LSE Research Online Documents on Economics

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25186: A wavelet-Fisz approach to spectrum estimation

Piotr Fryzlewicz, Guy P. Nason and Rainer von Sachs

25185: Partisan bias in economic news: evidence on the agenda-setting behavior of U.S. newspapers

Valentino Larcinese, Riccardo Puglisi and Snyder, Jr., James M.

25169: Famine mortality, rational political inactivity, and international food aid

Thomas Plümper and Eric Neumayer

25167: Participation in organisations: economic approaches

David Marsden and Almudena Cañibano

25165: Data-driven wavelet-Fisz methodology for nonparametric function estimation

Piotr Fryzlewicz

25164: Exchange rate regime choice with multiple key currencies

Thomas Plümper and Eric Neumayer

25162: Consistent classification of non-stationary time series using stochastic wavelet representations

Piotr Fryzlewicz and Hernando Ombao

25099: Reforming pensions: principles, analytical errors and policy directions

Nicholas Barr and Peter Diamond

25092: Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary

Oliver Linton, Kyungchul Song and Yoon-Jae Whang

25069: What happens when you regulate risk?: evidence from a simple equilibrium model

Jean-Pierre Zigrand and Jon Danielsson

25068: Rational limits to arbitrage

Jean-Pierre Zigrand

25067: Saving eliminates credit rationing

David de Meza and David C. Webb

25066: Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises

Prasanna Gai, Simon Hayes and Hyun Song Shin

25065: Financial development, agency and the pace of adoption of new techniques

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

Florian Heider

25062: What do internal capital markets do? Redistribution vs. incentives

Axel Gautier and Florian Heider

25061: Constrained indirect inference estimation

Giorgio Calzorali, Gabriele Fiorentini and Enrique Sentana

25059: Efficiency properties of rational expectations equilibria with asymmetric information

Piero Gottardi and Rohit Rahi

25058: Mean-variance portfolio allocation with a value at risk constraint

Enrique Sentana

25057: Tests of the Fama and French model in India

Gregory Connor and Sanjay Sehgal

25056: Agency conflicts, ownership concentration, and legal shareholder protection

Mike Burkart and Fausto Panunzi

25052: The skill profile of central bankers and supervisors

Charles Goodhart, Dirk Schoenmaker and Paolo Dasgupta

25050: Financing and corporate growth under repeated moral hazard

Ronald W. Anderson and Kjell Nyborg

25048: The impact of technology on cash usage

Charles Goodhart and Malte Krueger

25046: Coordination risk and the price of debt

Stephen Morris and Hyun Song Shin

25045: Does one Soros make a difference? A theory of currency crises with large and small traders

Giancarlo Corsetti, Amil Dasgupta, Stephen Morris and Hyun Song Shin

25044: Disclosures and asset returns

Hyun Song Shin

25042: In defence of usury laws

Giuseppe Coco and David de Meza

25039: Foreign exchange intervention and macroeconomic stability

Paolo Vitale

24978: Drivers of housing choice among rural-to-urban migrants: evidence from Taiyuan

Bingqin Li, Mark Duda and Xiangsheng An

24977: Analysing the costs and benefits of social care funding arrangements in England: technical report

Julien Forder and Jose Luis Fernandez

24958: Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets

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

Amil Dasgupta

24955: Coordination, learning, and delay

Amil Dasgupta

24954: Optimal expectations

Markus Brunnermeier and Jonathan Parker

24953: The role of bank capital and the transmission mechanism of monetary policy

Pojanart Sunirand

24951: On the out-of-sample importance of skewness and asymetric dependence for asset allocation

Andrew Patton

24950: Revisited multi-moment approximate option pricing models: a general comparison (Part 1)

Emmanuel Jurczenko, Bertrand Maillet and Bogdan Negrea

24949: The impact of wealth on consumption and retirement behaviour in the UK

David Blake

24948: Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy

Miguel A. Segoviano and Philip Lowe

24947: Dealer liquidity in an auction market: evidence fom the London Stock Exchange

Sylvain Friederich and Richard Payne

24946: Returns from active management in international equity markets: evidence from a panel of UK pension funds

David Blake and Allan Timmermann

24945: Performance clustering and incentives in the UK pension fund industry

David Blake, Bruce N. Lehmann and Allan Timmermann

24944: International asset allocation with time-varying investment opportunities

David Blake and Allan Timmermann

24942: Performance persistence of pension fund managers

Ian Tonks

24941: Loan securitisation: default term structure and asset pricing based on loss prioritisation

