2007 Working Paper Series

Click on the title to see the abstract. Click on the icon to download the entire paper. (You will need the free Acrobat Reader from Adobe).

#07-01
Measuring Financial Asset Return and Volatility Spillovers, with Application to to Global Equity Markets
Francis X. Diebold and Kamil Yilmaz, Jamuary 2007

#07-02
The Measurement of Bank Liquidity Creation and the Effect of Capital
Allen N. Berger and Christa H.S. Bouwman, September 2006
This is the preprint version only. For the final version, please see: Review of Financial Studies 22(9): 3779-3837

#07-03
Bank Ownership and Efficiency in China: What Will Happen in the World's Largest Nation?
Allen N. Berger, Iftekhar Hasan and Mingming Zhou, June 2006

#07-04
The Effects of Banks on "Debt-Sensitive" Small Businesses
Allen N. Berger and Philip Ostromogolsky, July 2006

#07-05
Why Do Borrowers Pledge Collateral? New Empirical Evidence on the Role of Asymmetrical Information
Allen N. Berger, Marco A. Espinosa-Vega, W. Scott Frame and Nathan H. Miller

#07-06
Corporate Governance and Risk Taking
Kose John, Lubomir Litov, and Bernard Yeung, April 2007

#07-07
Financial Accounting Characteristics and Debt Covenants
Richard Frankel and Lubomir Litov, March 2007

#07-08
China's Financial System: Past, Present and Future
Franklin Allen, Jun "QJ" Qian, and Meijun Qian, March 2007
This is the preprint version only. For the final version, please see:"China's Great Economic Transformation,” edited by T. Rawski and L. Brandt, Cambridge University Press, 2007.

#07-09
Corporate Governance and Dividend Policy in Poland
Oskar Kowalewski, Ivan Stetsyuk, and Oleksandr Talavera, April 2007

#07-10
Mars-Venus Marriages: Culture and Cross-Border M&A
Rajesh Chakrabarti, Narayanan Jayaraman, and Swastika Mukerjee, March 2006

#07-11
Power, Compensation and Corruption:Theory and Evidence
Ajay Subramanian and Rajesh Chakrabarti

#07-12
Board Classification and Managerial Entrenchment: Evidence from the Market for Corporate Control
Thomas W. Bates, David A. Becher, and Michael L. Lemmon, April 2007

#07-13
The Economic Value of Regulated Disclosure: Evidence from the Banking Sector
Solomon Tadesse, January 2006

#07-14
Innovation, Information and Financial Architecture
Solomon Tadesse

#07-15
Credit Scoring with Macroeconomic Variables Using Survival Analysis
Tony Bellotti and Jonathan Crook, May 2007

#07-16
Payoff Complementarities and Financial Fragility: Evidence from Mutual Fund Outflows
Qi Chen, Itay Goldstein and Wei Jiang, October 2006

#07-17
Hedge Funds, Financial Intermediation and Systemic Risk
John Kambhu, Til Schuermann and Kevin J. Stiroh, June 2007

#07-18
Decomposing and Valuing the Callable Convertible Bonds: A New Method Based on Exotic Options
Qi-yuan Zhou, Chong-feng Yu, Yun Feng

#07-19
The Welfare Cost of Bank Capital Requirements
Skander J. Van Den Heuvel, August 2007

#07-20
An Introduction to Financial Crises
Franklin Allen and Douglas Gale, August 2007

#07-21
A Closer Look at Stable Value Funds Performance
David F. Babbel and Miguel A. Herce, September 2007

#07-22
The Repercussions on Small Banks and Small Businesses of Bank Capital and Loan Guarantees
Diana Hancock, Joe Peek, and James A. Wilcox

#07-23
Forecasting Components of Consumption with Components of Consumer Sentiment
James A. Wilcox, September 2007

#07-24
Banks, Markets and Liquidity
Franklin Allen and Elena Carletti, August 2007
This is the preprint version only. For the published version please see: The Structure and Resilience of the Financial System, edited by C. Kent and J. Lawson, Sydney: Reserve Bank of Australia, 201-218.

#07-25
Money in Motion: Dynamic Portfolio Choice in Retirement
Wolfram J. Horneff, Raimond H. Maurer, Olivia S. Mitchell, and Michael Z. Stamos

#07-26
Housing Finance in Emerging Economies: Applying a Benchmark from Developed Countries
Ashok Bardhan and Robert H. Edelstein
Forthcoming in Mortgage Markets Worldwide (Editors: Danny Ben-Shahar, Seow
Eng Ong, Charles Leung), Blackwell, 2007

#07-27
Global Financial Integration and Real Estate Security Returns
Ashok Bardhan, Robert Edelstein, and Desmond Tsang

#07-28
Real Estate through the Ages: The Known, the Unknown and
the Unknowable
Ashok Bardhan and Robert Edelstein
Forthcoming in F. Diebold, N. Doherty, R. Herring, eds., The Known, the Unknown and the Unknowable in Risk Management. Princeton: Princeton University Press, 2007

#07-29
Ownership Dynamics with Multiple Insiders: The Case of REITs
Robert H. Edelstein, Antoni Sureda-Gomila, Branko Urošević,
and Nicholas Wonder, December 2006

#07-30
Japan Land Prices: A Statistical Expectations Modeling Approach
Yoon Dokko, Simon Firestone, Robert H. Edelstein, Jean Michael Paul, and Branko Urošević, July 2007

#07-31
The Rocky Road to Implementation of Basel II in the United States
Richard J. Herring

#07-32
Booms and Busts in Housing Markets: How Vulnerable is New Zealand?
Richard J. Herring

#07-33
Conflicts Between Home & Host Country Prudential Supervisors
Richard J. Herring

#07-34
The Structure of Cross-Sector Financial Supervision
Richard J. Herring and Jacopo Carmassi

#07-35
Liquidity Risk Management
C.A.E. Goodhart

#07-36
India's Financial System
Franklin Allen, Rajesh Chakrabarti and Sankar De, October 2007
Published in Japanese in Nomura Institute of Capital Markets Research, Tokyo, Special Paper Number 3, October 2008

#07-37
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Jens H.E. Christensen, Francis X. Diebold and Glenn D. Rudebusch

#07-38
Real-Time Measurement of Business Conditions
S. Boragan Aruoba, Francis X. Diebold and Chiara Scotti, July 2007

#07-39
Stakeholder Capitalism, Corporate Governance and
Firm Value
Franklin Allen, Elena Carletti and Robert Marquez, August 2007
For an updated version of this paper, please see #09-28

#07-40
Roughing It Up: Including Jump Components in the Measurement,
Modeling and Forecasting of Return Volatility
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold, August 2005

#07-41
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
Francis X. Diebold, Canlin Li and Vivian Z. Yue, May 2007

#07-42
The Hedge Fund Game: Incentives, Excess Returns, and Performance Mimics
Dean P. Foster and H. Peyton Young, November 2007, updated September 2008

#07-43
Understanding the Securitization of Subprime Mortgage Credit
Adam B. Ashcraft and Til Schuermann, March 2008

#07-44
How are U.S. Family Firms Controlled?
Belen Villalonga and Raphael Amit, December 2007
Forthcoming, Review of Financial Studies

#07-45
Family Control of Firms and Industries
Belen Villalonga and Raphael Amit, October 2007