XI International "Tor Vergata" Conference on Banking and Finance

XI International "Tor Vergata" Conference on Banking and Finance
Monetary Integration, Markets and Regulation

Scientific Committee:
Michele Bagella, Iftekhar Hasan, Luigi Paganetto, James Lothian,
Gerald P. Dwyer Jr. and Giorgio Szego

in collaboration with

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

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PROGRAM

Wednesday, 4 December, 2002

9.00 – 9.20	OPENING REMARKS LUIGI PAGANETTO University of Rome "Tor Vergata" MICHELE BAGELLA University of Rome "Tor Vergata"
	PLENARY SESSION INTEGRATION AND FINANCIAL MARKETS
9.20-11.00	Chairman- MICHELE BAGELLA University of Rome “ Tor Vergata" INTERNATIONAL MONEY AND COMMON CURRENCIES IN HISTORICAL PERSPECTIVE GERALD P. DWYER JR. Federal Reserve Bank of Atlanta JAMES R. LOTHIAN Fordham University A DYNAMIC EQUILIBRIUM MODEL OF REAL EXCHANGE RATES WITH GENERAL TRANSACTION COSTS GAUTAM GOSWAMI Fordham University MILIND SHRIKHANDE Georgia State University LIUREN WU Fordham University THE BENEFITS OF ECONOMIC INTEGRATION AND MONETARY UNIONS: THE NEGATIVE IMPACT ON GROWTH OF "EXPORT PORTFOLIO VOLATILITY" MICHELE BAGELLA University of Rome "Tor Vergata" LEONARDO BECCHETTI University of Rome "Tor Vergata" IFTEKHAR HASAN Rensselaer Polytechnic Institute General Discussion
11.00-11.30	Coffee break
	PLENARY SESSION TECHNOLOGY, PRODUCTIVITY AND FINANCIAL MARKETS
11.30–13.00	Chairman - JAMES R. LOTHIAN Fordham University ORGANIZATION OF MARKETS FOR SCIENCE AND TECHNOLOGY RAJEEV K. GOEL Illinois State University DANIEL P. RICH Illinois State University INCUMBENT ENTRY INTO NEW MARKET NICHES: THE ROLE OF EXPERIENCE AND MANAGERIAL CHOICE IN THE CREATION OF DYNAMIC CAPABILITIES CHRISTOPHER L. TUCCI New York Stern School of Business ANDREW A. KING New York Stern School of Business DEREGULATION AND PRODUCTIVITY: A DISSECTION OF THE DOMESTIC AND EUROPEAN REGULATIONS ON PRODUCTIVITY OF THE SPANISH BANKING INDUSTRY SUBAL C. KUMBHAKAR State University of New York - Binghamton ANA LOZANO VIVAS University of Malaga CONSOLIDATION AND AVAILABILITY OF CREDIT: FRENCH EXPERIENCE MICHEL DIETSCH University Robert Schuman IEP General Discussion
	PARALLEL SESSION TECHNOLOGY, COMMUNITY AND BANKS
11.30-13.00	Chairman - FABRIZIO MATTESINI University of Rome “Tor Vergata” INTERNET-BANKING IN SPAIN: SOME STYLISED FACTS MARIA J. NIETO Bank of Spain JAVIER DELGADO Bank of Spain FOREIGN ENTRY AND EFFICIENCY: EVIDENCE FROM THE BRAZILIAN BANKING INDUSTRY MARCOS ROBERTO VASCONCELOS State University of Maringá JOSÉ RICARDO FUCIDJI State University of Maringá CONTAGION IN EMERGING COUNTRIES' SOVEREIGN BONDS ANTONIO DIEZ DE LOS RIOS CEMFI and University of Malaga ALICIA GARCIA HERRERO Bank of Spain DETERMINANTS OF COMMUNITY BANK STAKEHOLDERS PERFORMANCE NADA KOBEISSI Long Island University General Discussion
13.00-14.00	Lunch
	PLENARY SESSION CREDIT RISK I
