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Monies, Markets and Banks: Liberalisation versus Regulation

XII International Tor Vergata Conference
on Banking and Finance
9/11 December 2003

in collaboration with

JOURNAL OF INTERNATIONAL MONEY AND FINANCE
JOURNAL OF FINANCIAL SERVICES RESEARCH
RESEARCH IN BANKING AND FINANCE
JOURNAL OF BANKING & FINANCE
JOURNAL OF FINANCIAL STABILITY
RIVISTA DI POLITICA ECONOMICA
BANCARIA

CALL FOR PAPERS - REGISTRATION FORM - PROGRAM

PROGRAM

Tuesday, 9 December, 2003

BANKING SYSTEM
 

9.15 - 10.40 Chairman – Fabrizio Mattesini
University of Rome Tor Vergata

DOES BANK LENDING CHANNEL WORK IN A TRANSITION ECONOMY? A CASE OF POLAND
OLENA HAVRYLCHYK
European University Viadrina

EMILIA JURZYK
European University Viadrina

RISK EFFECTS ON BANK SPECIALIZATION IN CENTRAL AND EASTERN EUROPEAN COUNTRIES
ALERIYA DINGER
University of Bonn
JURGEN VON HAGEN
University of Bonn

POLITICAL RISK IN SYNDICATED LENDING: THEORY AND EMPIRICAL EVIDENCE REGARDING THE USE OF PROJECT FINANCE
CHRISTA HAINZ
University of Munich

STEFANIE KLEIMEIER
Maastricht University

THE PRICING EFFECT OF CERTIFICATION ON BANK LOANS: EVIDENCE FROM THE SYNDICATED CREDIT MARKET
LUCA CASOLARO
Bank of Italy

DARIO FOCARELLI
ANIA

ALBERTO FRANCO POZZOLO
University of Molise and Ente Luigi Einaudi

General Discussion
 

ASSET PRICING
 
9.15 - 10.40 Chairman – Laurent Deville
Louis Pasteur University

FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU
ANTÓNIO AFONSO
European Central Bank and ISEG/UTL-Technical University of Lisbon

ROLF STRAUCH
European Central Bank

TIME TO EFFICIENCY OF THE FRENCH CAC 40 INDEX OPTIONS MARKET
LAURENT DEVILLE
Louis Pasteur University

PRICE LIMITS ON A CALL AUCTION MARKET: EVIDENCE FROM THE WARSAW STOCK EXCHANGE
HARALD HENKE
European University Viadrina

SVITLANA VORONKOVA
European University Viadrina

General Discussion
 

10.40 - 11.10 Coffee Break

 

11.10 - 11.30

OPENING REMARKS

LUIGI PAGANETTO
University of Rome Tor Vergata

MICHELE BAGELLA
University of Rome Tor Vergata

 

JIMF SESSION
Organized by James R. Lothian ( Fordham University of New York)
Sponsored by
Frank Petrilli Center
Trans Atlantic Finance Institute
and by
Banca IMI
 
11.30 - 13.30 Chairman - James R. Lothian
Fordham University of New York

RETHINKING THE ROLE OF NCBS IN THE EMU
RUSSEL S. BOYER
University of Western Ontario
DISCUSSANT
: PAUL J. MCNELIS
Boston College

THE WELFARE IMPLICATIONS OF ECB MONETARY POLICY: SHOULD INFLATION TARGETS BE SYMMETRIC?
GUAY C. LIM
University of Melbourne

PAUL J. MCNELIS
Boston College
DISCUSSANT:
RUSSEL S. BOYER
University of Western Ontario

THE IMPACT OF EUROPEAN CENTRAL BANK MONETARY POLICY DECISIONS ON THE FOREIGN EXCHANGE MARKET: A MICROSTRUCTURAL ANALYSIS
MICHAEL MELVIN
Arizona State University

MICHAEL J. SAGER
University of Warwick

MARK P. TAYLOR
University of Warwick
DISCUSSANT
: JAMES R. LOTHIAN
Fordham University of New York

