Articles

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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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Monetary, financial and fiscal stability in the East African Community: ready for a monetary union? (with Laetitia Lepetit and Clovis Rugemintwari), World Economy, (2014)

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

 

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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 Insolvency Risk and Z-Score Measures: A Refinement, Available at SSRN: http://ssrn.com/abstract=1753735 (2014)

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

 

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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...