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FMG Discussion Papers / Financial Markets Group


null

Impact Factor

0.5

5-Years IF

25

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1133811 (%)0.06
19910.50.10.54730.43314242 (%)10.250.04
19920.140.110.132910.11177181 (%)0.05
19930.130.131210.08106101 (%)0.06
19940.20.140.0811310.08351131 (%)0.06
19950.250.180.3841760.351241135 (%)10.250.1
19960.20.220.2192680.3148511432 (4.2%)40.440.1
19970.310.220.421541130.32771341981 (1.3%)20.130.09
19980.250.240.252263190.32052463283 (1.5%)90.410.13
19990.430.30.432184260.31120371651222 (1.7%)30.140.15
20000.650.360.5125109460.428343287136 (%)40.160.14
20010.390.360.5128137660.48147461892474 (2.7%)60.210.17
20020.580.370.74371741040.6312533111182 (%)80.220.18
20030.770.390.72272011240.62856550133961 (1.2%)70.260.19
200410.40.72402411440.666646413899 (%)60.150.18
20050.30.430.49212621080.4173672015777 (%)30.140.21
20060.380.450.47262881060.37125612315372 (%)20.080.19
20070.450.380.42243121090.351484721151641 (%)130.540.17
20080.720.390.39163281120.3495503613854 (%)70.440.17
20090.780.360.45193471040.3384403112757 (%)50.260.17
20100.910.340.79173641370.381303532106841 (%)70.410.15
20111.420.41323961720.4312236511021024 (3.3%)90.280.19
20120.920.440.81174131400.341164945108883 (2.6%)80.470.2
20130.650.490.9454181620.3924493210195 (%)10.20.2
20141.230.521.274251770.4249222790108 (%)111.570.23
20151.670.530.884251500.3512207869 (%)0.23
20160.710.60.694251680.4756142 (%)0.26
20170.621.074251330.3102931 (%)0.27
20180.740.54251180.280126 (%)0.32
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12009A Preferred-Habitat Model of the Term Structure of Interest Rates. (2009). Vayanos, Dimitri ; Vila, Jean-Luc . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp641.

Full description at Econpapers || Download paper

178
22002Market Timing and Return Prediction under Model Instability. (2002). Timmermann, Allan ; Pesaran, M. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp412.

Full description at Econpapers || Download paper

115
32007Market Liquidity and Funding Liquidity. (2007). Brunnermeier, Markus ; Pederson, Lasse Heje. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp580.

Full description at Econpapers || Download paper

98
42009Banking Stability Measures. (2009). Goodhart, Charles ; Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp627.

Full description at Econpapers || Download paper

93
52010Limits of Arbitrage: The State of the Theory. (2010). Vayanos, Dimitri ; Gromb, Denis. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp650.

Full description at Econpapers || Download paper

68
62009Negative Nominal Interest Rates: Three ways to overcome the zero lower bound. (2009). Buiter, Willem. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp636.

Full description at Econpapers || Download paper

58
71999A Model of the Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp313.

Full description at Econpapers || Download paper

45
81998Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences. (1998). Peel, David ; Nobay, Bob. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp306.

Full description at Econpapers || Download paper

37
92014Network Risk and Key Players: A Structural Analysis of Interbank Liquidity. (2014). Yuan, Kathy ; Julliard, Christian ; Denbee, Edward. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp734.

Full description at Econpapers || Download paper

36
102012Financial Regulation in General Equilibrium. (2012). Tsomocos, Dimitrios ; Kashyap, Anil ; Vardoulakis, Alexandros ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp702.

Full description at Econpapers || Download paper

35
112002Family Firms. (2002). Shleifer, Andrei ; Burkart, Mike ; Panunzi, Fausto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp406.

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35
122002Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?. (2002). Vives, Xavier ; Rochet, Jean. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp408.

Full description at Econpapers || Download paper

32
131999A Simple Model of an International Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp336.

Full description at Econpapers || Download paper

30
141998Beyond the Sample: Extreme Quantile and Probability Estimation. (1998). de Vries, Casper ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp298.

Full description at Econpapers || Download paper

30
151998Informed Trading, Investment, and Welfare. (1998). Rahi, Rohit ; Dow, James. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp292.

Full description at Econpapers || Download paper

29
161998Data-Snooping, Technical Trading, Rule Performance and the Bootstrap. (1998). White, Halbert ; Timmermann, Allan ; Sullivan, Ryan. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp303.

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29
171998Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints. (1998). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp296.

