Banking and Finance for Society

Selected Publications

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2016

- Diaz, E.M., Perez de Gracia, F., (2016): “Oil price shocks and stock returns of oil and gas corporations”, Finance Research Letters, forthcoming.

- Kang, W., Perez de Gracia, F., Ratti, R.A., (2016): “Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations”, Journal of International Money and Finance, forthcoming.

- "Oil price volatility and stock returns in the G7 economies" (E. M. Diaz, J. C. Molero and F. Perez de Gracia), Energy Economics, 54, 417–430

- "Exploring the oil prices and exchange rates nexus in some African economies" (V. Pershin, J. C. Molero and F. Perez de Gracia), Journal of Policy Modeling, 38, 166–180

- "Term Structure Persistence" (M. Abbritti, L. Gil-Alana, Y. Lovcha and A. Moreno) Journal of Financial Econometrics, Forthcoming.

- "Granger causality and systemic risk" (M. Balboa, G. LÛpez-Espinosa, A. Rubia), Finance Research Letters, Forthcoming. 

- "Systemic Risk and Asymmetric Responses in the Financial Industry" (G. López-Espinosa, A. Moreno, A. Rubia and L. Valderrama) Journal of Banking and Finance, Forthcoming.

- "Stationarity and long range dependence of carbon dioxide emissions: Evidence for disaggregated data", (C. Barros, L. A. Gil-Alana and F. Perez de Gracia), Environmental and Resource Economics, 63, 45-56

2015

- "Towards a Common Eurozone Risk Free Rate" (S. Mayordomo, J.I. Peña, E.S. Schwartz) European Journal of Finance, Forthcoming.

- "Asset Pledgeability and International Transmission of Financial Shocks" (T. Trani), Journal of International Money and Finance, 50, 49-77.

- "Macroeconomic Regimes" (L. Baele, G. Bekaert, S. Cho, K. Inghelbrecht, A. Moreno), Journal of Monetary Economics, 70, 51-71.

- "Fragmentation in the European Interbank Market: Measures, Determinants, and Policy Solutions" (S. Mayordomo, M. Rodriguez-Moreno, M. Abascal, T. Alonso), Journal of Financial Stability, 16, 1-12.

2014

- "Ratcheting and the Role of Relative Target Setting" (Carmen Aranda, Javier Arellano, and Antonio Davila). The Accounting Review Vol. 89, No. 4, pp. 1197-1226.

- "Must Milton Friedman embrace stakeholder theory?" (I Ferrero, W Michael Hoffman, RE McNulty) Business and Society Review 119 (1), 37-59.

- "A quantitative analysis of authors, schools and themes in virtue ethics articles in business ethics and management journals (1980ñ2011)" (I Ferrero, AJG Sison), Business Ethics: A European Review 23 (4), 375-400.

- "An Estimated New-Keynesian Model with Unemployment as Excess Supply of Labor" (M. Casares, A. Moreno, J. Vázquez). Journal of Macroeconomics 40 (2014) 338–359.

- "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector", (S. Mayordomo, M. Rodriguez-Moreno, J. I. Peña). Journal of Banking and Finance, 45, 84-104.

- "An Empirical Analysis of the Dynamic Dependences in the European Corporate Credit Markets", (S. Mayordomo, J.I. Peña). Applied Financial Economics, 24, 605-619.

- "Oil Price Shocks and Stock Market Returns: Evidence for Some European Countries", (J. Cunado, F. Perez de Gracia). Energy Economics, 42, 365-377.

- "Testing for Statistical Arbitrage in Credit Derivatives Markets", (S. Mayordomo, J.I. Peña, J. Romo). Journal of Empirical Finance, 26, 59-75.

- "Liquidity Commonalities in the Credit Default Swap Market" (S. Mayordomo, M. Rodriguez-Moreno, J.I. Peña). International Review of Economics and Finance, 31, 171-192.

- "Exploring the Ethical Dimension of Hawala" (D. Redín, R. Calderón, I. Ferrero), Journal of Business Ethics, 124, 327-337.

