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Università degli Studi di Roma "Tor Vergata"

CEIS – Osservatorio sugli intermediari e la finanza internazionale
Dipartimento di Economia e Istituzioni
with the association of
Lally School of Management of Rensselaer Polytechnic Institute of Technology, NY USA

 

"TRANSPARENCY, GOVERNANCE AND MARKETS"

XIII International "Tor Vergata" Conference on Banking and Finance
1/3 December 2004

University of Rome "Tor Vergata"
Faculty of Economics

in collaboration with:
Journal of Banking and Finance
(JBF)
Rivista di Politica Economica
Bancaria

CONFERENCE BACKGROUND - PROGRAM - REGISTRATION FORM - USEFUL ADVICES

 

Wednesday 1 December
 

Opening Remarks
 

9.15 - 9.30 LUIGI PAGANETTO
University of Rome "Tor Vergata "

MICHELE BAGELLA
University of Rome "Tor Vergata "
 

Plenary session
Empirical finance and corporate performance
Chairman – Roberto Violi, Bank of Italy
 

9.30 - 11.00 "CONFLICTS OF INTEREST IN FINANCIAL MARKETS: EVIDENCE FROM BOND UNDERWRITING IN THE NINETIES"
ALBERTO F. POZZOLO
University of Molise and Ente "Luigi Einaudi"
DARIO FOCARELLI
ANIA and University of Rome "La Sapienza"

"IS FIRM'S PRODUCTIVITY RELATED TO ITS FINANCIAL STRUCTURE? EVIDENCE FROM MICRO DATA"
FRANCESCO NUCCI
University of Rome "La Sapienza"

ALBERTO F. POZZOLO
University of Molise

FABIANO SCHIVARDI
Bank of Italy

"CORPORATE SOCIAL RESPONSIBILITY AND FINANCIAL PERFORMANCE: EVIDENCE FROM MICRO DATA"
LEONARDO BECCHETTI
University of Rome "Tor Vergata "

STEFANIA DI GIACOMO
University of Rome "Tor Vergata "

DAMIANO PINNACCHIO
University of Rome "Tor Vergata "

"A RE-EXAMINATION OF DIVIDEND POLICY: A DYNAMIC PANEL DATA ANALYSIS"
SAMY BEN NACEUR
Institut des Hautes Etudes Commerciales

MOHAMED GOAIED
Institut des Hautes Etudes Commerciales

AMEL BELANES
Institut des Hautes Etudes Commerciales

General Discussion
 

Parallel session
Europe and the Euro area
Chairman – Andrea Zaghini, Bank of Italy
 
9.30 -11.00 "MONETARY POLICY PREDICTABILITY IN THE EURO AREA: AN INTERNATIONAL COMPARISON"
BJØRN-ROGER WILHELMSEN
Norges Bank

ANDREA ZAGHINI
Bank of Italy

"NET FOREIGN ASSETS IN THE EURO AREA: A COINTEGRATION ANALYSIS"
ALESSANDRO GIRARDI
University of Rome "Tor Vergata"

PAOLO PAESANI
European University Insitute

General Discussion
 

11.00 - 11.15 Coffe break
 

Plenary session
Crime, Terrorism And Financial Markets
Chairman – Gerald P. Dwyer Jr. – Federal Reserve Bank of Atlanta
 

11.15 -12.45 "COMBATING BLACK MONEY: INTERNATIONAL COOPERATION AND THE G8’S ROLE"
DONATO MASCIANDARO
Bocconi University

"MARKET REACTION VS ANALYSTS REACTION TO AGGREGATE AND FIRM SPECIFIC NEWS: THE EFFECTS OF SEMPTEMBER 11"
MICHELE BAGELLA
University of Rome "Tor Vergata"
LEONARDO BECCHETTI
University of Rome "Tor Vergata"
ROCCO CICIRETTI
University of Rome "Tor Vergata"

Round table
Crime, terrorism and Financial markets

Chairman - Robert A. Eisenbeis, Federal Reserve Bank of Atlanta

GIUSEPPE MARESCA
Ministry of Economy and Finance

DONATO MASCIANDARO
Bocconi University

SALVATORE ROSSI
Bank of Italy

General Discussion
 

13.00 - 14.00 Lunch
 

Plenary session
Finance And Economic Growth
Chairman – George Mavrotas, UNU – WIDER, United Nations University
 

