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Details about Stefan Avdjiev

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Homepage:http://www.bis.org/author/stefan_avdjiev.htm
Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Stefan Avdjiev.

Last updated 2020-11-08. Update your information in the RePEc Author Service.

Short-id: pav41


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Working Papers

2020

  1. Dollar funding costs during the Covid-19 crisis through the lens of the FX swap market
    BIS Bulletins, Bank for International Settlements Downloads View citations (7)
  2. Global and domestic financial cycles: variations on a theme
    BIS Working Papers, Bank for International Settlements Downloads
  3. Home sweet host: Prudential and monetary policy spillovers through global banks
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)

2019

  1. Measuring contagion risk in international banking
    BIS Working Papers, Bank for International Settlements Downloads View citations (4)
    See also Journal Article in Journal of Financial Stability (2019)

2018

  1. External debt composition and domestic credit cycles
    Working Papers, European Stability Mechanism Downloads View citations (3)
    Also in BIS Working Papers, Bank for International Settlements (2017) Downloads View citations (5)
  2. Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)
  3. Gross capital flows by banks, corporates and sovereigns
    BIS Working Papers, Bank for International Settlements Downloads View citations (10)
    Also in Policy Research Working Paper Series, The World Bank (2018) Downloads View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (22)
  4. The dollar exchange rate as a global risk factor: evidence from investment
    BIS Working Papers, Bank for International Settlements Downloads View citations (12)
    See also Journal Article in IMF Economic Review (2019)
  5. Transmission of monetary policy through global banks: whose policy matters?
    BIS Working Papers, Bank for International Settlements Downloads View citations (15)
    See also Journal Article in Journal of International Money and Finance (2018)
  6. U.S. Monetary Policy and Fluctuations of International Bank Lending
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
    Also in BIS Working Papers, Bank for International Settlements (2018) Downloads View citations (2)

    See also Journal Article in Journal of International Money and Finance (2019)
  7. What drives local lending by global banks?
    BIS Working Papers, Bank for International Settlements Downloads
    Also in Working Papers, University of Central Florida, Department of Economics (2017) Downloads View citations (3)

    See also Journal Article in Journal of International Money and Finance (2019)

2017

  1. CoCo Issuance and Bank Fragility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (9)
    BIS Working Papers, Bank for International Settlements (2017) Downloads View citations (8)
  2. Gross Capital Inflows to Banks, Corporates and Sovereigns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (36)
  3. The Shifting Drivers of Global Liquidity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in BIS Working Papers, Bank for International Settlements (2017) Downloads View citations (35)
    Staff Reports, Federal Reserve Bank of New York (2017) Downloads View citations (25)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (25)

    See also Journal Article in Journal of International Economics (2020)
  4. U.S. Monetary Policy as a Changing Driver of Global Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

2016

  1. International prudential policy spillovers: a global perspective
    BIS Working Papers, Bank for International Settlements Downloads View citations (16)
    See also Journal Article in International Journal of Central Banking (2017)
  2. Monetary policy spillovers and currency networks in cross-border bank lending
    BIS Working Papers, Bank for International Settlements Downloads View citations (12)
  3. The dollar, bank leverage and the deviation from covered interest parity
    BIS Working Papers, Bank for International Settlements Downloads View citations (64)
    See also Journal Article in American Economic Review: Insights (2019)

2015

  1. Breaking free of the triple coincidence in international finance
    BIS Working Papers, Bank for International Settlements Downloads View citations (26)
    See also Journal Article in Economic Policy (2016)
  2. IAG Reference document on Consolidation and corporate groups: an overview of methodological and practical issues
    IFC Reports, Bank for International Settlements Downloads

2014

  1. Credit Growth, Monetary Policy, and Economic Activity in a Three-Regime TVAR Model
    BIS Working Papers, Bank for International Settlements Downloads View citations (13)
    See also Journal Article in Applied Economics (2014)

2012

  1. Rapid credit growth and international credit: Challenges for Asia
    BIS Working Papers, Bank for International Settlements Downloads View citations (50)
  2. The Social Value of Policy Signals
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)

2011

  1. News driven business cycles and data on asset prices in estimated DSGE models
    BIS Working Papers, Bank for International Settlements Downloads View citations (10)
    See also Journal Article in Review of Economic Dynamics (2016)

2010

  1. Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)

