#FinancialMarkets – Working papers (#RePEc, 10/04/2014)

working_papers1

Source: RePEc – EconPapers

Stock Price Booms and Expected Capital Gains
Klaus Adam, Johannes Beutel and Albert Marcet 
Unitat de Fonaments de l’Anàlisi Econòmica (UAB) a…
JEL-code: G12 D84
Created/Revised: 2014-03-24Downloads

The pricing of sovereign risk and contagion during the European sovereign debt crisis
John Beirne and Marcel Fratzscher 
European Central Bank
Keywords: bond spreads, CDS spreads, contagion, ratings, sovereign debt crisis, sovereign risk
Created/Revised: 2013-12Downloads

Market pricing of credit rating signals
Magdalena Grothe 
European Central Bank
Keywords: corporate bond spreads, credit ratings, pricing of risk
Created/Revised: 2013-12Downloads

Asian Fragmentation in the Global Financial Crisis
Toshihiro Okubo, Fukunari Kimura and Nozomu Teshima 
Centre for Applied Macroeconomic Analysis, Crawfor…
Keywords: Financial crisis, Asian trade, parts and components, exit-entry diagram, survival analysis
JEL-code: F14 F61
Created/Revised: 2014-03Downloads

An Empirical Study of Trade Dynamics in the Fed Funds Market
Gara M. Afonso and Ricardo Lagos 
Federal Reserve Bank of Minneapolis
Keywords: Monetary policy; Federal funds market; Federal funds rates
JEL-code: E42 E44 G21
Created/Revised: 2014-03-17Downloads

Sovereign credit ratings, market volatility, and financial gains
Antonio Afonso, Pedro Gomes and Abderrahim Taamouti 
European Central Bank
Keywords: EGARCH, financial gain, optimal portfolio, risk management, sovereign ratings, stock market returns,…
Created/Revised: 2014-03Downloads

The Distribution of wealth and the MPC: implications of new European data
Christopher D. Carroll, Jiri Slacalek and Kiichi Tokuoka 
European Central Bank
Keywords: consumption dynamics, cross-country comparisons, liquid assets, MPC, wealth inequality
Created/Revised: 2014-03Downloads

Commonality in hedge fund returns: driving factors and implications
Matthieu Bussiere, Marie Hoerova and Benjamin Klaus 
European Central Bank
Keywords: commonality, financial crisis, hedge funds, liquidity, risk factors
Created/Revised: 2014-03Downloads

Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Zhang and Wei-Xing Zhou 
arXiv.org
Created/Revised: 2014-03Downloads

10 An agent-based computational model for China’s stock market and stock index futures market
Hai-Chuan Xu, Wei Zhang, Xiong Xiong and Wei-Xing Zhou 
arXiv.org
Created/Revised: 2014-03Downloads

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