MONETARY POLICY SHOCKS IN THE EURO AREA AND GLOBAL LIQUIDITY SPILLOVERS
JOĂO SOUSA
European Central Bank

ANDREA ZAGHINI
European Central Bank
DISCUSSANT
: LARRY D. WALL
Federal Reserve Bank of Atlanta

General Discussion
 

13.30-14.30 Lunch

 

ELECTRICITY AND FINANCIAL MARKETS
Organized by Valeria Termini (University of Cassino)
 
14,30 – 16.00 Chairman - Valeria Termini
University of Cassino

FINANCING INNOVATIVE PROJECTS
SERGIO LUGARESI
Capitalia

MARKET DESIGN AND ELECTRICITY PRICES: EVIDENCE FROM NORD POOL AND CALIFORNIA PRICE CRISIS
LAURA CAVALLO
Prime Minister’ Office

SANDRO SAPIO
Sant’Anna School, Pisa

VALERIA TERMINI
University of Cassino

SPOT PRICE DYNAMICS IN DEREGULATED POWER MARKETS
MARINA RESTA
University of Genova

DAVIDE SCIUTTI
University of Genova

General Discussion
 

MONETARY POLICY
 

14.30-16.00 Chairman – Giancarlo Marini
University of Rome Tor Vergata

MONETARY POLICY AND FISCAL RULES
BARBARA ANNICCHIARICO
University of Rome Tor Vergata

GIANCARLO MARINI
University of Rome Tor Vergata

ALESSANDRO PIERGALLINI
University of Rome Tor Vergata

DOES MONETARY POLICY WORK UNDER ZERO-INTEREST-RATE?
KAZUSUKE TSUJIMURA
Keio University

MASAKO MIZOSHITA
Keio University

COORDINATED MONETARY AND FOREIGN EXCHANGE INTERVENTION
PAOLO VITALE
London School of Economics and University G. D’Annunzio

THE NATURAL REAL RATE OF INTEREST IN THE EURO AREA
NICOLA GIAMMARIOLI
European Central Bank

NATACHA VALLA
European Central Bank

General Discussion
 

16.00 - 16.15 Tea Break

 

CORPORATE GOVERNANCE
 

16.15-17.45 Chairman - Emilio Barucci
University of Pisa

ENTREPRENEURSHIP AND FINANCIAL MARKETS WITH ADVERSE SELECTION.
TUOMAS TAKALO
Bank of Finland
OTTO TOIVANEN
University of California, Berkley and Helsinki School of Economics

THE EQUITY CARVE-OUT DECISION
HANNES F. WAGNER
Munich School of Management, University of Munich

DOES OWNERSHIP STRUCTURE INFLUENCES FIRM VALUE?
JAYESH KUMAR
Indira Gandhi Institute of Development Research, Mumbai

DETERMINANTS OF CORPORATE GOVERNANCE IN ITALY
EMILIO BARUCCI
University of Pisa
JURY FALINI
University of Pisa

General Discussion
 

BANKING SYSTEM
 

16.15 - 18.00 Chairman Paolo Marullo Reedtz
Bank of Italy

THE ROLE OF LOCAL REAL AND FINANCIAL VARIABLES IN BANKING INDUSTRY CONSOLIDATION: THE CASE OF ITALY
LUCA COLOMBO
Catholic University of Milan

GILBERTO TURATI
University of Turin

LOCAL BANKS AND THE SOFT BUDGET CONSTRAINT
UGO ALBERTAZZI
Bank of Italy and Ecares

BANK MERGERS, DIVERSIFICATION AND RISK
GAETANO CHIONSINI
Bank of Italy

ANTONELLA FOGLIA
Bank of Italy

PAOLO MARULLO REEDTZ
Bank of Italy

DO EUROPEAN PRIMARILY INTERNET BANKS SHOW SCALE AND EXPERIENCE EFFICIENCIES?
JAVIER DELGADO
Bank of Spain

IGNACIO HERNANDO
Bank of Spain

MARIA J. NIETO
Bank of Spain

WHY BORROWERS PAY PREMIUMS TO LARGER LENDERS: EMPIRICAL EVIDENCE FROM SOVEREIGN SYNDICATED LOANS.
ISSAM HALLAK
Goethe University

