Articles

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Bank Insolvency Risk and Z-Score Measures: A Refinement, Finance Research Letters, (2015)

We re-examine the probabilistic foundation of the link between Z-score measures and banks' probability of...

 

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Bank ownership structure, lending corruption and the regulatory environment (with Thierno Barry and Laetitia Lepetit), Journal of Comparative Economics (2015)

We empirically examine whether bank lending corruption is influenced by the ownership structure of banks,...

 

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Monetary, financial and fiscal stability in the East African Community: ready for a monetary union? (with Laetitia Lepetit and Clovis Rugemintwari), The World Economy (2015)

We examine prospects for a monetary union in the East African Community (EAC) by developing...

 

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Bank Income Smoothing, Ownership Concentration and the Regulatory Environment (with Vincent Bouvatier and Laetitia Lepetit), Journal of Banking & Finance (2014)

We empirically examine whether the way a bank might use loan loss provisions to smooth...

 

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Bank insolvency risk and time-varying Z-score measures (with Laetitia Lepetit), Journal of International Financial Markets, Institutions & Money (2013)

We compare the different existing approaches to the construction of time-varying Z-score measures, plus an...

 

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Uncertainty and Switching in the Mortgage Market (with Celine Gondat-Larralde), Applied Economics (2013)

We examine when it might be optimal for borrowers to switch providers of debt products...

 

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Does uncertainty matter for loan charge-offs? (with Laetitia Lepetit and David G. Dickinson), Journal of International Financial Markets, Institutions & Money (2012)

Using a stylized real options model, we show that discretion over the timing of charging...

 

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International tax arbitrage and residence vs. source-based capital income taxation, Research in Economics (2012)

Using a two-country general equilibrium framework with heterogeneous agents and uncertainty, we examine how countries'...

 

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International tax arbitrage, currency options and put-call parity conditions, Journal of International Financial Markets, Institutions & Money (2012)

Using a finite-horizon general equilibrium model with uncertainty and money, we characterize situations where tax...

 

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Bank insolvency risk and different approaches to aggregate Z-score measures: a note, Applied Economics Letters (2011)

We discuss to what extent existing approaches to the construction of aggregate Z-score measures capture...

 

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Bank insolvency risk and Z-score measures with unimodal returns, Applied Economics Letters (2011)

We specialize the established justification for using Z-scores as a risk measure reflecting a bank's...

 

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Bank insolvency risk and aggregate Z-score measures: a caveat, Economics Bulletin (2010)

We demonstrate that a popular approach to constructing (weighted) mean-based aggregate bank insolvency risk measures...

 

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Financial Fragility and Crisis Union in the Asia-Pacific Region, Global Economy Journal (2009)

We examine whether core ASEAN+3 countries might be interested in joining a financial "crisis union,"...

 

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Joining European Monetary Union: a real options perspective, Scottish Journal of Political Economy (2007)

We examine the real option implicit in countries' decisions on whether to join a monetary...

 

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International tax arbitrage, financial parity conditions and preferential capital gains taxation, Quantitative Finance (2005)

Using a finite-horizon general equilibrium model with uncertainty and money, we characterize situations where tax...

 

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Leaving EMU: a real options perspective, Applied Economics (2005)

The real option implicit in a country's decision of whether to leave an existing monetary...

 

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Monetary integration and inflation preferences: A real options analysis, European Economic Review (2005)

We use a two-country model where policymakers minimize Barro–Gordon-type loss functions over inflation, and inflation...

 

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Marriage and the value of waiting, Journal of Population Economics (2003)

Using a simple model where singles try to maximize their "pizazz", we examine the value...

 

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International tax arbitrage, tax evasion and interest parity conditions, Research in Economics (2001)

Using a finite-horizon general equilibrium model with uncertainty and money, we characterize situations where tax...

 

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When to Leave a Monetary Union?, Revue économique (2001)

Using a two-country model of monetary union where policymakers minimize the continuous-time equivalent of a...

 

Unpublished Papers

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Bank Equity Involvement in Industrial Firms and Bank Risk (with Laetitia Lepetit), Available at SSRN: http://ssrn.com/abstract=1713223 (2012)

The regulatory framework in Europe does not prevent banks from taking large or controlling equity...