2005 Working Paper Series

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#05-01
Modeling Bond Yields in Finance and Macroeconomics
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch, January 2005
This is the preprint version only. For the published version see: American Economic Review, 95, pp. 415-420. 2005.

#05-02
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, and Jin (Ginger) Wu
This is the preprint version only. For the published version see: American Economic Review, 95, pp. 398-404. 2005.

#05-03
Special Purpose Vehicles and Securitization
Gary Gorton and Nicholas S. Souleles, September 2005

#05-04
Volatility Forecasting
Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold, February 2005

#05-05
Firm Heterogeneity and Credit Risk Diversification
Samuel Hanson, M. Hashem Pesaran and Til Schuermann, June 2005
Forthcoming, Journal of Empirical Finance.

#05-06
From Cash-in-the-Market Pricing to Financial Fragility
Franklin Allen and Douglas Gale, September 2004
This is the preprint version only. For the published version please see: Journal of the European Economic Association, April-May 2005, 3(2-3), 535-546.

#05-07
Are Bank Capital Ratios Too High or Too Low? Risk Aversion, Incomplete Markets, and Optimal Capital Structure
Douglas Gale and Onur Ozgur, September 2004

#05-08
Behavioral Aspects of Learning in Social Networks:An Experimental Study
Syngjoo Choi, Douglas Gale and Shachar Kariv, October 2004

#05-09
Liquidity, Interest and Asset Prices
Douglas Gale, January 2005

#05-10
Learning in Networks: An Experimental Study
Syngjoo Choi, Douglas Gale and Shachar Kariv, January 2004

#05-11
Notes on Optimal Capital Regulation
Douglas Gale, January 2004

#05-12
Bank Credit Cycles
Gary B. Garton and Ping He, May 2005

#05-13
Eat or Be Eaten: A Theory of Mergers and Merger Waves
Gary Gorton, Matthias Kahl and Richard Rosen, April 2005

#05-14
Global Business Cycles and Credit Risk
M. Hashem Pesaran, Til Schuermann and Bjorn-Jakob Treutler, May 2005
This is the preprint version only. For the published version please see:, Mark Carey and René Stulz (eds.), Risks of Financial Institutions, Chicago, IL: University of Chicago Press, pp. 419-473.

#05-15
Confidence Intervals for Probabilities of Default
Samuel Hanson and Til Schuermann, July 2005
Forthcoming, Journal of Banking and Finance

#05-16
The Basel 2 Approach to Bank Operational Risk: Regulation on the Wrong Track
Richard J. Herring

#05-17
China's Financial System: Past, Present and Future
Franklin Allen, Jun Qian and Meijun Qian, July 2005
Forthcoming in China's Economic Transition: Origins, Mechanism, and Consequences edited by L. Brandt and T. Rawski, Cambridge University Press.

#05-18
BCCI & Barings: Bank Resolutions Complicated by Fraud and
Global Corporate Structure
Richard J. Herring
Published as "BCCI & Barings:  Bank Resolutions Complicated by Fraud and Global Corporat Structure," in Bank Resolutions and Financial Stability, edited by Doug Evanoff and George Kaufman, 2005, pp. 321-345

#05-28
Price Discovery in a Market Under Stress: The U.S. Treasury Market in Fall 1998
Craig H. Furfine and Eli M. Remolona

#05-29
Credit Risk Transfer and Contagion
Franklin Allen and Elena Carletti, November 2005
This is the preprint version only. For the published version please see: Journal of Monetary Economics, 53(2006, )83-111.

#05-30
Negotiating Over Banking Secrecy: The Case of Switzerland and the European Union
Alexandre Ziegler, Francois-Xavier Delaloye and Michel Habib, October 2005

#05-31
Reforming the Home Mortgage Market: Attacking the Problem Rather Than Its Symptoms
Jack Guttentag, June 2005

#05-32
On Truly Privatizing Fannie Mae and Freddie Mac: Why It's Important and How to Do It
Lawrence J. White, June 2005

#05-33
Comments on the Paper by Lawrence White "On Truly Privatizing Fannie Mae and Freddie Mac: Why It's Important and How to Do It"
Dwight Jaffee, June 2005

#05-34
Privatizing a Government Sponsored Enterprise: Lessons from the Sallie Mae Experience
Michael J. Lea, May 2005

#05-35
Comments at the Wharton School Conference on "Fixing the Housing Finance System"
Edward Golding

#05-36
Measuring the Benefits of Fannie Mae and Freddie Mac to Consumers: Between De Minimis and Small?
Anthony B. Sanders, July 2005

#05-37
"Measuring the Benefits of Fannie Mae and Freddie Mac to Consumers: Between De Minimis and Small?": Comments on Professor Anthony Sander's Paper
Thomas H. Stanton, June 2005

#05-38
On Limiting the Retained Mortage Portfolios of Fannie Mae and Freddie Mac
Dwight M. Jaffee, June 2005

#05-39
Wanna Dance? How Firms and Underwriters Choose Each Other
Chitru S. Fernando, Vladimir A. Gatchev and Paul A. Spindt
This is the preprint version only. For the published version please see: Journal of Finance, October, 2005.

#05-40
Are Fairness Opinions Fair? The Case of Mergers and Acquisitions
Darren J. Kisgen, Jun "QJ" Qian and Weihong Song

#05-41
What Drives Private Equity Fund Performance?
Ludovic Phalippou and Maurizio Zollo, November 2005

#05-42
The Performance of Private Equity Funds
Ludovic Phalippou and Maurizio Zollo, September 2005

#05-43
Deriving Credit Portfolio Diversification Properties from Large Asset-backed Security Pools
Eric Higgins and Joseph Mason, December 2005

#05-44
The Financial System of the EU 25
Franklin Allen, Laura Bartiloro and Oskar Kowalewski
This is the preprint version only. For the published version please see: Financial Development, Integration, and Stability: Evidence from Central, Eastern, and South-Eastern Europe, edited by Klaus Liebscher, Josef Christl, Peter Mooslechner, and Doris Ritzberger-Grunwald, 2006