General Discussion
 

Wednesday, 10 December, 2003

ASSET PRICING
 

9.15 - 11.00 Chairman –Risto Herrala
Bank of Finland

THE RIGIDITY BIAS
RISTO HERRALA
Bank of Finland

ASSET PRICING AND COST OF EQUITY IN THE TUNISIAN BANKING SECTOR:A PANEL DATA EVIDENCE
SAMY BEN NACEUR
Université Libre de Tunis

SAMIR GHAZOUANI
Université Libre de Tunis

RISK-BASED PRICING (RBP) USING BAYESIAN STATISTICS: HOW TO MARKET RBP IN THE CONTEXT OF NEW CREDIT CARD CUSTOMERS
KONSTANTINOS STAMOKOSTAS
Statistical Decisions Hellas and Athen University of Economics and Business

DIMITRIOS VASILIOU
Athens University of Economics and Business

GEORGIOS ADRAKTAS
Statistical Decisions Hellas

General Discussion
 

EVALUATION OF RISK IN FINANCIAL MARKETS
 

9.15 - 11.00 Chairman – Emilio Barone
San Paolo IMI

THE DOWNSIDE OF INTERNATIONAL EQUITY MARKETS
RACHEL A. J. CAMPBELL
Maastricht University

INSURANCE AND FINANCIAL HEDGING OF OIL POLLUTION RISKS
ANDRÉ SCHMITT
Louis Pasteur University

SANDRINE SPAETER
Louis Pasteur University

THE VALUATION OF BERMUDAN GUARANTEED RETURN CONTRACTS
SIMON STEVEN
Catholic University of Leuven

PRICING CREDIT RISK THROUGH EQUITY OPTIONS
MARCO FABIO DELZIO
Bank of Italy

General Discussion
 

11.00 - 11.30 Coffee Break

 

JIMF SESSION
Organized by James R. Lothian ( Fordham University of New York )
Sponsored by
Frank Petrilli Center
Trans Atlantic Finance Institute
and by
MCC
CAPITALIA
 

11.30 - 13.30 Chairman - Michele Fratianni
Kelley School of Business, Indiana University

THE ANTICIPATED AND CONCURRING EFFECTS OF A CURRENCY UNION: REAL EFFECTIVE EXCHANGE RATE, CONVERGENCE AND GROWTH FOR THE EUROZONE COUNTRIES
MICHELE BAGELLA
University of Rome Tor Vergata

LEONARDO BECCHETTI
University of Rome Tor Vergata

IFTEKHAR HASAN
Rensselaer Polytechnic Institute
DISCUSSANT
: MARK P. TAYLOR
University of Warwick

THE EFFECT OF THE EURO ON COUNTRY VERSUS INDUSTRY PORTFOLIO DIVERSIFICATION
THOMAS J. FLAVIN
University of Ireland
DISCUSSANT
: BILL FRANCIS
University of South Florida

THE IMPACT OF THE EURO ON RISK EXPOSURE OF THE WORLD'S MAJOR BANKING INDUSTRIES
BILL B. FRANCIS
University of South Florida

DELROY M. HUNTER
University of South Florida
DISCUSSANT
: LAWRENCE GOLDBERG
University of Miami

PURCHASING POWER PARITY AND THE EURO AREA
KEES KOEDIJK
Erasmus University of Rotterdam, CEPR
BEN TIMS
Erasmus University of Rotterdam

MATHIJS A. VAN DIJK
Erasmus University of Rotterdam, CEPR
DISCUSSANT
: GERALD P. DWYER JR.
Federal Reserve Bank of Atlanta

General Discussion
 

13.30 - 14.30 Lunch

 

JFSR SESSION 1
Organized by William W. Lang (Federal Reserve Bank of Philadelphia)
Basel II and Small Business Credit Risk
Sponsored by
Ente per gli Studi Monetari Bancari e Finanziari "Luigi Einaudi"
 

14.30 - 16.00 Chairman - Roberto Violi
Bank of Italy and Ente Luigi Einaudi

INTERNAL RISK RATING SYSTEMS, IMPLIED CREDIT RISK AND CAPITAL REQUIREMENTS FOR RETAIL CREDIT PORTFOLIOS
TOR JACOBSON
Sveriges Riskbank
JESPER LINDÉ
Sveriges Riskbank

KASPER ROSZBACH
Sveriges Riksbank

AN ANALYSIS OF SBA LOAN DEFAULTS BY MATURITY STRUCTURE
DENNIS GLENNON
Office of the Controller of the Currency, U.S.A.