- "The Efficiency of Performance-Based Fee Funds", (A.C. Díaz-Mendoza, G. López-Espinosa, M.A. Martínez), European Financial Management, 20, 825-855.

- "A Quantitative Analysis of Authors, Schools and Themes in Virtue Ethics Articles in Business Ethics and Management Journals (1980–2011)" (I., Ferrero, A., Sison), Business Ethics: A European Review, 23, 375-400.

- "Responsabilidad Social y Responsabilidad Limitada en Milton Friedman. De un Modelo Shareholder Hacia un Modelo Stakeholder" (I. Ferrero), Revista de Ciencias Sociales, XX, No. 4, 633-643.

 

2013

- "Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain", (S. Mayordomo, J.I. Peña, M. Rodríguez). Quantitative Finance, forthcoming.

- "Are all Credit Default Swap Databases Equal". (S. Mayordomo, J.I. Peña, E.S. Schwartz), European Financial Management, forthcoming.

- "Downward Wage Rigidity and Business Cycle Asymmetries", (M. Abbriti, S, Fahr). Journal of Monetary Economics, 60, 871-886.

- Asymmetric Labor Market Institutions in the EMU and the Volatility of Inflation and Unemployment Differentials", (M. Abbritti, A.I. Mueller). Journal of Money, Credit and Banking, 45, 1165-1186.

- "Systemic Risk Measures: The Simpler the Better?", (M. Rodriguez-Moreno, J.I. Peña). Journal of Banking and Finance, 37, 1817-1831.

- "Credit-Risk Valuation in the Sovereign CDS and Bond Markets: Evidence from the Euro Area Crisis", (S. Mayordomo, O. Arce, J.I. Peña). Journal of International Money and Finance, 35, 124-145.

- "Nonlinear Dynamics in Discretionary Accruals: An Analysis of Bank Loan-Loss Provisions" (M. Balboa, G. López-Espinosa, A. Rubia), Journal of Banking and Finance, 37, 5186-5207.

- "Good for One, Bad for All: Determinants of Individual versus Systemic Risk", (G. López-Espinosa, A. Rubia, L. Valderrama, M. Antón), Journal of Financial Stability, 9, 287-299.

 

2012

- "Exploring Survey-Based Inflation Forecasts", (L.A. Gil-Alana, A. Moreno, F. Pérez de Gracia). Journal of Forecasting, 31, 524-539.

- "Short-Term Wholesale Funding and Systemic Risk: A Global CoVar Approach", (G. López-Espinosa, A. Moreno, A, Rubia, L. Valderrama). Journal of Banking and Finance, 36, 3150-3162.

- "Uncovering the US Term Premium: An Alternative Route", (L.A. Gil-Alana, A. Moreno). Journal of Banking and Finance, 36, 1181-1193.

- Wage Stickiness and Unemployment Fluctuations: An Alternative Approach", (M. Casares, A. Moreno, J. Vázquez). SERIEs, Spanish Economic Association, 3, 395-422.

- "Trademark Activity and the Market Performance of U.S. Commercial Banks", (S. Mayordomo, C. González-Pedraz). Journal of Business Economics and Management, 13, 931-950.

- "Fractional Integration and Structural Breaks in U.S. Macro Dynamics", (L.A. Gil-Alana, A. Moreno). Empirical Economics, 43, 427-446.

 

2011

- "The Forward Method as a Solution Refinement in Rational Expectations Models", (S. Cho, A. Moreno). Journal of Economic Dynamics and Control, 35, 257-272.

- "Banks´Net Interest Margin in the 2000s: A Macro-Accounting International Perspective", (G. López-Espinosa, A. Moreno, F. Pérez de Gracia). Journal of International Money and Finance, 30, 1214-1233.

- "The Effect of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress", (S. Mayordomo, J. I. Peña, J. Romo). European Journal of Finance, 17, 851-881.

- "Cooperatives and the Equity-Liabilities Puzzle: Concerns for Accounting Standards Setters" (G. López-Espinosa, J. Maddocks, F. Polo Garrido), Accounting Horizons, 36, 767-787.