coco and David de Meza
25039: Foreign exchange intervention and macroeconomic stability Downloads
Paolo Vitale
24978: Drivers of housing choice among rural-to-urban migrants: evidence from Taiyuan Downloads
Bingqin Li, Mark Duda and Xiangsheng An
24977: Analysing the costs and benefits of social care funding arrangements in England: technical report Downloads
Julien Forder and Jose Luis Fernandez
24958: Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets Downloads
Charles Goodhart, Ryan Love, Richard Payne and Dagfinn Rime
24956: Financial contagion through capital connections: a model of the origin and spread of bank panics Downloads
Amil Dasgupta
24955: Coordination, learning, and delay Downloads
Amil Dasgupta
24954: Optimal expectations Downloads
Markus Brunnermeier and Jonathan Parker
24953: The role of bank capital and the transmission mechanism of monetary policy Downloads
Pojanart Sunirand
24951: On the out-of-sample importance of skewness and asymetric dependence for asset allocation Downloads
Andrew Patton
24950: Revisited multi-moment approximate option pricing models: a general comparison (Part 1) Downloads
Emmanuel Jurczenko, Bertrand Maillet and Bogdan Negrea
24949: The impact of wealth on consumption and retirement behaviour in the UK Downloads
David Blake
24948: Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy Downloads
Miguel A. Segoviano and Philip Lowe
24947: Dealer liquidity in an auction market: evidence fom the London Stock Exchange Downloads
Sylvain Friederich and Richard Payne
24946: Returns from active management in international equity markets: evidence from a panel of UK pension funds Downloads
David Blake and Allan Timmermann
24945: Performance clustering and incentives in the UK pension fund industry Downloads
David Blake, Bruce N. Lehmann and Allan Timmermann
24944: International asset allocation with time-varying investment opportunities Downloads
David Blake and Allan Timmermann
24942: Performance persistence of pension fund managers Downloads
Ian Tonks
24941: Loan securitisation: default term structure and asset pricing based on loss prioritisation Downloads
Andreas Jobst
24940: In-kind finance Downloads
Mike Burkart and Tore Ellingsen
24939: Co-ordination failure and the role of banks in the resolution of financial distress Downloads
Spyros Pagratis
24938: Skewness and kurtosis implied by option prices: a second comment Downloads
Emmanuel Jurczenko, Bertrand Maillet and Bogdan Negrea
24937: You might as well be hung for a sheep as a lamb: the loss function of an agent Downloads
Margaret Bray and Charles Goodhart
24936: How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks Downloads
Bertrand Maillet and Thierry Michel
24935: Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information Downloads
Frank Heinemann, Rosemarie Nagel and Peter Ockenfels
24934: Hedging housing risk in London Downloads
Matteo Iacoviello and Francois Ortalo-Magne
24933: Rational asset pricing implications from realistic trading frictions Downloads
Jean-Pierre Zigrand
24932: Market timing and return prediction under model instability Downloads
Mohammad Pesaran and Allan Timmermann
24931: Venture capital contracts and market structure Downloads
Roman Inderst and Holger M. Müller
24930: A structural model of corporate bond pricing with co-ordination failure Downloads
Max Bruche
24929: Platform competition in two sided markets Downloads
Jean Rochet and Jean Triole
24928: Coordination failures and the lender of last resort: was Bagehot right after all? Downloads
Jean Rochet and Xavier Vives
24927: Consistent testing for stochastic dominance: a subsampling approach Downloads
Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang
24926: Family firms Downloads
Andrei Shleifer, Fausto Panunzi and Mike Burkart
24909: Momentum in the UK stock market Downloads
Mark Hon and Ian Tonks
24908: Daily closing inside spreads and trading volumes around earnings announcements Downloads
Daniella Acker, Mathew Stalker and Ian Tonks
24907: Diversification and delegation in firms Downloads
Vittoria Cerasi and Sonja Daltung
