Money Macro and Finance (MMF) Research Group Conference 2004

From Money Macro and Finance Research Group
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101: Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management

Mohammad Pesaran, Paolo Zaffaroni and Banca d'Italia)

100: Understanding the yield curve, economic structure and economic policy

Peter Macmillan

99: Openness and Inflation

Dudley Cooke

98: Central Bank Communication and Output Stabilization

Marco Hoeberichts, Mewael F. Tesfaselassie and Sylvester Eijffinge

97: Expectational Business Cycles

Eran Guse

96: On the Time Variations of US Monetary Policy: Who is right?

Fabio Canova and Luca Gambetti

95: Monetary Policy Implementation and Volatility in the Euro Area Money Market

Julius Moschitz

94: Option Implied and Realised Measures of Variance

Damien Lynch and Nikolaos Panigirtzoglou

93: Rational Pricing of Options during the South Sea Bubble

Gary Shea

92: Interest Rates and Output in the Long Run

Yunus Aksoy and Miguel Leon-Ledesma

91: Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks

Sofiane Sekioua

90: Do Domestic Macroeconomic Factors Play a Role in Determining Long-Term Nominal Interest Rates? Application in the Case of a Small Open-Economy

Celine Gauthier and Virginie Traclet

89: Cyclical Uncertainty And Physical Investment Decisions

Yu-Fu Chen and Michael Funke

88: The Capital Stock and Equilibrium Unemployment: A New Theoretical Perspective

Sujit Kapadia

87: UK investment and the return to equity: Q redux

Simon Price

86: Monetary Union: Fiscal Stabilisation in the Face of Asymmetric Shocks

Tatiana Kirsanova, Mathan Satchi and David Vines

85: Bargaining over monetary policy in a monetary union and the case for appointing an independent central banker

Corinne Aaron-Cureau and Hubert Kempf

84: Non-cooperative Monetary and Fiscal Policy: The Value of Leadership

Andrew Blake and Tatiana Kirsanova

83: Leaving EMU: a real options perspective

Frank Strobel

82: Switching Mortgages: a real options perspective

Celine Gondat-Larralde and Frank Strobel

81: Financial Engineering with Reverse Cliquet Options

Brian A. Eales and Radu Tunaru

80: Optimal Monetary Policy and Asset Price Misalignments

Alexandros Kontikas and Alberto Montagnoli

79: Sticky Prices vs. Limited Participation: What Do We Learn From the Data?

Peter Ireland and Niki Papadopoulou

78: Endogenous Business Cycle with Search in the Labour Market

Nigar Hashimzade and Salvador Ortigueira

77: Can new open economy macroeconomic models explain business cycle facts?

Jagjit Chadha, Charles Nolan, Sun Qi and Christoph Thoenissen

76: Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium

Peter Smith, Steffen Sorensen and Michael Wickens

75: Have markets reacted differently to macroeconomic and monetary policy news since 1997? An empirical analysis of UK intraday trades and prices

Oliver Burrows and Anne Wetherilt

74: Aggregate Economy Risk And Company Failure:An Examination Of Uk Quoted Firms In The Early 1990s

John Hunter and Natalia Isachenkova

73: The U.S. Stock Market and Fundamentals: A Historical Decomposition

David Dupuis and David Tessier

72: Industrial Production and the Current Account: Theory and Panel Data Evidence from the OECD

Huseyin Kalyoncu, Naveed Naqvi and Christopher Tsoukis

71: Real exchange rates, current accounts and the net foreign asset position

Christoph Thoenissen

70: Monetary Policy and the Natural Rate of Unemployment

George Bratsiotis, Christopher Martin and Theodore Panagiotidis

69: Inflation, Inequality and Social Conflict

Christopher Crowe

68: Endogenous Price Flexibility, the Expenditure Switching Effect and Exchange Rate Regime Choice

Ozge Senay and Alan Sutherland

67: Econometric Issues in the Analysis of Contagion

Mohammad Pesaran and Andreas Pick

66: Regime-dependent synchronization of growth cycles between Japan and East Asia

Eric Girardin

65: Uncertainty and UK Monetary Policy

Christopher Martin and Costas Milas

64: Measuring monetary policy in the UK: a factor augmented vector autoregressive approach

Gianluca Lagana

63: Inflation Targeting, committee Decision Making and Uncertainty: The case of the Bank of England's MPC

Arnab Bhattacharjee and Sean Holly

62: IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany

Marco Rummer, Andreas Oehler and Peter Smith

61: Does Financial Structure Matter?

Philip Arestis, Ambika Luintel and Kul Luintel

60: The Determinants of Foreign Currency Hedging by UK Non-Financial Firms

Amrit Judge

59: UK Debt Sustainability: Some Nonlinear Evidence and Theoretical Implications

John Considine and Liam Gallagher

58: Debts, Deficits and the Entry of the Accession Countries into the Euro

Andrew Hughes Hallett and John Lewis

57: Fiscal Sustainability: the Unpleasant European Case

Antonio Afonso

56: Market-wide shocks and anomalous price behaviour: evidence from closed-end funds

Ana-Maria Fuertes and Dylan Thomas

55: UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck

Keith Cuthbertson, Dirk Nitzsche and Niall O' Sullivan

54: Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

Raman Uppal, Lorenzo Garlappi and Tan Wang

53: A Heliocentric Journey into Germany's Great Depression

Mark Weder

52: Linking Real Activity and Financial Markets: BEAM model 1

Celine Gauthier and Fu Chun Li