Full description at Econpapers || Download paper

29
182006Consistent Information Multivariate Density Optimizing Methodology. (2006). Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp557.

Full description at Econpapers || Download paper

28
192011Balance Sheet Capacity and Endogenous Risk. (2011). Shin, Hyun Song ; Danielsson, Jon ; Zigrand, Jean-Pierre. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp665.

Full description at Econpapers || Download paper

28
201991The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market. (1991). Goodhart, Charles ; Curcio, Riccardo. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp110.

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27
212005Subadditivity Re–Examined: the Case for Value-at-Risk. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Samorodnitsky, Gennady ; Mandira, Sarma. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp549.

Full description at Econpapers || Download paper

27
222012Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

Full description at Econpapers || Download paper

26
231996Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market. (1996). Payne, Richard. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp238.

Full description at Econpapers || Download paper

26
242008Bond Supply and Excess Bond Returns. (2008). Vayanos, Dimitri ; Greenwood, Robin. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp607.

Full description at Econpapers || Download paper

26
252010Risk Appetite and Endogenous Risk. (2010). Zigrand, Jean-Pierre ; Shin, Hyun Song ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp647.

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26
262002Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy. (2002). Segoviano, Miguel ; Lowe, Philip. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp428.

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25
272006Recovery Rates, Default Probabilities and the Credit Cycle. (2006). González-Aguado, Carlos ; Bruche, Max ; Gonzalez-Aguado, Carlos . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp572.

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25
282001Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints. (2001). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp375.

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25
292010Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies. (2010). Ellul, Andrew ; Yerramilli, Vijay . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp646.

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23
302006(UBS Pensions Series 041) The Economics of Pensions. (2006). Diamond, Peter ; Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp563.

Full description at Econpapers || Download paper

23
312003Equilibrium analysis, banking, contagion and financial fragility. (2003). Tsomocos, Dimitrios. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp450.

Full description at Econpapers || Download paper

22
322012Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition. (2012). Vayanos, Dimitri ; Wang, Jiang. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp708.

Full description at Econpapers || Download paper

22
332011Anticipated and Repeated Shocks in Liquid Markets. (2011). ZHANG, JINFAN ; Yan, Hongjun ; Lou, Dong. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp684.

Full description at Econpapers || Download paper

21
342009Financial Volatility and Economic Activity. (2009). Mele, Antonio. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp642.

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20
352001What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model. (2001). Zigrand, Jean-Pierre ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp393.

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19
361997Team Structure Modelling of Defaultable Bonds. (1997). Schönbucher, Philipp. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp272.

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19
371998Boom In, Bust Out: Young Households and the Housing Price Cycle. (1998). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp310.

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17
381999Optimal Bail Out Policy, Conditionality and Creative Ambiguity. (1999). FREIXAS, XAVIER. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp327.

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17
392008Central banks and financial crises. (2008). Buiter, Willem ; Guriev, Sergei ; Bhattacharya, Sudipto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp619.

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16
402008Can Rare Events Explain the Equity Premium Puzzle?. (2008). Julliard, Christian ; Ghosh, Anisha. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp610.

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16
412000Public Trading and Private Incentives. (2000). Gromb, Denis ; Faure-Grimaud, Antoine . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp347.

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16
422004Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations. (2004). Sentana, Enrique. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp502.

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16
432003Macroeconomic news, order flows and exchange rates. (2003). Payne, Richard ; Love, Ryan . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp475.

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15
442001The Impact of Technology on Cash Usage. (2001). Krueger, Malte ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp374.

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15
452006(UBS Pensions Series 040) Pensions: Overview of Issues. (2006). Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp562.

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14
461997The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour. (1997). Payne, Richard ; Almeida, Alvaro ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp258.

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14
472005The Interest Rate Conditioning Assumption. (2005). Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp547.

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14
481999Bank Moral Hazard and Market Discipline. (1999). Carletti, Elena. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp326.

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13
492002Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements. (2002). Tonks, Ian ; Acker, Daniella ; Stalker, Matthew. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp404.

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13
502001Coordination Risk and the Price of Debt. (2001). Shin, Hyun Song ; Morris, Stephen. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp373.

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13

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12009A Preferred-Habitat Model of the Term Structure of Interest Rates. (2009). Vayanos, Dimitri ; Vila, Jean-Luc . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp641.

Full description at Econpapers || Download paper

69
22009Negative Nominal Interest Rates: Three ways to overcome the zero lower bound. (2009). Buiter, Willem. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp636.

Full description at Econpapers || Download paper

30
32010Limits of Arbitrage: The State of the Theory. (2010). Vayanos, Dimitri ; Gromb, Denis. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp650.

Full description at Econpapers || Download paper

18
42002Market Timing and Return Prediction under Model Instability. (2002). Timmermann, Allan ; Pesaran, M. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp412.

Full description at Econpapers || Download paper

15
52009Banking Stability Measures. (2009). Goodhart, Charles ; Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp627.

Full description at Econpapers || Download paper

11
62014Network Risk and Key Players: A Structural Analysis of Interbank Liquidity. (2014). Yuan, Kathy ; Julliard, Christian ; Denbee, Edward. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp734.

Full description at Econpapers || Download paper

9
72012Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition. (2012). Vayanos, Dimitri ; Wang, Jiang. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp708.

Full description at Econpapers || Download paper

8
82011Balance Sheet Capacity and Endogenous Risk. (2011). Shin, Hyun Song ; Danielsson, Jon ; Zigrand, Jean-Pierre. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp665.

Full description at Econpapers || Download paper

7
92006(UBS Pensions Series 041) The Economics of Pensions. (2006). Diamond, Peter ; Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp563.

Full description at Econpapers || Download paper

7
102013Debt Maturity and the Liquidity of Secondary Debt Markets. (2013). Segura, Anatoli ; Bruche, Max. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp726.

Full description at Econpapers || Download paper

6
112012Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

Full description at Econpapers || Download paper

6
122012Financial Regulation in General Equilibrium. (2012). Tsomocos, Dimitrios ; Kashyap, Anil ; Vardoulakis, Alexandros ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp702.

Full description at Econpapers || Download paper

6
132011Anticipated and Repeated Shocks in Liquid Markets. (2011). ZHANG, JINFAN ; Yan, Hongjun ; Lou, Dong. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp684.

Full description at Econpapers || Download paper

5
142002Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements. (2002). Tonks, Ian ; Acker, Daniella ; Stalker, Matthew. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp404.

Full description at Econpapers || Download paper

5
152011Financing Constraints, Firm Dynamics, Export Decisions and Aggregate productivity. (2011). Cuñat, Vicente ; Caggese, Andrea ; Cunat, Vincente . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp685.

Full description at Econpapers || Download paper

4
162012Bankers and bank investors: Reconsidering the economies of scale in banking. (2012). Jõeveer, Karin ; Joeveer, Karin ; Anderson, Ronald W.. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp712.

Full description at Econpapers || Download paper

3
172003Equilibrium analysis, banking, contagion and financial fragility. (2003). Tsomocos, Dimitrios. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp450.

Full description at Econpapers || Download paper

3
182006Consistent Information Multivariate Density Optimizing Methodology. (2006). Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp557.

Full description at Econpapers || Download paper

3
192011Preferred-Habitat Investors and the US Term Structure of Real Rates. (2011). Zinna, Gabriele ; Vayanos, Dimitri ; Kaminska, Iryna. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp674.

Full description at Econpapers || Download paper

2
202014Liquidity Risk and the Dynamics of Arbitrage Capital. (2014). Vayanos, Dimitri ; Kondor, Péter. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp730.

Full description at Econpapers || Download paper

2
212007Market Liquidity and Funding Liquidity. (2007). Brunnermeier, Markus ; Pederson, Lasse Heje. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp580.

Full description at Econpapers || Download paper

2
221999A Model of the Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp313.

Full description at Econpapers || Download paper

2
232013Say Pays! Shareholder Voice and Firm Performance. (2013). Guadalupe, Maria ; Cuñat, Vicente ; Cuat, Vicente ; Gine, Mireia. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp724.

Full description at Econpapers || Download paper

2
241999A Simple Model of an International Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp336.

Full description at Econpapers || Download paper

2
252006(UBS Pensions Series 040) Pensions: Overview of Issues. (2006). Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp562.

Full description at Econpapers || Download paper

2
262008From Fiction to Fact: The Impact of CEO Social Networks. (2008). Stathopoulos, Konstantinos ; Kirchmaier, Thomas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp608.

Full description at Econpapers || Download paper

2
272005Subadditivity Re–Examined: the Case for Value-at-Risk. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Samorodnitsky, Gennady ; Mandira, Sarma. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp549.

Full description at Econpapers || Download paper

2
282008Bond Supply and Excess Bond Returns. (2008). Vayanos, Dimitri ; Greenwood, Robin. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp607.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:


YearTitle

Recent citations (cites in year: CiY)


Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2019. Contact: CitEc Team