Economic Notes DATINI

Economic Notes

Siena, Monte dei Paschi di Siena
ISSN: 0391-5026
Conservata in: Università degli Studi di Firenze
Periodico elettronico in linea – ID n.: SFX963017520063
Consistenza: v. 1, a. 1972, 1-
Lacune: v. 27, a. 1998, 2-3; v. 27, a. 1998, 2-3; v. 15, a. 1986, 1-v. 26, a. 1997, 3;
[ 2030-2021 ] [ 2020-2011 ] [ 2010-2001 ] [ 2000-1991 ] [ 1990-1981 ] [ 1980-1972 ]

copertina della rivista

v. 39, a. 2010, 3

Chiara Pederzoli, Costanza Torricelli, Simona Castellani, The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case , p. 129
Marco Realdon, After-tax Valuation of Convertible Bonds and Participation Exemption, p. 147
Paolo Coccorese, Alfonso Pellecchia, Testing the ‘Quiet Life’ Hypothesis in the Italian Banking Industry, p. 173
Flavio Angelini, Marco Nicolosi, On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error, p. 203

v. 39, a. 2010, 1-2

M. Alper Çenesiz, Christian Pierdzioch, Financial Market Integration, Costs of Adjusting Hours Worked and Monetary Policy, p. 1
Abu N. M. Wahid, Abdul Jalil, Financial Development and GDP Volatility in China, p. 27

Roberto Renò, Cecilia Mancini, Introduction to the Special Issue: Financial Mathematics and Econometrics, p. 43

Angelica Gianfreda, Volatility and Volume Effects in European Electricity Spot Markets, p. 47
Laura Pasin, Tiziano Vargiolu, Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes, p. 65
Ilia Negri, Yoichi Nishiyama, Review on Goodness of Fit Tests for Ergodic Diffusion Processes by Different Sampling Schemes, p. 91
Stefano M. Iacus, Nakahiro Yoshida, Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations, p. 107

v. 38, a. 2009, 3

Giovanni Ferri, In Memory of Alessandro Prati, p. 117

Victoria Miller, Fixed Exchange Rates and Banking Crises: When Does the Former Prevent the Latter?, p. 119
Fabio Filipozzi, Market-Based Measures of Monetary Policy Expectations and Their Evolution Since the Introduction of the Euro, p. 137
Luigi Marattin, Massimiliano Marzo, A Note on the (Un) Pleasant Arithmetic of Fiscal Policy: The Case of Italian Public Debt, p. 169

Index to Volume 38, 2009, p. 185
Economic Notes, p. 187

v. 38, a. 2009, 1-2

Alex Cukierman, The Limits of Transparency, p. 1
Carlo Rosa, Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words, p. 39
Antonio Forte, Giovanni Pesce, The International Financial Crisis Viewed by Experts, p. 67
Nicholas M. Odhiambo, Oludele A. Akinboade, Interest-Rate Reforms and Financial Deepening in Botswana: An Empirical Investigation, p. 97

v. 37, a. 2008, 3

Giovanni Ferri, I. The context of the global financial crisis, p. 211
Gian Maria Milesi-Ferretti, II. The conference proceedings, p. 213

Menzie D. Chinn, Non-linearities, Business Cycles and Exchange Rates, p. 219
Vahagn Galstyan, Philip R. Lane, External Imbalances and the Extensive Margin of Trade, p. 241
Gian Maria Milesi-Ferretti, Fundamentals at Odds? The US Current Account Deficit and Dollar, p. 259
Cedric Tille, Composition of International Assets and the Long-run Current Account, p. 283
Enrique Alberola, José María Serena, Reserves, Sovereign Wealth Funds and the Resilience of Global Imbalances, p. 315
Francis E. Warnock, The Impact of a Disorderly Resolution of Global Imbalances on Global Wealth, p. 345

v. 37, a. 2008, 2

Gianluca Laganà, The Power of the Euro-Sterling Rates in Explaining Asset Market Rates: A High-frequency Analysis, p. 127
Rangan Gupta, Emmanuel Ziramba, Costly Tax Enforcement and Financial Repression, p. 141
Mariarosaria Agostino, Damiano B. Silipo, Francesco Trivieri, The Effects of Screening and Monitoring on Credit Rationing of SMEs, p. 155
Alexandros E. Milionis, Evangelia Papanagiotou, On the Use of the Moving Average Trading Rule to Test for Weak Form Efficiency in Capital Markets, p. 181