PETER NIGRO
Bryant College, U.S.A.

THE MEASUREMENT OF SME CREDIT RISK WITH DIFFERENT DEFINITIONS OF DEFAULT
MICHEL DIETSCH
University Robert Schuman of Strasbourg

ENHANCING LOGISTIC APPROACH FOR CREDIT RISK MODELING: THE MIXED EFFECT APPROACH
MARCO ALFŇ
University of Rome La Sapienza

STEFANO CAIAZZA
University of Rome Tor Vergata

GIOVANNI TROVATO
University of Rome Tor Vergata

General Discussion
 

16.00 - 16.15 Tea Break

 

FINANCIAL CRISES
 

16.15 - 17.15 Chairman John Cotter
University College of Dublin

CONTAGION BETWEEN FOREIGN EXCHANGE AND GOVERNMENT DEBT CRISES IN EMERGING MARKETS
PAUL DE GRAUWE
Catholic University of Leuven

STEFANIA CIRAOLO
Catholic University of Leuven

CAPITAL FLOWS, RISK AVERSE INVESTORS AND CONTAGION: A MACROECONOMIC MODEL OF INTERNATIONAL FINANCIAL CRISES
MELISSO BOSCHI
University of Essex

ADITYA GOENKA
University of Essex

CRASH AND BOOM STATISTICS FOR GLOBAL EQUITY MARKETS
JOHN COTTER
University College of Dublin

General Discussion
 

VENTURE CAPITAL
Organized by Christopher L. Tucci (École Polytechnique Fédérale de Lausanne)
Sponsored by
Istituto per la Promozione Industriale (IPI)
 

16.15 - 17.15 Chairman - Christopher L. Tucci
École Polytechnique Fédérale de Lausanne

HOSTAGE EXCHANGE IN VENTURE CAPITAL SYNDICATES
JENNIFER KUAN
Stanford University

SUBOPTIMAL WRITE-OFFS OF VC FUNDED COMPANIES
EUGENE KANDEL
Hebrew University of Jerusalem

DIMA LESHCHINSKII
HEC Paris

H.YUKLEA
Hebrew University of Jerusalem

DOES TECHNOLOGY AND MARKET RISK INFLUENCE VENTURE CAPITALIST'S INVESTMENT DECISIONS?
MICHAEL ENSLEY
Rensselaer Polytechnic Institute

VENTURE CAPITAL INVESTING AND THE 'CALCUTTA AUCTION'
SRIDHAR SESHADRI
New York University

ZUR SHAPIRA
New York University

CHRISTOPHER L. TUCCI
École Polytechnique Fédérale de Lausanne

General Discussion
 

PANEL
"Public Debt Indexed Bonds: New Investment Frontiers"
 

17.15 - 18.45 Chairman - Gustavo Piga
University of Rome Tor Vergata

STEFANO SCALERA
Ministry of the Economy and Finance-Italy

LORENZO PECCHI
Mediocredito Centrale

ANDREA ALESSANDRELLI
Banca IMI
 

Thursday, 11 December, 2003

JFSR SESSION 2
Organized by William W. Lang (Federal Reserve Bank of Philadelphia)
Basel II and Retail Credit Risk
Sponsored by
MCC
and
CAPITALIA
 

9.15 - 11.00 Chairman - William W. Lang
Federal Reserve of Philadelphia

SKEWNESS OF RETURNS, CAPITAL ADEQUACY, AND MORTGAGE LENDING
PARASKEVI DIMOU
Cass Business School, UK

ALISTAIR MILNE
Cass Business School, UK

COLIN LAWRENCE
Cass Business School, UK

DOES REGULATORY CAPITAL ARBITRAGE OR ASYMMETRIC INFORMATION DRIVE SECURITIZATION?
BRENT W. AMBROSE
University of Kentucky