14.00 - 15.30

"FINANCIAL SECTOR DEVELOPMENT AND ECONOMIC GROWTH: RE-EXAMINING THE NEXUS"
GEORGE MAVROTAS
UNU-WIDER, United NationsUniversity

SANG-IK SON
Incheon Free Economic Zone Authority, Incheon, S. Korea

"WHAT DETERMINES THE FINANCE GROWTH NEXUS?"
ALEXANDER KARMANN
University of Dresden

"WEALTH ACCUMULATION AND GROWTH IN A SPECIFIC-FACTORS MODEL OF TRADE AND FINANCE"
ALBERTO PETRUCCI
University of Molise and LUISS G. Carli

"FINANCIAL MARKETS, TECHNOLOGICAL INNOVATION, INVESTMENTS IN R&D AND PUBLIC POLICIES"
MARCO MAZZOLI
Catholic University of Piacenza

General Discussion
 

Parallel session
BANKING: EMPIRICAL ANALYSIS
 Chairman – Umberto Filotto, University of Rome "Tor Vergata"
 

14.00 - 15.30

"MORAL HAZARD IN DEPOSIT INSURANCE: THE CASE OF FOBAPROA"
CLEMENTE HERNANDEZ-RODRIGUEZ
DACS, EGADE. CICADE.
Tec de Monterrey, Campus Guadalajara

"MODES OF FOREIGN BANK ENTRY AND THE EFFECTS ON INTEREST RATE SPREADS: THEORY AND EVIDENCE"
SOPHIE CLAEYS
Ghent University and CERISE
CHRISTA HAINZ
University of Munich

"THE EFFECT OF NONINTEREST INCOME ON BANK RISK: CROSS-COUNTRY ANALYSIS"
SUNGHO CHOI
Rensselaer Polytechnic Institute

General Discussion
 

Plenary session
BANKING THEORY

Chairman – Fabrizio Mattesini, University of Rome "Tor Vergata"
 

15.30 -16.30

"UNCERTAINTY AVERSE BANK RUNNERS"
GUIDO COZZI
University of Rome "La Sapienza"

PAOLO E. GIORDANI
University of Rome "La Sapienza"

"BANKS AS COLLUSIVE DEVICES"
GIANCARLO SPAGNOLO
University of Mannheim, Sveriges Riksbank, Consip SpA and C.E.P.R.

"REGULATION OF MULTINATIONAL BANKS: A THEORETICAL INQUIRY"
GIACOMO CALZOLARI
University of Bologna
GYONGYI LORANTH
Judge Institute of Management, University of Cambridge

"WHY DO BANKS PARTICIPATE IN FIRM CAPITAL ?"
FABRIZIO MATTESINI
University of Rome "Tor Vergata"

EMILIO BARUCCI
University of Pisa

General Discussion
 

Parallel session
ASSET PRICING AND FINANCIAL STABILITY

Chairman – Rita L. D’Ecclesia, University of Rome "La Sapienza"
 

15.30 -16.30

"UNCONDITIONAL RETURN DISTURBANCES: A NON PARAMETRIC SIMULATION APPROACH"
ROBERT G. TOMPKINS
Hochschule für Bankwirtschaft

RITA L. D'ECCLESIA
University of Rome "La Sapienza"

"VALUING A LEVERAGED BUY-OUT. THE EXPANSION OF THE ADJUSTED PRESENT VALUE BY MEANS OF THE REAL OPTIONS APPROACH"
FRANCESCO BALDI
Capitalia and University of Rome "La Sapienza"

"FINANCIAL STABILITY AND EXTREME MARKET CONDITIONS"
DIRK BAUR
European Commission - Joint Research Centre, Ispra (VA), Italy