Andreas Jobst

24940: In-kind finance

Mike Burkart and Tore Ellingsen

24939: Co-ordination failure and the role of banks in the resolution of financial distress

Spyros Pagratis

24938: Skewness and kurtosis implied by option prices: a second comment

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

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

Bertrand Maillet and Thierry Michel

24935: Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information

Frank Heinemann, Rosemarie Nagel and Peter Ockenfels

24934: Hedging housing risk in London

Matteo Iacoviello and Francois Ortalo-Magne

24933: Rational asset pricing implications from realistic trading frictions

Jean-Pierre Zigrand

24932: Market timing and return prediction under model instability

Mohammad Pesaran and Allan Timmermann

24931: Venture capital contracts and market structure

Roman Inderst and Holger M. Müller

24930: A structural model of corporate bond pricing with co-ordination failure

Max Bruche

24929: Platform competition in two sided markets

Jean Rochet and Jean Triole

24928: Coordination failures and the lender of last resort: was Bagehot right after all?

Jean Rochet and Xavier Vives

24927: Consistent testing for stochastic dominance: a subsampling approach

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

24926: Family firms

Andrei Shleifer, Fausto Panunzi and Mike Burkart

24909: Momentum in the UK stock market

Mark Hon and Ian Tonks

24908: Daily closing inside spreads and trading volumes around earnings announcements

Daniella Acker, Mathew Stalker and Ian Tonks

24907: Diversification and delegation in firms

Vittoria Cerasi and Sonja Daltung

24906: Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle

Kostas Koufopoulos

24905: Bubbles and crashes

Dilip Abreu and Markus Brunnermeier

24904: Pricing catastrophe insurance derivatives

Alexander Muermann

24903: Optimal hedging strategies and interactions between firms

Frédéric Loss

24902: The fallacy of new business creation as a disciplining device for managers

Frédéric Loss and Antoine Renucci

24901: Macroeconomic news, order flows and exchange rates

Ryan Love and Richard Payne

24900: Optimal life-cycle asset allocation: understanding the empirical evidence

Francisco Gomes and Alexander Michaelides

24899: Are annuities value for money?: who can afford them?

Paula Lopes

24897: Credibility and cheap talk of securities analysts: theory and evidence

Jordi Blanes i Vidal

24896: A comprehensive test of order choice theory: recent evidence from the NYSE

Andrew Ellul, Craig W. Holden, Pankaj Jain and Robert Jennings

24869: Credit card debt and default over the life-cycle

Paula Lopes

24868: Aggregate implications of defined benefit and defined contribution systems

Francisco Gomes and Alexander Michaelides

24867: Long-term value at risk

Kevin Dowd, David Blake and Andrew Cairns

24866: Modelling the composition of personal sector wealth in the United Kingdom

David Blake

24864: Is immigration the answer to the UK’s pension crisis?

David Blake

24863: Procyclicality and the new Basel Accord–banks’ choice of loan rating system

Eva Catarineu-Rabell, Patricia Jackson and Dimitrios Tsomocos

24862: Financial system requirements for successful pension reform

David Blake

24861: Management behaviour and market response

Josef Anton Schuster and Jinhui Luo

24860: IPOs: insights from seven European countries

Josef Anton Schuster

24859: The cross-section of European IPO returns

Josef Anton Schuster

24858: The near impossibility of credit rationing

David de Meza and David C. Webb

24857: Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty

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

David Blake

24855: Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis

Jon Danielsson and Burak Saltoğlu

24854: Common factors in conditional distributions for Bivariate time series

Clive Granger, Timo Teräsvirta and Andrew Patton

24853: Pension fund governance and the choice between defined benefit and defined contribution plans

Timothy Besley and Andrea Prat

24852: Likelihood-based estimation of latent generalised ARCH structures

Gabriele Fiorentini, Enrique Sentana and Neil Shephard

24851: The United Kingdom pension system: key issues

David Blake

24850: The role of money in the transmission mechanism of monetary policy: evidence from Thailand

Pojanart Sunirand

24849: Tranching

Guillaume Plantin

24848: Does reinsurance need reinsurers?

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

David Blake

24833: UK pension fund management after Myners: the hunt for correlation begins

David Blake

24832: UK annuity rates and pension replacement ratios 1957-2002

Edmund Cannon and Ian Tonks

24831: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

Andrew J. G. Cairns, David Blake and Kevin Dowd

24830: Pensionmetrics 2: stochastic pension plan design during the distribution phase

David Blake, Andrew J. G. Cairns and Kevin Dowd