Review Essay, p. 203

v. 37, a. 2008, 1

Wolfram Berger, Monetary Policy Rules for a Small Open Economy, p. 1
Andrea Gamba, Gordon A. Sick, Carmen Aranda León, Investment under Uncertainty, Debt and Taxes, p. 31
Luis A. Gil-Alana, Natalia Luqui, Juncal Cunado, Trade Balance and Exchange Rate: Unit Roots, Co-integration and Long Memory in the US and the UK, p. 59
Theofanis Archontakis, Wolfgang Lemke, Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure, p. 75
Patrick Minford, Naveen Srinivasan, Are Central Bank P Asymmetric? A Comment, p. 119

v. 36, a. 2007, 3

Oldrich Alfons Vasicek, The Heath, Jarrow, Morton Model, p. 205
Paola Bongini, Maria Luisa Di Battista, Emma Zavarrone, The Value of Relationship Lending: Small Banks in an Era of Consolidation, p. 209
Benjamin M. Tabak, Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market, p. 231
Luigi Bonatti, The Interaction between the Central Bank and a Single Monopoly Union Revisited: Does Greater Monetary Policy Uncertainty Reduce Nominal Wages?, p. 247

v. 36, a. 2007, 2

Giuseppe Bertola, Stefan Hochguertel, Household Debt and Credit: Economic Issues and Data Problems, p. 115
Zeno Rotondi, Giacomo Vaciago, Lessons from the ECB Experience: Frankfurt Still Matters!, p. 147
Saibal Ghosh, Does Financial Liberalization Lower Problem Loans in Banks?, p. 171
Marcella Lucchetta, What Do Data Say About Monetary Policy, Bank Liquidity and Bank Risk Taking?, p. 189

v. 36, a. 2007, 1

Sergey Isaenko, Dynamic Equilibrium with Overpriced Put Options, p. 1
Ken Nyholm, A New Approach to Predicting Recessions, p. 27
Luca Casolaro, Giorgio Gobbi, Information Technology and Productivity Changes in the Banking Industry, p. 43
Doriana Ruffino, Jonathan Treussard, Financial Frictions and Risky Corporate Debt, p. 77
Samy Ben Naceur, Samir Ghazouani, Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence, p. 89

v. 35, a. 2006, 3

Roberto Renò, Antonio Roma, Stephen Schaefer, A Comparison of Alternative Non-parametric Estimators of the Short Rate Diffusion Coefficient, p. 227
Fayez A. Elayan, Kuntara Pukthuanthong, Richard Roll, Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation, p. 253
Maurizio Dallocchio, Jerome Hubler, Philippe Raimbourg, Antonio Salvi, Do Upgradings and Downgradings Convey Information? An Event Study of the French Bond Market, p. 293
Doris Neuberger, Solvig Räthke, Christoph Schacht, The Number of Bank Relationships of SMEs: A Disaggregated Analysis of Changes in the Swiss Loan Market, p. 319
Ombretta Terazzan, Estimating the Term Structure of Credit Spreads on Euro-denominated Corporate Bonds, p. 355