MICHAEL LACOUR-LITTLE
Wells Fargo Home Mortgage

ANTHONY B. SANDERS
Ohio State University

CAPITAL REQUIREMENTS AND BANKS’ LENIENCY
J. KIMBALL DIETRICH
University of Southern California

CLAS WIHLBORG

Copenhagen Business School

ASSET RETURN CORRELATION AND BASEL II: THE CASE OF AUTOMOTIVE LEASE PORTFOLIOS
STÉPHANIE DUCHEMIN
Leaseurope

MARIE-PAULE LAURENT
Université Libre de Bruxelles

MATHIAS SCHMIT
Université Libre de Bruxelles

General Discussion
 

11.00 - 11.30

Coffee Break

 

CORPORATE GOVERNANCE
 

11.30 - 13.30 ChairmanRobert James Waldmann
University of Rome Tor Vergata

MANAGEMENT ENTRENCHMENT CAN BE GOOD FOR SHAREHOLDERS OF TAKEOVER TARGETS
ELIJAH BREWER III
Federal Reserve Bank of Chicago

LARRY D. WALL
Federal Reserve Bank of Atlanta

THE EARNING FORECAST BIAS: A COMPARATIVE ANALYSIS ON US AND EUROZONE STOCK MARKETS
MICHELE BAGELLA
University of Rome Tor Vergata

LEONARDO BECCHETTI
University of Rome Tor Vergata
ROCCO CICIRETTI
University of Rome Tor Vergata

PRIVATIZATION AND STOCK MARKET LIQUIDITY
BERNARDO BORTOLOTTI
University of Turin and FEEM

FRANK DE JONG
University of Amsterdam

GIOVANNA NICODANO
University of Turin and FEEM

IBOLYA SCHINDELE
University of Amsterdam

General Discussion
 

MONETARY POLICY
 

11.30 - 13.30 Chairman – Matthias Paustian
Center for European Integration Studies (ZEI)

OPTIMAL SIMPLE MONETARY POLICY
MATTHIAS PAUSTIAN
Center for European Integration Studies (ZEI)

SHOULD CENTRAL BANKS REACT TO EXCHANGE RATE MOVEMENTS? AN ANALYSIS OF THE ROBUSTNESS OF SIMPLE POLICY RULES UNDER EXCHANGE RATE UNCERTAINTY
TIMO WOLLMERSHAUSER
Institute for Economic Research, Munchen

LENDING OF LAST RESORT, BANK MONITORING AND ENDOGENOUS FINANCIAL DOLLARIZATION
GERMANA CORRADO
University of Rome Tor Vergata

General Discussion
 

13.30 - 14.30 Lunch

 

BANKING SYSTEM
 

14.30 - 15.45 Chairman – Miriam Krausz
Bar Ilan University, Israel

THE ROLE OF A LENDER OF LAST RESORT AND SECURITIES MARKETS IN CHANNELING BANK FUNDS
RAPHAEL FRANCK
Bar Ilan University , Israel

MIRIAM KRAUSZ
Bar Ilan University , Israel

THE RELATIONSHIP BETWEEN THE MONEY MARKET, THE CAPITAL MARKET AND THE REAL SECTOR.
CAROLINE GEETHA
University Malaysia Saba

VIVIN VINCENT CHANDRAN
University Malaysia Saba

DO COMMERCIAL BANKS, STOCK MARKET AND INSURANCE MARKET PROMOTE ECONOMIC GROWTH? AN ANALYSIS OF THE SINGAPORE ECONOMY.
TAN KHAY BOON
Nanyang Technological University, Singapour

FINANCIAL STRUCTURE AND BANK PERFORMANCE
MOHAMMAD AL-ABADI
The Hashemite University, Zarqa-Jordan