24906: Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle Downloads
Kostas Koufopoulos
24905: Bubbles and crashes Downloads
Dilip Abreu and Markus Brunnermeier
24904: Pricing catastrophe insurance derivatives Downloads
Alexander Muermann
24903: Optimal hedging strategies and interactions between firms Downloads
Frédéric Loss
24902: The fallacy of new business creation as a disciplining device for managers Downloads
Frédéric Loss and Antoine Renucci
24901: Macroeconomic news, order flows and exchange rates Downloads
Ryan Love and Richard Payne
24900: Optimal life-cycle asset allocation: understanding the empirical evidence Downloads
Francisco Gomes and Alexander Michaelides
24899: Are annuities value for money?: who can afford them? Downloads
Paula Lopes
24897: Credibility and cheap talk of securities analysts: theory and evidence Downloads
Jordi Blanes i Vidal
24896: A comprehensive test of order choice theory: recent evidence from the NYSE Downloads
Andrew Ellul, Craig W. Holden, Pankaj Jain and Robert Jennings
24869: Credit card debt and default over the life-cycle Downloads
Paula Lopes
24868: Aggregate implications of defined benefit and defined contribution systems Downloads
Francisco Gomes and Alexander Michaelides
24867: Long-term value at risk Downloads
Kevin Dowd, David Blake and Andrew Cairns
24866: Modelling the composition of personal sector wealth in the United Kingdom Downloads
David Blake
24864: Is immigration the answer to the UK’s pension crisis? Downloads
David Blake
24863: Procyclicality and the new Basel Accord–banks’ choice of loan rating system Downloads
Eva Catarineu-Rabell, Patricia Jackson and Dimitrios Tsomocos
24862: Financial system requirements for successful pension reform Downloads
David Blake
24861: Management behaviour and market response Downloads
Josef Anton Schuster and Jinhui Luo
24860: IPOs: insights from seven European countries Downloads
Josef Anton Schuster
24859: The cross-section of European IPO returns Downloads
Josef Anton Schuster
24858: The near impossibility of credit rationing Downloads
David de Meza and David C. Webb
24857: Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty Downloads
Francisco Peñaranda
24856: What is a promise from the government worth?:: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom Downloads
David Blake
24855: Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis Downloads
Jon Danielsson and Burak Saltoğlu
24854: Common factors in conditional distributions for Bivariate time series Downloads
Clive Granger, Timo Teräsvirta and Andrew Patton
24853: Pension fund governance and the choice between defined benefit and defined contribution plans Downloads
Timothy Besley and Andrea Prat
24852: Likelihood-based estimation of latent generalised ARCH structures Downloads
Gabriele Fiorentini, Enrique Sentana and Neil Shephard
24851: The United Kingdom pension system: key issues Downloads
David Blake
24850: The role of money in the transmission mechanism of monetary policy: evidence from Thailand Downloads
Pojanart Sunirand
24849: Tranching Downloads
Guillaume Plantin
24848: Does reinsurance need reinsurers? Downloads
Guillaume Plantin
24834: Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan Downloads
David Blake
24833: UK pension fund management after Myners: the hunt for correlation begins Downloads
David Blake
24832: UK annuity rates and pension replacement ratios 1957-2002 Downloads
Edmund Cannon and Ian Tonks
24831: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans Downloads
Andrew J. G. Cairns, David Blake and Kevin Dowd
24830: Pensionmetrics 2: stochastic pension plan design during the distribution phase Downloads
David Blake, Andrew J. G. Cairns and Kevin Dowd
24829: Predatory trading Downloads
Markus Brunnermeier and Lasse Heje Pederson
24828: Financing constraints, irreversibility, and investment dynamics Downloads
Andrea Caggese
24827: On time-scaling of risk and the square–root–of–time rule Downloads
Jon Danielsson and Jean-Pierre Zigrand
24826: Equilibrium analysis, banking, contagion and financial fragility Downloads
Dimitrios Tsomocos
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