14.00 – 15.30	Chairman - GIORGIO SZEGO University of Rome “ La Sapienza” RISK QUANTIFICATION OF RETAIL CREDIT: CURRENT PRACTICES AND FUTURE CHALLENGES ANTHONY M. SANTOMERO Federal Reserve Bank of Philadelphia WILLIAM LANG Federal Reserve Bank of Philadelphia BANKING, RISK AND FINANCIAL MARKETS LUCIO PASQUALE SCANDIZZO University of Rome “ Tor Vergata” CONSOLIDATION AND EFFICIENCY IN THE FINANCIAL SECTOR: A REVIEW OF THE INTERNATIONAL EVIDENCE DEAN AMEL Federal Reserve Board, Washington, DC COLLEEN BARNES Department of Finance-Canada FABIO PANETTA Bank of Italy CARMELO SALLEO Bank of Italy RISK ASSESSMENT FOR BANKING SYSTEMS HELMUT ELSINGER University of Vienna ALFRED LEHAR University of British Columbia MARTIN SUMMER Oesterreichische National Bank General Discussion
15.30 – 15.45	Tea break
	PLENARY SESSION CREDIT RISK II
15.45-17.15	Chairman- SALVATORE ZECCHINI University of Rome ”Tor Vergata” BANKS' PARTICIPATION IN THE EUROSYSTEM AUCTIONS AND MONEY MARKET INTEGRATION ANTONIO SCALIA Bank of Italy MAURIZIO ORDINE Bank of Italy INSOLVENCY RISK IN THE ITALIAN NON-LIFE INSURANCE COMPANIES: AN EMPIRICAL ANALYSIS BASED ON A CASH FLOW SIMULATION MODEL SIMONE CECCARELLI Supervisory Commission on Pension Funds - COVIP TESTING FOR CONTAGION:A CONDITIONAL CORRELATION ANALYSIS ANDREA CIPOLLINI University of London NICOLA SPAGNOLO Brunel University GUGLIELMO MARIA CAPORALE South Bank University Centre for Monetary and Financial Economics THE DETERMINANTS AND DISTRIBUTION OF REGIONAL LENDING RATES IN ITALY GIUSEPPE CAPUANO Tagliacarne Institute General Discussion
	PARALLEL SESSION CREDIT RISK III
15.45-17.15	Chairman-LORENZO PECCHI MCC- Gruppo Capitalia MARKET INFORMATION AND BANK SOUNDNESS CRISTIANO ZAZZARA University of Rome" Luiss-Guido Carli" SEBASTIANO LAVIOLA Bank of Italy FRANCESCO CANNATA Bank of Italy TIME PATTERN OF PAYMENTS IN THE ITALIAN RTGS SYSTEM: THE EFFECT OF INSTITUTIONAL AND FINANCIAL VARIABLES LUCA ARCIERO Bank of Italy CLAUDIO IMPENNA Bank of Italy A NEW APPROACH FOR CALCULATING DEFAULT RISK FROM UNDERLYING FIRM ASSETS MARCO FABIO DELZIO Bank of Italy THE IMPACT OF BANKRUPTCY RULES ON RISKY PROJECT CHOICE AND SKILL FORMATION UNDER CREDIT RATIONING SHUBHASHIS GANGOPADHYAY University of Copenhagen CLAS WIHLBORG University of Copenhagen General Discussion
	Thursday, 5 December, 2002 Round table THE ROLE OF CENTRAL BANKS IN INTEGRATED FINANCIAL MARKETS
9.00–11.00	Chairman - GERALD P. DWYER JR. Federal Reserve Bank of Atlanta WILLIAM HUNTER Federal Reserve Bank of Chicago WILLIAM WITHERELL OECD, Paris JUHA TARKKA Bank of Finland SALVATORE ROSSI Bank of Italy General Discussion
11.00-11.30	Coffee break
	PLENARY SESSION ASSET PRICING AND CORPORATE GOVERNANCE I
11.30-13.30	Chairman - EMILIO BARONE SanPaolo IMI ACCOUNTING RULES AND CORPORATE GOVERNANCE SYSTEMS SHUBHASHIS GANGOPADHYAY University of Copenhagen CLAS WIHLBORG University of Copenhagen TESTING FOR SHORT TERMISM AND OVER-VALUATION IN THE US STOCK MARKET RAY Y. CHOU Institute of Economics, Academia Sinica, Taipei WEN-CHUNG GUO Yuan Ze University, Chung-Li THE DYNAMICS OF THE ANALYSTS’ EARNINGS FORECAST BIAS AND THE STOCK MARKET BOOM LEONARDO BECCHETTI University of Rome "Tor Vergata" IFTEKHAR HASAN Rensselaer Polytechnic Institute MARIKA SANTORO University of Rome "Tor Vergata" PROFITABLE INNOVATION WITHOUT PATENT PROTECTION: THE CASE OF DERIVATIVES HELIOS HERRERA ITAM ENRIQUE SCHROTH HEC -University Lausanne and FAME General Discussion
