2008 Working Paper Series

Our working paper series is Library of Congress
ISSN 1936-9344

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).

#08-01
The Reaction of Consumer Spending and Debt to Tax Rebates - Evidence from Consumer Credit Data
Sumit Agarwal, Chunlin Liu and Nicholas S. Souleles, November 2007

#08-02
Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?
Rajna Gibson, Michel A. Habib and Alexandre Ziegler

#08-03
Liquidity Production in 21st Century Banking
Philip E. Strahan, January 2008
For an updated version of this paper, please see #09-27

#08-04
Liquidity Risk and Syndicate Structure
Evan Gatev and Philip E. Strahan, January 2008

#08-05
Forecasting Economic and Financial Variables with Global VARs
M. Hashem Pesaran, Til Schuermann and L. Vanessa Smith, January 2008

#08-06
The Economic Impact of Merger Control Legislation
Elena Carletti, Philipp Hartmann and Steven Ongena, December 2007

#08-07
Networks in Finance
Franklin Allen and Ana Babus, August 2008
This is the prepublication version only. For the published version please see The Network Challenge , edited by Paul Kleindorfer and Jerry Wind, Wharton School Publishing.

#08-08
Economic Determinants and Entry Modes of Foreign Banks into Central Europe
Aneta Hryckiewicz and Oskar Kowalewski, January 2008

#08-09
How Do Large Banking Organizations Manage Their Capital Ratios?
Allen N. Berger, Robert DeYoung, Mark J. Flannery, David Lee and Ozde Oztekin

#08-10
Trading in Networks: A Normal Form Game Experiment
Douglas Gale and Shachar Kariv, September 2008

#08-11
Estimating Ambuiguity Aversion in a Portfolio Choice Experiment
David Ahn, Syngjoo Choi, Douglas Gale and Shachar Kariv, December 2007

#08-12
Optimal Mortgage Loan Diversification
Kourosh M. Rasmussen and Stavros A. Zenios, November 2007

#08-13
Banking Structures and Financial Stability
Allen N. Berger, Leora F. Klapper and Rima Turk-Ariss

#08-14
Financial Contracting and the Specialization of Assets
Robert Marquez and M. Deniz Yavuz, April 2008

#08-15
Risk and the Corporate Structure of Banks
Giovanni Dell' Ariccia and Robert Marquez, March 2008

#08-16
Does Regulation Substitute or Complement Governance?
David A. Becher and Melissa B. Frye, February 2008

#08-17
Bidder Returns and Merger Anticipation: Evidence from Banking Deregulation
David A. Becher, April 2008

#08-18
Law, Institutions and Finance in China and India
Franklin Allen, Rajesh Chakrabarti, Sankar De, Jun "QJ" Qian and Meijun Qian
Forthcoming in Emerging Giants: China and India in the World Economy edited by Barry Eichengreen, Poonam Gupta, and Rajiv Kumar, 2008.

#08-19
The Role of Banks in Financial Systems
Franklin Allen and Elena Carletti, March 2008
Forthcoming inThe Oxford Handbook of Banking, edited by A. Berger, P. Molyneux, and J. Wilson, Oxford University Press, 2008

#08-20
Attention and Trading
Yu Yuan, April 2008

#08-21
Competitive Effects of Basel II on U.S. Bank Credit Card Lending
William W. Lang, Loretta J. Mester and Todd A. Vermilyea, March 2007
Forthcoming, Journal of Financial Intermediation

#08-22
Core Measures of Inflation as Predictors of Total Inflation
Theodore M. Crone, N. Neil K. Khettry, Loretta J. Mester and Jason A. Novak, May 2008

#08-23
Central Bank Institutional Structure and Effective Central Banking: Cross-Country Empirical Evidence
Iftekhar Hasan and Loretta J. Mester, April 2008

#08-24
Optimal Industrial Structure in Banking
Loretta J. Mester, July 2005
Forthcoming, Handbook of Financial Intermediation, Elsevier , June 2008.

#08-25
Efficiency in Banking: Theory, Practice, and Evidence
Joseph P. Hughes and Loretta J. Mester, January 2008
Forthcoming, Oxford Handbook of Banking

#08-26
Comparing Legal and Alternative Institutions in Commerce
Franklin Allen and Jun "QJ" Qian, January 2009
Forthcoming in Global Perspectives of Rule of Law, edited by J. Heckman and R. Nelson, Routledge, 2009.

#08-27
Statistical String Theory for Courts: If the Data Don't Fit...
David F. Babbel, Vincent James Strickler and Ricki Sears, July 2008

#08-28
A Review of China’s Financial System and Initiatives for the Future
Franklin Allen, Jun "QJ" Qian, Meijun Qian and Mengxin Zhao, July 2008
This is the prepublication version only. For the published version, please see China's Emerging Financial Markets, edited by J. R. Barth, J.A. Tatom, and G. Yago, The MIlkin Institute Series on Financial Innovation and Economic Growth, 2009.

#08-29
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Jens H.E. Christensen, Francis X. Diebold and Glenn D. Rudebusch

#08-30
Macroeconomic Volatility and Stock Market Volatility, World-Wide
Francis X. Diebold and Kamil Yilmaz, August 2008

#08-31
Illiquidity and Under-Valuation of Firms
Douglas Gale and Piero Gottardi, September 2008

#08-32
Financial Integration and Scope Efficiency in U.S. Financial Services Post Gramm-Leach-Bliley
Yuan Yuan and Richard D. Phillips, June 2008

#08-33
The Role of Liquidity in Financial Crises
Franklin Allen and Elena Carletti, September 2008

#08-34
Liquidity and Valuation in an Uncertain World
David Easley and Maureen O'Hara, September 2008

#08-35
Empirical Analysis of Corporate Credit Lines
Gabriel Jiménez, Jose A. Lopez and Jesús Saurina

#08-36
On the Correlation Structure of Microstructure Noise in Theory and Practice
Francis X. Diebold and Georg H. Strasser, October 2008

#08-37
Financial Crises and Bank Liquidity Creation
Allen N. Berger and Christa H.S. Bouwman, October 2008
Author's note: Bank Liquidity Creation, Monetary Policy, and Financial Crises” (#09-23) and “Bank Capital, Survival, and Performance around Financial Crises” (#09-24) are significantly-expanded versions of the first and second half of this paper, respectively.

#08-38
Who Are the Beneficiaries When Insiders Trade? An Examination of Piggybacking in the Brokerage Industry
Christopher C. Geczy and Jinghua Yan, March 2006

#08-39
Merger Waves: Theory and Evidence
Jinghua Yan, December 2006

#08-40
The Dark Side of Bank Wholesale Funding
Rocco Huang and Lev Ratnovski, November 2008

#08-41
A Martingale Test for Alpha
Dean P. Foster, Robert Stine and H. Peyton Young, December 2008