LUISS

Universitŕ di Roma La Sapienza
Universitŕ di Roma Tor Vergata

Papers

XXII International Conference on Money Banking and Finance (December 2013)

  • The interbank network across the Great Financial Crisis: evidence from Italy ( Massimilano Affinito and Alberto F. Pozzolo)
  • How does terms-of-trade volatility shape international financial integration in primary- commodity exporting economies? (Almukhtar Al-Abri)
  • Theory of the Banking Firm: From Regulation to Stability through Optimality (Nader Alber)
  • Uncovering unobserved economy: a general equilibrium characterization (Amedeo Argentiero and Carlo A. Bollino)
  • The effects of organised crime on the riskiness of italian cooperative banks: a comparative analysis between the central-northern and southern italy (Massimo Arnone and Ferdinando Ofria)
  • Net working capital and tax liabilities as determinants of corporate credit risk (Luciana Barbosa)
  • Socially Responsible Versus Conventional Investment Funds Managers’ Performance: Evidence from 1992 to 2012 (Leonardo Becchetti, Rocco Ciciretti, Stefano Herzel and Ambrogio Dalò)
  • Bubbles and trading in incomplete markets (Camelia Bejan and Florin Bidian)
  • Pricing Options Embedded in Bonds under Jump-diffusion Interest-Rate Models (Ramzi Ben Abdallah)
  • Optimal Level of International Reserves in Emerging Countries and Conditions for an International Lender of Last Resort Intervention in managing financial crisis (Hela Ben Hassine Khalladi)
  • Beware of topology! An analysis of contagion in banking networks (Matteo Benetton)
  • Spurious factors in linear asset pricing (Svetlana Bryzgalova)
  • Three strikes and you’re out: a simple econometric model of systemic banking crises (Oliver Bush, Rodrigo Guimaraes and Hanno Stremmel)
  • Bank Fragility and Contagion: Evidence from the CDS market (Barbara Casu, Laura Ballester and Ana Gonzalez-Urteaga)
  • What Do Stock Markets Tell Us About Exchange Rates? (Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente)
  • Is The World Stock Market Comovement Changing? (N. K. Chidambaran and Douglas W. Blackburn)
  • Do institutional and political factors matter for efficiency of banking sectors? (Patrycja Chodnicka and Malgorzata Olszak)
  • Does bank size matter in financing small business innovation? (Lucia Dalla Pellegrina, Serena Frazzoni, Zeno Rotondi and Andrea Vezzulli)
  • International contagion and loan supply after Lehman (Louise Marie De Belleville)
  • Lending Concentration, Bank Performance and Systemic Risk (Olivier De Jonghe and Thorsten Beck)
  • Bank Lending Procyclicality and Credit Quality during Financial Crises (Guglielmo M. Caporali, Stefano Di Colli and Sergio Lopez)
  • Bank Concentration and Schumpeterian Growth: Theory and International Evidence (Boubacar Diallo and Wilfried Koch)
  • The Economics of Virtual Currencies (Jerry Dwier)
  • Determinants of loan securitization in European banking (Christian Farruggio)
  • Fiscal Consolidation and Rule of Thumb Consumers: Gain With or Without Pain? (Maria Ferrara and Patrizio Tirelli)
  • Do firm-bank odd couples exacerbate credit rationing? (Giovanni Ferri and Pierluigi Murro)
  • Relative Performance of Syndicated Loans: An Empirical Analysis (Bill Francis, Iftekhar Hasan and Liuling Liu)
  • Macro-Based Parametric Asset Allocation (Richard Franz)
  • Procyclicality of Rating Agencies (Lennart Freitag and Emmanouil Sfakianakis)
  • Uneven Effects of Financial Liberalization on Productivity Growth: Evidence from a Dynamic Panel Investigation (Agnieszka Gehringer)
  • Market Conditions and Soundness: Islamic and Conventional Banks in MENA (Claudia Girardone, Stuart Snaith and Samah Issa)
  • Optimal operational monetary policy in a medium size Dynamic Stochastic General Equilibrium Model with financial frictions: the effect of financial risk variability (Chiara Guerello)