13.30-14.30	Lunch
	PLENARY SESSION MARKET LIBERALIZATION, FOREIGN DIRECT INVESTMENT
14.30-16.00	Chairman - ALMAS HESHMATI The United Nations University (WIDER) DEMOCRATIZATION AND NEW COMMUNICATION TECHNOLOGIES AS DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN DEVELOPING COUNTRIES TONY ADDISON The United Nations University (WIDER) ALMAS HESHMATI The United Nations University (WIDER) THE IMPACTS OF TRADE LIBERALIZATION ON EMPLOYMENT AND WAGES IN THE TUNISIAN INDUSTRIES ILHAM HAOUAS University of Paris 1 MAHMOUND YAGOUBI University of Paris 1 ALMAS HESHMATI The United Nation University (WIDER) FINANCING HIGH TECH COMPANIES IRV MORGAN Rensselaer Polytechnic Institute CHINESE AND FOREIGN BANKING TO FOREIGN INVESTMENT ENTERPRISES IN SOUTH CHINA JIA HE Chinese University of Hong Kong General Discussion
16.00 – 16.15	Tea Break
	PLENARY SESSION ISSUES IN CAPITAL MARKETS
16.15 – 17.30	Chairman - EMILIO BARUCCI University of Pisa PRICE DISCOVERY IN THE EQUITY OPTIONS MARKET: AN INTEGRATED ANALYSIS OF TRADES AND QUOTES YUSIF SIMAAN Fordham University, Graduate School of Business LIUREN WU Fordham University, Graduate School of Business ASSET PRICING AND SOME ASPECTS OF PROSPECT THEORY JOHN R. NORSWORTHY Rensselaer Polytechnic Institute INTEREST RATE MOVEMENTS IN THE ITALIAN OVERNIGHT MARKET' EMILIO BARUCCI University of Pisa CLAUDIO IMPENNA Bank of Italy ROBERTO RENÒ University of Siena TEMPORARY EXCHANGE- RATE -BASED STABILIZATION PLANS: AN ANALYSIS OF THE EFFECTS ON OUTPUT, CONSUMPTION AND WELFARE WHEN MONEY SERVES A PRODUCTIVE ROLE JESPER RANGVID Copenhagen Business School General Discussion
P r o g r a m m a GIOVEDI’, 5 DICEMBRE 16.00 – 19.00 TAVOLA ROTONDA In collaborazione con CAPITALIA “La crisi della grande Industria in Italia: quali prospettive per il Sistema Bancario?” Banca di Roma Palazzo De Carolis Via del Corso, 307 (ingresso Via Lata,3) Roma Introduce: MICHELE BAGELLA Università degli Studi di Roma "Tor Vergata" Modera: ENRICO CISNETTO Editorialista Discutono: RENATO BRUNETTA Università degli Studi di Roma "Tor Vergata" e Parlamento Europeo FRANCO FORNASARI Inter-American Development Bank GUIDALBERTO GUIDI Confindustria GIORGIO LA MALFA Camera dei Deputati LORENZO PECCHI MCC-Gruppo Capitalia NICOLA ROSSI Università degli Studi di Roma "Tor Vergata" Camera dei Deputati Conclude: LUIGI PAGANETTO Università degli Studi di Roma "Tor Vergata"
	Friday, 6 December, 2002 PLENARY SESSION EMERGING MARKETS AND MONETARY POLICY