Review Essay, p. 377
Index to Volume 35, 2006, p. 385

v. 35, a. 2006, 2

Lorenzo Bini Smaghi, Giovanni Ferri, Revisiting the European Monetary System Experience: Were Some Members More Equal than Others?, p. 151
Roberto Savona, Tax-induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy, p. 173
Andrea Bassanini, Credibility, Irreversibility of Investment, and Liberalization Reforms in LDCs, p. 203
Essay Review, p. 219

v. 35, a. 2006, 1

Massimo Caruso, Stock Market Fluctuations and Money Demand in Italy, 1913-2003, p. 1
Margarida Catalão- Lopes, Bank Mergers, Information, Default and the Price of Credit, p. 49
Massimiliano Marzo, Optimal Monetary Policy with Price and Wage Rigidities, p. 63
Pietro Perotti Barbara Rindi, Market for Information and Identity Disclosure in an Experimental Open Limit Order Book, p. 97
Antonio, Di Cesare, Do Market-based Indicators Anticipate Rating Agencies? Evidence for International Banks, p. 121

v. 34, a. 2005, 3

Hyun Song Shin, Liquidity and Twin Crises, p. 257
David T. Llewellyn, Competition and Profitability in European Banking: Why Are British Banks So Profitable?, p. 279
Alessandro Piergallini, Equilibrium Determinacy under Monetary and Fiscal Policies in an Overlapping Generations Model, p. 313
Sophia Lazaretou, Greek Monetary Economics in Retrospect: The Adventures of the Drachma, p. 331
Emilio Barucci, Jury Falini, Determinants of Corporate Governance in the Italian Financial Market, p. 371-405 Mark J. Holmes, Integration or Independence? An Alternative Assessment of Real Interest Rate Linkages in the European Union, p. 407

Index to Volume 34, 2005, p. 429

v. 34, a. 2005, 2

Edward I. Altman, Herbert A. Rijken, The Impact of the Rating Agencies’ Through-the-cycle Methodology on Rating Dynamics, p. 127
Andrew Friend Ebbe Rogge, Correlation at First Sight, p. 155
Greg M. Gupton, Advancing Loss Given Default Prediction Models:?How the Quiet Have Quickened, p. 185
Sergio Scandizzo, Risk Mapping and Key Risk Indicators in Operational Risk Management, p. 231

v. 34, a. 2005, 1

John A. Doukas, Halit Gonenc, Long-term Performance of New Equity Issuers, Venture Capital and Reputation of Investment Bankers, p. 1
Niklas Wagner, Warren Hogan, Jonathan Batten, Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds, p. 35
Monica Gentile, Roberto Renò, Specification Analysis of Diffusion Models for the Italian Short Rate, p. 51
Guido de Blasio, Does Trade Credit Substitute Bank Credit? Evidence from Firm-level Data, p. 85
Franz R. Hahn, Finance-Growth Nexus and the P-bias: Evidence from OECD Countries, p. 113

v. 33, a. 2004, 3

Editorial – Proceedings of the “5th Workshop in Quantitative Finance”, p. 323

Annalisa Di Clemente, Claudio Romano, Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach, p. 325
Martino Grasselli, Claudio Tebaldi, Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model, p. 359
Claudio Marsala, Massimiliano Pallotta, Raffaele Zenti, Integrated Risk Management with a Filtered Bootstrap Approach, p. 375
Alessandro Sbuelz, Analytical American Option Pricing: The Flat-barrier Lower Bound, p. 399
Giacomo Scandolo, Models of Capital Requirements in Static and Dynamic Settings, p. 415

Review Essay, p. 437

v. 33, a. 2004, 2

Edward Altman, Andrea Resti, Andrea Sironi, Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence, p. 183
Stefano Galluccio, Christopher Hunter, The Co-initial Swap Market Model, p. 209
Christian Bluhm, Ludger Overbeck, Semi-analytic Approaches to Collateralized Debt Obligation Modelling, p. 233
Ari Hyytinen, Tuomas Takalo, Preventing Systemic Crises through Bank Transparency, p. 257
Gianluca Cassese, Massimo Guidolin, Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data, p. 275