NIELS SCHULZE
European Commission - Joint Research Centre, Ispra (VA), Italy

General Discussion
 

Thursday 2 December
 

Plenary session
BUILDING EU KNOWLEDGE FOR POLICY IMPACT ANALISYS TO COMPETE IN A GLOBAL WORLD

Chairman – Paolo Roberti, ISTAT
 

9.30 - 11.00

"Competitiveness,Knowledge, productivity: indicators for policy impact analysis"
SUBAL C. KUMBHAKAR
State University of New York

"Financial and legal barriers to Growth: indicators for policy impact analysis"
CLAS WIHLBORG
University of Copenhagen

“TIME WE LOOK BEYOND MEANS AND SEARCH
FOR FACTORS OF SYSTEMIC STRENGTH AND
WEAKNESS”
PAOLO ROBERTI, LORENZO LO CASCIO, FILIPPO OROPALLO AND DANILO ORSINI
ISTAT

“HOW WELL DO WE UNDERSTAND AND MEASURE THE NEW ECONOMY? WHAT WE SEE MAY NOT BE THERE, AND WHAT IS THERE IS NOT NECESSARILY BE THERE”
CLARK EUSTACE
MANTOS

General Discussion
 


Parallel session
BANKING AND EMPIRICAL FINANCE

 Chairman – Luca Arciero, Bank of Italy
 
9.30 - 11.00

"BANK SIZE AND RISK-TAKING UNDER BASEL II"
HENDRIK HAKENES
Max Planck Institute

ISABEL SCHNABEL
Max Planck Institute

"BANKS' LIQUIDITY MANAGEMENT AND PAYMENT SYSTEM EFFICIENCY. EMPIRICAL EVIDENCES FROM THE ITALIAN RTGS SYSTEM"
LUCA ARCIERO
Bank of Italy

"GOVERNING THE GOVERNORS: A CLINICAL STUDY OF CENTRAL BANKS"
LARS FRISELL
Sveriges Riksbank

KASPER ROSZBACH
Sveriges Riksbank

GIANCARLO SPAGNOLO
University of Mannheim and CEPR

LEVERAGE AND CORPORATE PERFORMANCE: A FRONTIER EFFICIENCY ANALYSIS ON EUROPEAN COUNTRIES
LAURENT WEILL
Robert Schuman University

General Discussion
 

11.00 - 11.15 Coffee Break
 

Plenary Session – Session hosted by CRIF Decision Solutions
CONSUMER CREDIT, INFORMAL INTERMEDIATION AND RISK

 
Chairman - Jean Marie Bouroche, CRIF Decision Solutions
 

11.15 -12.45

"THE DETERMINANTS OF CONSUMER CREDIT"
JEAN MARIE BOUROCHE
CRIF Decision Solutions

FRANCESCO DIURNI
University of Rome "Tor Vergata" and CRIF Decision Solutions

"INTEGRATION OF MARKET RISK WITH CREDIT RISK MEASUREMENT: SCENARIO GENERATION THROUGH DYNAMIC FACTOR ANALYSIS"
ANDREA CIPOLLINI
Queen Mary, University of London
G. MISSAGLIA

"NON PARAMETRIC TECHNIQUES TO VALIDATE CREDIT CLASSIFICATION MODELS WITH UNBALANCED SAMPLES. AN EMPIRICAL ANALYSIS"
SIMONE BORRA
University of Rome "Tor Vergata"

STEFANO CAIAZZA
University of Rome "Tor Vergata"

STEFANIA DI GIACOMO
University of Rome "Tor Vergata"

"CONTAGION AND ITS ORIGINS AND DESTINATIONS DURING THE ASIAN CRISIS"
ALEXANDER KARMANN
University of Dresden

General Discussion
 

Parallel session hosted by Euroky-PIA consortium
BUILDING EU KNOWLEDGE FOR POLICY IMPACT
ANALYSIS TO COMPLETE IN A GLOBAL WORD

Chairman – Leonardo Becchetti, University of Rome "Tor Vergata"
 

11.15 -12.45

“DRIVERS AND PATTERNS OF PERFORMANCE: SELECTING INDICATORS FOR POLICY EVALUATION”
ANDREA DE PANIZZA
ISTAT

MAURO VISAGGIO
University of Perugia

“POVERTY AND VULNERABILITY: STATE OF ART OF SOCIAL INDICATORS”
MARCO ZUPI
CESPI

“SUSTAINABLE GROWTH WITH SOCIAL COHESION: PROPOSAL FOR NEW INDICATORS”
MARIKA SANTORO
University of Rome “Tor Vergata”