9.00-11.00	Chairman – MICHELE BAGELLA University of Rome “Tor Vergata” HOW MUCH DO WE KNOW ABOUT GROWTH AND FINANCE? PAUL WACHTEL New York University- Stern School of Business INCONSISTENCY OF POLICIES AND OIL SHOCKS: DYNAMICS ACCORDING TO THE MONETARY REGIME HAROLD ZAVARCE Central Bank of Venezuela LUIS A. SOSA Colorado School of Mines IS A MONETARY UNION A NEVER-ENDING STORY? MARCO TRONZANO University of Genova FRANCESCO MENONCIN University of Pavia FISCAL POLICY AND EXCHANGE RATES BARBARA ANNICCHIARICO University of Rome “ Tor Vergata” General Discussion
11.00-11.30	Coffee Break
	PLENARY SESSION ASSET PRICING AND CORPORATE GOVERNANCE II
11.30-13.30	Chairman - ANTHONY M. SANTOMERO Federal Reserve Bank of Philadelphia A QUANTITATIVE APPROACH TO DETECT MARKET ABUSES MARCELLO MINENNA Consob EMILIO BARUCCI University of Pisa STOCK PRICE DYNAMICS: AN EMPIRICAL TEST OF THE CHARTIST-FUNDAMENTALIST HYPOTHESIS LEONARDO BECCHETTI University of Rome “Tor Vergata” MARIKA SANTORO University of Rome “Tor Vergata” PRICING INITIAL PUBLIC OFFERINGS IN EUROPE: WHAT HAS CHANGED? GIANCARLO GIUDICI University of Bergamo PETER ROOSENBOOM Erasmus University Rotterdam CORPORATE CONTROL AND SECURITY DESIGN AT INITIAL PUBLIC OFFERINGS: A LAW AND FINANCE ANALYSIS MARTIN HOLMEN Uppsala University PETER HOGFELDT Stockholm School of Economics General Discussion
	PARALLEL SESSION EXCHANGE RATES AND STOCK MARKETS
11.30 –13.30	Chairman - GIANCARLO MARINI University of Rome “Tor Vergata” NON-LINEARITY IN THE DETERMINANTS OF CAPITAL STRUCTURE: EVIDENCE FROM UK FIRMS BASSAM FATTOUH University of London PASQUALE SCARAMOZZINO University of London LAURENCE HARRIS University of London EXCHANGE RATE MONITORING BANDS: THEORY AND POLICY LUISA CORRADO University of Rome " Tor Vergata" MARCUS MILLER University of Warwick LEI ZHANG University of Warwick SHAREHOLDER VALUE AND THE CLASH IN PERFORMANCE MEASUREMENT: ARE BANKS SPECIAL? FRANCO FIORDELISI University of Rome "Tor Vergata" University of Wales Bangor THE FED AND STOCK MARKET: A PROXY AND INSTRUMENTAL VARIABLE IDENTIFICATION STEFANIA D’AMICO Columbia University MIRA FARKA Columbia University DEMAND UNCERTAINTY, EXTERNAL FINANCE AND BUSINESS CYCLES FRANCESCO BUSATO Columbia University General Discussion
13.30-14.30	Lunch
	THE USE OF QUANTITATIVE ANALYSIS IN FINANCIAL INSTITUTIONS (Session sponsored by CAPITALIA)
14.30-16.30	Chairman - CARLO FAVERO Bocconi University MODELLING EASTERN EUROPE CURRENCIES IN THE RUN-UP TO JOINING THE EMU ASMARA JAMALEH IntesaBCI LUIGI RUGGERONE IntesaBCI VOLATILITY CO-MOVEMENTS IN EMERGING BOND MARKETS: IS THERE SEGMENTATION BETWEEN GEOGRAPHICAL AREAS? GIULIO CIFARELLI Universiy of Florence GIOVANNA PALADINO SanPaolo IMI A TEST OF THE EXPECTATIONS HYPOTHESIS FOR THE US TERM STRUCTURE OF INTEREST RATES ALESSANDRA BALBO Capitalia ZENO ROTONDI Capitalia DAY-TRADING THE EURO-DOLLAR WITH A NEWS-BASED MODEL OF EXCHANGE RATES: FIRST RESULTS MASSIMO TIVEGNA University of Teramo General Discussion
16:30-17:00	Coffee Break
	PANEL
17:00-19:00	Chairman -SERGIO LUGARESI Capitalia CARLO FAVERO Bocconi University FABIO SCACCIAVILLANI Goldman Sachs CARLO MONTICELLI Ministry of the Economy and Finance-Italy AVIRAM LEVY Bank of Italy

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"
Giorgio SZEGO
University of Rome "La Sapienza"