v. 33, a. 2004, 1

Eduardo Schwartz, Walter Torous, Introduction, p. 1
Michael J. Brennan How Did It Happen?, p. 3
Eduardo S. Schwartz, Patents and R&D as Real Options, p. 23
Douglas T. Breeden, Optimal Dynamic Trading Strategies, p. 55
Ronald Giammarino, Robert Heinkel, Burton Hollifield, Kai Li, Corporate Decisions, Information and Prices: Do Managers Move Prices or Do Prices Move Managers?, p. 83
Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam, Liquidity Dynamics Across Small and Large Firms, p. 111
Tarun Chordia, Bhaskaran Swaminathan, Incomplete Information, Trading Costs and Cross-autocorrelations in Stock Returns, p. 145

v. 32, a. 2003, 3

Lucio Sarno, Ibrahim Chowdhury, The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index, p. 295
Efrem Castelnuovo, Paolo Surico, What does Monetary Policy Reveal about a Central Bank’s Preferences?, p. 335
David Chappell, Paul Turner, The Taylor Rule and Dynamic Stability in a Small Macroeconomic Model, p. 361
Gabriele Galati, Corrinne Ho, Macroeconomic News and the Euro/Dollar Exchange Rate, p. 371-398 Review Essays, p. 399 Volume Index, p. 409

v. 32, a. 2003, 2

Andrea Berardi, Francesco Rossi, Introduction, p. 143
Edward I. Altman, Jason Pompeii, Market Size and Investment Performance of Defaulted Bonds and Bank Loans: 1987-2001, p. 147
Gianluca Oderda, Michel M. Dacorogna, Tobias Jung, Credit Risk Models – Do They Deliver Their Promises? A Quantitative Assessment, p. 177
Stuart M. Turnbull, Pricing Loans Using Default Probabilities, p. 197
Umberto Cherubini, Elisa Luciano, Pricing and Hedging Credit Derivatives with Copulas, p. 219
Didier Cossin, Tomas Hricko, A Structural Analysis of Credit Risk With Risky Collateral: A Methodology for Haircut Determination, p. 243
Giovanni Barone-Adesi, Andrea Gigli, Managing Electricity Risk, p. 283

v. 32, a. 2003, 1

Jan Marc Berk, New Economy, Old Central Banks?, p. 1
Ulrich Bindseil, Benedict Weller, Flemming Wuertz, Central Bank and Commercial Banks’ Liquidity Management – What is the Relationship?, p. 37
Angelo Baglioni, Rony Hamaui, The Choice Among Interbank Settlement Systems: The European Experience, p. 67

Review Essays, p. 101

v. 31, a. 2002, 3

Andrea Beltratti, Massimo Di Tria, The Cross-section of Risk Premia in the Italian Stock Market, p. 389
Fabio Panetta, The Stability of the Relation Between the Stock Market and Macroeconomic Forces, p. 417
Riccardo Fiorentini, Roberto Tamborini, Monetary Policy, Credit and Aggregate Supply: The Evidence from Italy, p. 451
Paola Brighi, Interbank Lending, Liquidity and Banking Crises, p. 493
Marco Rossi, The Race towards Transparency: An Experimental Investigation, p. 523
Efraim Sadka, Vito Tanzi, Increasing Dependency Ratios, Pensions and Tax Smoothing, p. 547

Review Essays, p. 559

v. 31, a. 2002, 2

Andrea Berardi, Francesco Rossi, Introduction, p. 197
Edward I. Altman, Managing Credit Risk: A Challenge for the New Millennium, p. 201
Stuart M. Turnbull, Bank and Business Performance Measurement, p. 215
Alexandre Kurth, Hadley Taylor, Armin Wagner, An Extended Analytical Approach to Credit Risk Management, p. 237
Marcello Esposito, Basic Insights in Pricing Basket Credit Derivatives, p. 255
Steve Allen, Otello Padovani, Risk Management Using Quasi-static Hedging, p. 277
Carol Alexander, Principal Component Models for Generating Large GARCH Covariance Matrices, p. 337
Rama Cont, José Da Fonseca, Valdo Durrleman, Stochastic Models of Implied Volatility Surfaces, p. 361
Carlo Acerbi, Dirk Tasche, Expected Shortfall: A Natural Coherent Alternative to Value at Risk, p. 379