SABRINA AUCI
University of Rome “Tor Vergata”

ENRICA DI STEFANO
University of Rome “Tor Vergata”

General Discussion of the Euroky-PIA consortium
 

13.00 – 14.00 Lunch
 

Plenary Session
MONEY AND FINANCIAL MARKETS
 Chairman - James R. Lothian, Fordham University
 

14.00 - 15.30

"THE BEHAVIOR OF MONEY AND OTHER ECONOMIC VARIABLES: TWO NATURAL EXPERIMENTS"
JAMES R. LOTHIAN
Fordham University

CORNELIA MCCARTHY
Fordham University

"MIMICKING PORTFOLIOS, ECONOMIC RISK PREMIUMS, AND TESTS OF MULTI-BETA MODELS"
PIERLUIGI BALDUZZI
Boston College

CESARE ROBOTTI
Federal Reserve Bank of Atlanta

"YIELD SPREADS, EXPECTED MONETARY POLICY, RISK PREMIA AND GDP GROWTH"
CARLO A. FAVERO
IGIER, Bocconi University and CEPR

IRYNA KAMINSKA
Bocconi University

ULF SÖDERSTRÖM
IGIER, Bocconi University

"WHY DO BANKS PROMISE TO PAY PAR ON DEMAND?"
GERALD P. DWYER JR.
Federal Reserve Bank of Atlanta

MARGARITA SAMARTIN
Universidad Carlos III

General Discussion
 

Parallel session
YOUNG ECONOMIST SESSION (1)
Chairman – Gustavo Piga University of Rome “Tor Vergata”
 
14.00 - 15.30 INFLATION TARGETING AND EXCHANGE RATE PASS-THROUGH
ALESSANDRO FLAMINI
Graduate Institute of International Studies

INTERNATIONAL STOCK-BOND CORRELATIONS IN A SIMPLE AFFINE PRICING MODEL
STEFANO D'ADDONA
University of Bologna

AXEL H. KIND
University of St. Gallen

AN EMPIRICAL INVESTIGATION OF THE EFFECTS OF FUTURESON MONEY DEMAND IN THE US
ANNA CONTE
LUISS University
CHIARA OLDANI
University of Rome “Tor Vergata”

“DELISTING IN THE ITALIAN FINANCIAL MARKET”
EMILIO BARUCCI
University of Pisa
SILVIA CECCACCI
University of Rome “Tor Vergata”

General Discussion
 

Plenary session
IPO: PERFORMANCE AND RISK
Chairman - Iftekhar Hasan, Rensselaer Polytechnic Institute
 

15.30 – 16.30

"IS THE UNDERWRITER MARKET SEGMENTED? EVIDENCE FROM INITIAL PUBLIC OFFERINGS" 
BILL B. FRANCIS
University of South Florida
IFTEKHAR HASAN
Rensselaer Polytechnic Institute

"HOT AND COLD PERIODS IN PUBLIC AND PRIVATE MARKETS FOR BIOTECH IPOS, 1970 - 2001"
IRVIN W. MORGAN JR
Bentley College

JOHN R. NORSWORTHY
Rensselaer Polytechnic Institute

"DO CHANGES IN SOVEREIGN CREDIT RATINGS CONTRIBUTE TO FINANCIAL CONTAGION IN EMERGING MARKET CRISES?
ROMAN KRAEUSSL
University of Amsterdam de Boelelaan

"THE IMPACT OF VENTURE INVESTMENT BY CORPORATIONS & BANKS: DO YOUNG FIRMS REALLY BENEFIT?"
ARI GINSBERG
NYU Stern School of Business

CHRISTOPHER L. TUCCI
Swiss Federal Institute of Technology

General Discussion
 

Parallel session
TAX EVASION, ACCOUNTING RULES AND FINANCIAL MARKETS
Chairman – Clas Wihlborg , Copenhagen Business School
 