Journal Articles

2020

  1. International dimensions of EME corporate debt
    BIS Quarterly Review, 2020 Downloads
  2. The shifting drivers of global liquidity
    Journal of International Economics, 2020, 125, (C) Downloads
    See also Working Paper (2017)

2019

  1. Following the imprint of the ECB's asset purchase programme on global bond and deposit flows
    BIS Quarterly Review, 2019 Downloads View citations (2)
  2. Measuring contagion risk in international banking
    Journal of Financial Stability, 2019, 42, (C), 36-51 Downloads View citations (3)
    See also Working Paper (2019)
  3. Monetary Policy Spillovers and Currency Networks in Cross-Border Bank Lending: Lessons from the 2013 Fed Taper Tantrum*
    Review of Finance, 2019, 23, (5), 993-1029 Downloads View citations (3)
  4. The Dollar Exchange Rate as a Global Risk Factor: Evidence from Investment
    IMF Economic Review, 2019, 67, (1), 151-173 Downloads View citations (15)
    See also Working Paper (2018)
  5. The Dollar, Bank Leverage, and Deviations from Covered Interest Parity
    American Economic Review: Insights, 2019, 1, (2), 193-208 Downloads View citations (14)
    See also Working Paper (2016)
  6. U.S. monetary policy and fluctuations of international bank lending
    Journal of International Money and Finance, 2019, 95, (C), 251-268 Downloads View citations (2)
    See also Working Paper (2018)
  7. What drives local lending by global banks?
    Journal of International Money and Finance, 2019, 90, (C), 54-75 Downloads View citations (2)
    See also Working Paper (2018)

2018

  1. Tracking the international footprints of global firms
    BIS Quarterly Review, 2018 Downloads View citations (17)
  2. Transmission of monetary policy through global banks: Whose policy matters?
    Journal of International Money and Finance, 2018, 89, (C), 67-82 Downloads View citations (11)
    See also Working Paper (2018)

2017

  1. Cross-Border Prudential Policy Spillovers: How Much? How Important? Evidence from the International Banking Research Network
    International Journal of Central Banking, 2017, 13, (2), 505-558 Downloads View citations (19)
  2. International Prudential Policy Spillovers: A Global Perspective
    International Journal of Central Banking, 2017, 13, (2), 5-33 Downloads View citations (24)
    See also Working Paper (2016)

2016

  1. Breaking free of the triple coincidence in international finance
    Economic Policy, 2016, 31, (87), 409-451 Downloads View citations (47)
    See also Working Paper (2015)
  2. News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models
    Review of Economic Dynamics, 2016, 20, 181-197 Downloads View citations (7)
    See also Software Item (2014)
    Working Paper (2011)
  3. The ECB's QE and euro cross-border bank lending
    BIS Quarterly Review, 2016 Downloads View citations (5)

2015

  1. Enhanced data to analyse international banking
    BIS Quarterly Review, 2015 Downloads View citations (18)

2014

  1. Credit growth, monetary policy and economic activity in a three-regime TVAR model
    Applied Economics, 2014, 46, (24), 2936-2951 Downloads View citations (11)
    See also Working Paper (2014)
  2. Cross-border bank lending during the taper tantrum: the role of emerging market fundamentals
    BIS Quarterly Review, 2014 Downloads View citations (21)
  3. Non-financial corporations from emerging market economies and capital flows
    BIS Quarterly Review, 2014 Downloads View citations (49)

2013

  1. CoCos: a primer
    BIS Quarterly Review, 2013 Downloads View citations (39)

2012

  1. Sovereign creditworthiness and financial stability:an international perspective
    Financial Stability Review, 2012, (16), 71-85 Downloads View citations (24)
  2. The euro area crisis and cross-border bank lending to emerging markets
    BIS Quarterly Review, 2012 Downloads View citations (60)

2009

  1. Impact of heterogeneous managerial productivity on executive hedge markets in an asymmetric information environment
    Finance Research Letters, 2009, 6, (4), 187-201 Downloads

Chapters

2015

  1. Enhancements to the BIS international banking statistics
    A chapter in Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, 2015, vol. 39 Downloads View citations (5)

Software Items

2014

  1. Code and data files for "News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models"
    Computer Codes, Review of Economic Dynamics Downloads
    See also Journal Article in Review of Economic Dynamics (2016)
 
Page updated 2020-11-24