v. 31, a. 2002, 1

Charles A. E. Goodhart, The Organizational Structure of Banking Supervision, p. 1
Catherine Lubochinsky, M. Desmond Fitzgerald, Lee Mcginty, The Role of Hedge Funds in International Financial Markets, p. 33
Sabrina Antonelli, Maria Gabriella Iovino, Optimization of Monte Carlo Procedures for Value at Risk Estimates, p. 59
Valeria De Bonis, Regional Integration and the Co-ordination of Capital Income Taxation, p. 79
Luigi Bonatti, Volatility, Stabilization and Union Wage-setting: The Effects of Monetary Policy on the ‘Natural’ Unemployment Rate, p. 109
Joë Lle Miffre, Economic Significance of the Predictable Movements in Futures Returns, p. 123
Udo Broll, Kit Pong Wong, Imperfect Forward Markets and Hedging, p. 141
I. A. Moosa, Price Discovery and Risk Transfer in the Crude Oil Futures Market: Some Structural Time Series Evidence, p. 155
Donald E. Campbell, Social Cost And Groves Mechanisms, p. 167
Gonnanno Bonanno, Reply to ‘Social Cost and Groves Mechanisms’, p. 175

Review Essay, p. 179

v. 30, a. 2001, 3

Giovanni Ferri, Opening Remarks, p. 319

Giovanni Carosio, The New Basel Capital Adequacy Framework, p. 327
Viral V. Acharya, Competition Among Banks, Capital Requirements and International Spillovers, p. 337
Patrick Honohan, Perverse Effects of an External Ratings-Related Capital Adequacy System, p. 359
Reint Gropp, Anthony J. Richards, Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What Can we Infer About Private Sector Monitoring of Bank Soundness?, p. 373
Maria Concetta Chiuri, Giovanni Ferri, Giovanni Majnoni, Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies?, p. 399
A. Foglia, S. Iannotti, p. Marullo Reedtz, The Definition of the Grading Scales in Banks’ Internal Rating Systems, p. 421
Andrea Resti, Cristina Omacini, Analytical and Empirical Features of Internal Ratings: An Empirical Consistency Test based on Statistical Models, p. 457
Fabrizio Mattesini, Capital Requirements in a Financially Driven Business Cycle Model, p. 491

v. 30, a. 2001, 2

Andrea Berardi, Francesco Rossi, Introduction, p. 163

Giovanni Barone-Adesi, Kostas Giannopoulos, Non parametric VaR Techniques. Myths and Realities, p. 167
Fulvio Corsi, Gilles Zumbach, Ulrich A. Muller, Michel M. Dacorogna, Consistent High-precision Volatility from High-frequency Data, p. 183
Andrea Beltratti, Claudio Morana, Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data, p. 205
Umberto Cherubini, Elisa Luciano, Value-at-risk Trade-off and Capital Allocation with Copulas, p. 235
Claudio Tebaldi, Hedging a Portfolio of Derivative Securities: A Simulation Approach, p. 257
Lane P. Hughston, Stuart M. Turnbull, Credit Risk: Constructing the Basic Building Blocks, p. 281
Umberto Cherubini, Giovanni Della Lunga, Fuzzy Value-at-risk: Accounting for Market Liquidity, p. 293

Review Articles, p. 313

v. 30, a. 2001, 1

Marcello Basili, Knightian Uncertainty in Financial Markets: An Assessment, p. 1
Lilia Cavallari, Current Account and Exchange Rate Dynamics, p. 27
François Chesnay, Eric Jondeau, Does Correlation Between Stock Returns Really Increase During Turbulent Periods?, p. 53
Giuseppe De Arcangelis, Giorgio Di Giorgio, Measuring Monetary Policy Shocks in a Small Open Economy, p. 81
Leonardo Gambacorta, On the Institutional Design of the European Monetary Union: Conservatism, Stability Pact and Economic Shocks, p. 109
David Chappell, Kent Matthews, Monetary Disequilibrium, Endogenous Money, Stability and the Determinacy of Inflation, p. 145