  • How Bank Competition Influences Liquidity Creation (Roman Horvath and Seidler Weill)
  • Wishful Thinking or Effective Threat? Tightening Bank Resolution Regimes and Bank Risk-Taking (Magdalena Ignatowski and Josef Korte)
  • What determines the interest margin? An analysis of the German banking system (Alexander Karmann, Andreas Buehn and Marco Pedrotti)
  • Evaluating Feedback Links Between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic (Tomas Konecny, Oxana Kucharcukova)
  • Zero Risk Contagion – Banks’ Sovereign Exposure and Sovereign Risk Spillovers (Josef Korte and Sascha Steffen)
  • Which core inflation measure for Vietnam? (Lai Ngoc Ahn)
  • Market Perceptions of US and European Policy Actions Around the Subprime Crisis (Thorsten Lehnert, Yoichi Otsubo and Theoharry Grammatikos)
  • Money and the twin crises (James Lothian)
  • The Organization of Bank Affiliates; a Theoretical Perspective on Risk and Efficiency (Elisa Luciano and Clas Wihlborg)
  • Dynamic transmissions between the U.S. and equity markets in the MENA countries (Aktham I. Maghyereh, Basel Awartani and Kahlil Al Hilu)
  • Financial stability and competition in the Euro area (Davide Mare and Franco Fiordelisi)
  • The Italian Downgrades and the Spread BTP-bund (Angelo Marinangeli)
  • Banks’ capital: can market values help predict/prevent default? (Rainer Masera and Giancarlo Mazzoni)
  • A Quantitative Evaluation of the Welfare Costs of Bank Runs (Elena Mattana and Ettore Panetti)
  • Time-varying dependence in sovereign and bank credit spreads: Evidence from Europe (Christian Meine)
  • The role of financial frictions in 2007-2012: an estimated DSGE model (Rossana Merola)
  • Risk versus ambiguity and international security design (Tomasz Michalski and Brian Hill)
  • Local banking development and income distribution across Italian provinces (Pierluigi Murro and Alexandra D’Onofrio)
  • The use of collateral in formal and informal lending (Doris Neuberger, Menkhoff and Kislat)
  • Currency excess returns and global downside market risk (Victoria Nitschka and Thomas Galsband)
  • Drivers of foreign and domestic demand for sovereign bonds in developed and emerging economies: fundamentals vs. market sentiment (Tomasz Orpiszewski)
  • Stochastic volatility models and parameter estimation using a new filtering method (Marco Papi)
  • Internal capital market practices of multinational banks Evidence from sub-Saharan Africa (Adeline Pelletier)
  • Assessing the Risk Management Practices of Islamic Banks in Malaysia and Indonesia (Rashida A. Rahman, Zuraeda Ibrahim, Achmad Tohirin, Aliyu Dahiru Muhammad and Rossje V. Suryaputri)
  • Beating the Black Box of Risk-Weighted Capital: Is a Leverage Ratio Justified? (Alexander Schaefer)
  • Downside Risk and Capital Asset Pricing: International Evidence (Mohamed Sherif and David Recker)
  • The impact of sovereign rating news on European banks (Stefano Caselli, Gino Gandolfi and Gaia Soana)
  • Sovereign Risk and Monetary Policy (Anna Sokolova)
  • Flight Home or Flight to Safety: Evidence from Insurance Companies’ Active Trading during the Sovereign Debt Crisis (Robert Vermeulen and Melle Bijlsma)
  • Bank Regulation when both Deposit Rate Control and Capital Requirements are Socially Costly (Gerd Weinrich and Carsten Nielsen)
  • A welfare analysis of zombie banks and policy countermeasures (Daniel William)
  • Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior? (Yuehao Lin, Nicolas Martelin and Thorsten Lehnert)
  • Queuing Uncertainty (Bart Zhou Yueshen)
  • Monetary Policy in Times of Financial Stress (Zivile Zekaite and Alexandros Kontonikas)

Papers presented at XXI International Conference on Money, Banking and Finance (December 2012)

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