15.30 – 16.30

"ACCOUNTING FRAUD AND THE PRICING OF CORPORATE LIABILITIES STRUCTURAL MODELS WITH GARBLING"
ANGELO S. BAGLIONI
Catholic University of Milano

UMBERTO CHERUBINI
University of Bologna

"OPTIMAL INVESTMENT WITH TRANSPARENCY COSTS AND TAX EVASION"
MICHELE BAGELLA
University of Rome "Tor Vergata"

FRANCESCO BUSATO
University of Aarhus

ANNALISA CASTELLI
University of Rome "Tor Vergata"

TAX EVASION, INVESTORS PROTECTION AND CORPORATE GOVERNANCE.
Kirsten Ralf
American University of Paris

Jean-Bernard Chatelain
CEMREPAP

ACCOUNTING RULES IN INFORMATION MECHANISMS AND CONTRACTS
Shubhashis Gangopadhyay
India Development Foundation

Clas Wihlborg
Copenhagen Business School

General Discussion
 

Friday 3 December
 

Plenary session
CREDIT RISK AND CAPITAL STRUCTURE
 
Chairman - William Lang, Federal Reserve Bank of Philadelphia
 

9.30 - 11.00

"IS FIRM INTERDEPENDENCE WITHIN INDUSTRIES IMPORTANT FOR PORTFOLIO CREDIT RISK?"        
KENNETH CARLING
IFAU
and Dalarna University
LARS RONNEGARD
Dalarna University

KASPER ROSZBACH
Sveriges Riksbank

"MANAGERIAL INCENTIVES AND THE EFFICIENCY OF CAPITAL STRUCTURE IN U. S. COMMERCIAL BANKING"
JOSEPH P. HUGHES
Rutgers University
WILLIAM W. LANG
Federal Reserve Bank of Philadelphia

CHOON-GEOL MOON
Hanyang University

MICHAEL S. PAGANO
Villanova University

"REFORMING BANK CAPITAL REGULATION: THE POTENTIAL FOR INTRODUCING A MANDATORY SUBORDINATED DEBT PROGRAM"
DOUGLAS EVANOFF
Federal Reserve Bank of Chicago
JULAPA JAGTIANI
Federal Reserve Bank of Kansas City

General Discussion

Parallel session
EMPIRICAL FINANCE
 Chairman – Schmiedel Heiko, European Central Bank
 

9.30 – 11.00

"MARGIN REQUIREMENTS WITH INTRADAY DYNAMICS"
JOHN COTTER
University College Dublin

FRANÇOIS LONGIN
ESSEC Graduate Business School

"ASSET AND DEFAULT CORRELATIONS BETWEEN NON-FINANCIAL CORPORATIONS: EVIDENCE FROM THE ITALIAN STOCK MARKET"
SEBASTIANO LAVIOLA
Bank of Italy
CRISTIANO ZAZZARA
Capitalia

"WHAT INFORMATION CAN WE GET FROM DEPOSITS MARKET VALUE? EVIDENCE FROM THE TURKISH BANKING CRISES"
JULIEN REYNAUD
University of Paris I. Mse

"WHAT DETERMINES LOAN LOSS PROVISIONING IN THE EU?"
NICO VALCKX
European Central Bank

General Discussion
 

11.00 – 11.15 Coffee Break
 

Panel
NEW CHALLENGES FOR STOCK EXCHANGES IN GLOBAL FINANCIAL MARKETS
Chairman – Iftekhar Hasan, Rensselaer Polytechnic Institute
 

11.15 -12.45

IFTEKHAR HASAN
Rensselaer Polytechnic Institute

DANIELA RUSSO
European Central Bank

CARMINE DI NOIA
Assonime

JOHN TEALL
Pace University

General Discussion
 

Parallel session
YOUNG ECONOMIST SESSION (2)
 Chairman – Sergio Lugaresi, Capitalia
 

11.15 -12.45 FINANCIAL LIBERALIZATION, BANK CRISES AND GROWTH: ASSESSING THE LINKS
ALESSANDRA BONFIGLIOLI
Stockholm University

CATERINA MENDICINO
Stockholm School of Economics

"FUTURES AND MONEY DEMAND A PORTFOLIO ALLOCATION MODEL"
CHIARA OLDANI
University LUISS G. Carli

"DOES THE AUDITING INDEX INFLUENCE FIRM VALUE? A COMPARISON BETWEEN US AND EU COUNTRIES"
SABRINA AUCI
University of Rome "Tor Vergata"

ELENA D’AGOSTO
University of Rome "Tor Vergata"

"COUNTERCYCLICAL AGENCY COSTS AND THE FINANCIAL CHANNEL OF CLEANSING IN RECESSIONS"
LEV RATNOVSKI
University of Amsterdam

General Discussion
 

13.00 - 14.30 Lunch
 

Plenary session
PHYSICS AND ECONOMICS
 Chairman - Emilio Barone, San Paolo IMI
 

14.30 - 16.00

"FINANCIAL NETWORKS FROM CORRELATION-BASED CLUSTERING TECHNIQUES"
ROSARIO MANTEGNA
University of Palermo

"TIME-VARYING MIXING WEIGTHS IN MIXTURE AUTOREGRESSIVE CONDITIONAL DURATION MODELS"
GIOVANNI DE LUCA
University of Naples Parthenope
GIAMPIERO GALLO
University of Firenze

"INFORMATION IN MARKETS AND THE EFFICIENT MARKET HYPOTHESIS: AN ECONOPHYSICIST'S POINT OF VIEW"
ENRICO SCALAS
University of Eastern Piemonte

"MINORITY GAMES AND AGENT BASED MARKET MODELS"
IRENE GIARDINA
SMC-INFM Centre, University of Rome "La Sapienza"

“MARKET DYNAMICS AS A CONSEQUENCE OF LOCAL COMPLEMENTARITY AND GLOBAL SUBSTITUTABILITY IN AGENT STRATEGIES”
MICHELE BAGELLA
University of Rome "Tor Vergata"
ROCCO CICIRETTI
University of Rome "Tor Vergata"

GABRIELE SUSINNO
Computational and Quantitative Finance – Finance and Physics

General Discussion
 

Plenary session
DEVELOPMENT ECONOMICS AND FINANCE
Chairman – Leonardo Becchetti, University of Rome
 
16.00 - 17.30

“A NORTH-SOUTH BOTTOM UPAPPROACH TO REALAND FINANCIAL CONSTRAINTS TO DEVELOPMENT: THE ROLE OF FAIR TRADE CONSUMERS”
FURIO CAMILLO ROSATI
University of Rome “Tor Vergata”

LEONARDO BECCHETTI
University of Rome “Tor Vergata”

THE ECONOMICS OF FAIR TRADE AND ITS POTENTIAL SOLUTION TO FINANCIAL CONSTRAINTS TO DEVELOPMENT
MARK HAYES
Northumbria University

“REMITTING FOR DEVELOPMENT. ECONOMIC GROWTH, DEVELOPMENT AND TERRITORIAL PARTNERSHIPS”
MARCO ZUPI
CESPI

HOUSEHOLD BORROWING IN VIETNAM: A COMPARATIVE STUDY OF DEFAULT RISKS OF INFORMAL, FORMAL AND SEMI-FORMAL CREDIT
PHAM THI THU TRA
University of Groningen

ROBERT LENSINK
University of Groningen

General Discussion
 

Parallel session
EMPIRICAL FINANCE AND YOUNG ECONOMIST SESSION (3)

 Chairman – Schmiedel Heiko, European Central Bank
 

16.15 – 17.30

"AN EMPIRICAL STUDY OF LIQUIDITY AND INFORMATION EFFECTS OF ORDER FLOW ON EXCHANGE RATES"
FRANCIS BREEDON
Imperial College London

PAOLO VITALE
Universita’ D’Annunzio and CEPR

"SCHEDULED AND UNSCHEDULED NEWS’ EFFECT ON THE POUND EXCHANGE RATE AND ON THE LONG-TERM INTEREST RATE"
STEFANO DI COLLI
University of Rome "Tor Vergata"

"DOES A RISE IN FOREIGN OWNERSHIP IMPROVE BANK PERFORMANCE?"
ROBERT LENSINK
University of Groningen

ILKO J. NAABORG
University of Groningen

General Discussion