HUSAM AL-KHADASH
The Hashemite University, Zarqa-Jordan

General Discussion
 

MONETARY POLICY AND FINANCIAL MARKET
 
14.30 - 15.45 Chairman - Mohammad Ziaul Hoque
Sultan Qaboos University, Oman

FLAWED INTEREST RATE POLICY AND INDUSTRIAL LOAN DEFAULT: EVIDENCES FROM BANGLADESH
MOHAMMAD ZIAUL HOQUE
Sultan Qaboos University, Oman

EX-DIVIDED DAY PRICE BEHAVIOUR IN THE GREEK STOCK MARKET: EVIDENCE FROM A MARKET WITHOUT TAXES.
KATERINA LYROUDI
University of Macedonia

GIANNIS KATSIS
University of Macedonia

DASILAS APOSTOLOS
University of Macedonia

THE CONDUCT OF THE UK MONETARY POLICY DURING THE 90s
GIANLUCA LAGANŔ
Royal Holloway College, University of London

General Discussion
 

15.45 - 16.00 Tea Break

 

ASSET PRICING
 
16.00 - 17.15 Chairman - Leonardo Becchetti
University of Rome Tor Vergata

SWITCHING DEBT PRODUCTS: A REAL OPTIONS PERSPECTIVE
CÉLINE GONDAT-LARRALDE
Grape, Université Montesquieu-Bordeaux IV

FRANK STROBEL
University of Birmingham

THE TERM STRUCTURE OF BOND RISK PREMIA-PRICING MACROECONOMIC SOURCES OF RISK
CHIONA BALFOUSSIA
University of York
MICHAEL R. WICKENS
University of York

INDUSTRY AND TIME SPECIFIC DEVIATIONS FROM FUNDAMENTAL VALUES IN A RANDOM COEFFICIENT MODEL
LEONARDO BECCHETTI
University of Rome Tor Vergata

GIOVANNI TROVATO
University of Rome Tor Vergata

ROBERTO ROCCI
University of Rome Tor Vergata

General Discussion
 

FINANCE AND GROWTH
 
16.00 - 17.45 Chairman - Salvatore Zecchini
University of Rome Tor Vergata

INTERACTION OF REAL AND FINANCIAL FLEXIBILITY: AN EMPIRICAL ANALYSIS
OSSI LINDSTRÖM
Helsinki School of Economics

ALMAS HESHMATI
The United Nations University (WIDER)

"DEEP POCKETS", RESEARCH AND DEVELOPMENT PERSISTENCE AND ECONOMIC GROWTH
BRUNO AMABLE
University of Paris and CEPREMAP

JEAN-BERNARD CHATELAIN
University of Orleans

KIRSTEN RALF
American University of Paris

BUSINESS CYCLES ...WITHOUT PRODUCTIVITY SHOCKS
FRANCESCO BUSATO
Columbia University

ECONOMIC FREEDOM VERSUS POLITICAL FREEDOM: CROSS-COUNTRY INFLUENCES ON CORRUPTION
RAJEEV K. GOEL
Illinois State University
MICHAEL A. NELSON

University of Akron

General Discussion
 

 

Scientific Board:

Michele BAGELLA
University of Rome "Tor Vergata"
Leonardo BECCHETTI
University of Rome "Tor Vergata"
Gerald P. DWYER Jr.
Federal Reserve Bank of Atlanta
Iftekhar HASAN
Rensselaer Polytechnic Institute
James R. LOTHIAN
Fordham University of New York
Luigi PAGANETTO
University of Rome "Tor Vergata"
Anthony M. SANTOMERO
Federal Reserve Bank of Philadelphia
Giorgio SZEGO
University of Rome "La Sapienza"
Paul WACHTEL
New York University

Secretariat:

Tel. +39.06.72595720 or +39.06.72595719
Sig.ra Patrizia MARTA
Sig.ra Paola GAUDINI
e-mail: XIIconference@economia.uniroma2.it

Communication and Press Office

Tel. +39.06.7259.5510 – 5522; Fax +39.06.7259.5504
Dott.ssa Simonetta PATTUGLIA

The Conference is sponsored by:

and supported by: