PUBLICATIONS

Stefan T.M. Straetmans
PUBLICATIONS
I. Articles in peer-reviewed international Journals  
 
• “Inflation protection from home ownership: Long run evidence 1814-2008”, with Dirk Brounen, Piet Eichholtz and Marcel Theebe, forthcoming in Real Estate Economics.
 
• “Are Capital Controls Effective in the Foreign Exchange Market?", with Roald Versteeg and Christian Wolff, Journal of International Money and Finance, 35, 36-53, 2013.
 
• “Long Term Asset Tail risks in Developed and Emerging Markets”, with Bertrand Candelon, Journal of Banking and Finance, 37(6), 1832-1844, 2013.
 
“Does the EURO dominate Central and Eastern European money markets?”, with Alexander Kadow, Mario Cerrato and Ronald McDonald, Journal of International Money and Finance, 32, 700-718, 2013.
 
• “The Amsterdam Rent Index: Housing Market Rents and the Economy, 1550 - 1850”, with Piet Eichholtz and Marcel Theebe, Journal of Housing Economics, 21(4), 269-282, 2012.

• “
Heavy Tails and Currency Crises”, with Philipp Hartmann and Casper G. de Vries, Journal of Empirical Finance, 17(2), 241-254, 2010.
 
• “Comovements of different asset classes during times of Market stress”, with Jan Piplack, Pacific Economic Review, 15(3), 385-400, 2010.
 
• “Multivariate Business Cycle Synchronization in Small Samples”, with Bertrand Candelon and Jan Piplack, Oxford Bulletin of Economics and Statistics, 71(5), 715-737, 2009.
 
• “On Measuring Synchronisation of Bulls and Bears: the case of East Asia”, with Bertrand Candelon and Jan Piplack, Journal of Banking and Finance, 32(6), 1022-1035, 2008.
 
• “Extreme U.S. Stock Market Fluctuations in the Wake of 9/11”, with Christian Wolff and Willem Verschoor, Journal of Applied Econometrics, 23(1), 17-42, 2008.
 
• “Testing for Multiple Regimes in the Tail Behavior of Emerging Currency Returns”, with Bertrand Candelon, Journal of International Money and Finance, 25(7), 1187-1205, 2006.
 
• “Asset Market Linkages in Crisis Periods”, with Philipp Hartmann and Casper G. de Vries, Review of Economics and Statistics, 86(1), 313-326, 2004. [see also CEPR Working Paper nr. 2916 and ECB working paper nr.71]
 
• “Tail behaviour of credit loss distributions for general latent factor models”, with Andre Lucas, Pieter Klaassen and Peter Spreij, Applied Mathematical Finance, 10(4), 337-357, 2003.
 
• “An Analytic Approach to Credit Risk for Large Corporate Bond and Loan Portfolios”, with Andre Lucas, Pieter Klaassen and Peter Spreij, Journal of Banking and Finance, 25(8), 1635-1664, 2001.
 
• “Time Varying Forex Market Inefficiency (le rejet de l'hypothèse d'efficience variable dans le temps sur le marché des changes)”, with Camiel de Koning, Economie et Prevision, 4-5, 77-90, nr. 140-141, 1999.
 
• “Fat Tail Distributions and Local Thin Tail Alternatives”, with Geert Gielens and Casper G. de Vries, Communications in Statistics, 705-710, 1996.
II. Book chapters, book reviews and discussions
 
Developed and Emerging Equity Market Tail Risk: Is It Constant? , with Bertrand Candelon, In Emerging Markets and the Global Economy: a Handbook, Arouri, M., Boubaker, S., Nguyen, D. (eds.), Elsevier (Nort-Holland), forthcoming  
 
Discussion of “Are banks too big to fail?" (by Chen Zhou), International Journal of Central Banking, 2011
 
Asset Market Linkages in Crisis Periods, with Philipp Hartmann and Casper G. de Vries, In the Handbook on Liquidity and Crises, Allen, F., Carletti, E., Krahnen, J.P., Tyrel, M. (eds.), Oxford University Press, 2011.
 
Measuring Bulls and Bears Synchronization in East Asian Stock Markets, with Jan Piplack and Bertrand Candelon, In Financial contagion: The viral threat to the wealth of nations, Kolb, RW (ed.), John Wiley, 2011.
 
Banking System Stability: a Cross Atlantic Perspective, with Philipp Hartmann and Casper G. de Vries, In the Risk of Financial Institutions, Carey, M, Stulz RM (eds.), The University of Chicago Press (Chicago and London), 2006, 133-193. [see also NBER WP nr.11698, ECB WP nr.527]
 
A Global Perspective on Extreme Currency Linkages, with Philipp Hartmann and Casper G. de Vries, in Asset Price Bubbles: Implications for Monetary, Regulatory and International Policies, Hunter, WC, Kaufmann GG, Pomerleano M (eds.), MIT Press (Cambridge), 2004, 361-383.
 
• Extremal Spillovers in Equity Markets, in Extremes and Integrated Risk Management,  Embrechts, P. (ed.), Risk Books London, 2000, 187-205.
 
• Joint review on “Asian Contagion: the Causes and Consequences of a Financial Crisis”, edited by Karl. D. Jackson, Boulder, Colorado and Oxford, UK: Westview Press and “Toward a New International Financial Architecture: A Practical Post-Asia Agenda”, by B. Eichengreen, Washington DC: Institute for International Economics, The Economic Journal, vol. 111, nr. 475, F786-F787, 2001.

•  Extreme Financial Returns and Their Comovements (1998), Ph.D. Thesis, Tinbergen Institute Research Series nr. 181 (Members of the predefense Committee: C.G. de Vries, P.C. Schotman, L.F.M. de Haan, J.M. Viaene, J. Danielsson, N. Mark, C. van Marrewijk), 143 pp.

[Note: My PhD thesis is unavailable in electronic format but a hardcopy can still be obtained via regular mail when you send me your postal address - see my contact e-mail]
 
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