Details about Stefan Avdjiev

Access statistics for papers by Stefan Avdjiev.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pav41

Working Papers

2024

1. New spare tires: local currency credit as a global shock absorber
   BIS Working Papers, Bank for International Settlements

2023

2. U.S. Monetary Policy and Fluctuations of International Bank Lending
   Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz
   Also in BIS Working Papers, Bank for International Settlements (2018) View citations (7)
   Working Paper Series, Federal Reserve Bank of San Francisco (2018) View citations (1)
   See also Journal Article U.S. monetary policy and fluctuations of international bank lending, Journal of International Money and Finance, Elsevier (2019) View citations (28) (2019)

2022

3. Bank opacity - patterns and implications
   BIS Working Papers, Bank for International Settlements
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
4. Financial openness and inequality
   BIS Working Papers, Bank for International Settlements View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)

2020

5. Dollar funding costs during the Covid-19 crisis through the lens of the FX swap market
   BIS Bulletins, Bank for International Settlements View citations (32)
6. Global and domestic financial cycles: variations on a theme
   BIS Working Papers, Bank for International Settlements
   See also Journal Article Global and Domestic Financial Cycles: Variations on a Theme, International Journal of Central Banking, International Journal of Central Banking (2023) View citations (2) (2023)
7. Gross Capital Flows by Banks, Corporates and Sovereigns
   Working Papers, CEMFI View citations (5)
   Also in Policy Research Working Paper Series, The World Bank (2018) View citations (29)
   NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (39)
   BIS Working Papers, Bank for International Settlements (2018) View citations (37)
   See also Journal Article Gross Capital Flows by Banks, Corporates, and Sovereigns, Journal of the European Economic Association, European Economic Association (2022) View citations (27) (2022)
8. Home sweet host: Prudential and monetary policy spillovers through global banks
   BIS Working Papers, Bank for International Settlements View citations (13)
9. Regulatory capital, market capital and risk taking in international bank lending
   BIS Working Papers, Bank for International Settlements View citations (5)

2019

10. Measuring contagion risk in international banking
    BIS Working Papers, Bank for International Settlements View citations (34)
    See also Journal Article Measuring contagion risk in international banking, Journal of Financial Stability, Elsevier (2019) View citations (31) (2019)

2018

11. External debt composition and domestic credit cycles
    Working Papers, European Stability Mechanism View citations (5)
    Also in BIS Working Papers, Bank for International Settlements (2017) View citations (12)
    See also Journal Article External debt composition and domestic credit cycles, Journal of International Money and Finance, Elsevier (2021) View citations (4) (2021)
12. Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics
    BIS Working Papers, Bank for International Settlements View citations (5)
    See also Chapter Gauging Procyclicality and Financial Vulnerability in Asia through the BIS Banking and Financial Statistics, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2021) (2021)
13. The dollar exchange rate as a global risk factor: evidence from investment
    BIS Working Papers, Bank for International Settlements View citations (25)
    See also Journal Article The Dollar Exchange Rate as a Global Risk Factor: Evidence from Investment, IMF Economic Review, Palgrave Macmillan (2019) View citations (79) (2019)
14. Transmission of monetary policy through global banks: whose policy matters?
    BIS Working Papers, Bank for International Settlements View citations (36)
    See also Journal Article Transmission of monetary policy through global banks: Whose policy matters?, Journal of International Money and Finance, Elsevier (2018) View citations (27) (2018)
15. What drives local lending by global banks?
    BIS Working Papers, Bank for International Settlements
    Also in Working Papers, University of Central Florida, Department of Economics (2017) View citations (3)
    See also Journal Article What drives local lending by global banks?, Journal of International Money and Finance, Elsevier (2019) View citations (11) (2019)

2017

16. CoCo Issuance and Bank Fragility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
    Also in BIS Working Papers, Bank for International Settlements (2017) View citations (16)
    NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (20)
    See also Journal Article CoCo issuance and bank fragility, Journal of Financial Economics, Elsevier (2020) View citations (27) (2020)
17. Gross Capital Inflows to Banks, Corporates and Sovereigns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (39)
18. The Shifting Drivers of Global Liquidity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)
    Also in BIS Working Papers, Bank for International Settlements (2017) View citations (62)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (57)
    Staff Reports, Federal Reserve Bank of New York (2017) View citations (27)
    See also Journal Article The shifting drivers of global liquidity, Journal of International Economics, Elsevier (2020) View citations (57) (2020)
19. U.S. Monetary Policy as a Changing Driver of Global Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York

2016

20. International prudential policy spillovers: a global perspective
    BIS Working Papers, Bank for International Settlements View citations (30)
    See also Journal Article International Prudential Policy Spillovers: A Global Perspective, International Journal of Central Banking, International Journal of Central Banking (2017) View citations (46) (2017)
21. Monetary policy spillovers and currency networks in cross-border bank lending
    BIS Working Papers, Bank for International Settlements View citations (17)
22. The dollar, bank leverage and the deviation from covered interest parity
    BIS Working Papers, Bank for International Settlements View citations (70)
    See also Journal Article The Dollar, Bank Leverage, and Deviations from Covered Interest Parity, American Economic Review: Insights, American Economic Association (2019) View citations (108) (2019)

2015

23. Breaking free of the triple coincidence in international finance
    BIS Working Papers, Bank for International Settlements View citations (47)
    See also Journal Article Breaking free of the triple coincidence in international finance, Economic Policy, CEPR, CESifo, Sciences Po (2016) View citations (68) (2016)
24. IAG Reference document on Consolidation and corporate groups: an overview of methodological and practical issues
    IFC Reports, Bank for International Settlements

2014

25. Credit Growth, Monetary Policy, and Economic Activity in a Three-Regime TVAR Model
    BIS Working Papers, Bank for International Settlements View citations (18)
    See also Journal Article Credit growth, monetary policy and economic activity in a three-regime TVAR model, Applied Economics, Taylor & Francis Journals (2014) View citations (18) (2014)

2012

26. Rapid credit growth and international credit: Challenges for Asia
    BIS Working Papers, Bank for International Settlements View citations (63)
27. The Social Value of Policy Signals
    BIS Working Papers, Bank for International Settlements View citations (3)

2011

28. News driven business cycles and data on asset prices in estimated DSGE models
    BIS Working Papers, Bank for International Settlements View citations (10)
    See also Journal Article News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2016) View citations (14) (2016)

2010

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

Journal Articles

2023

1. Global and Domestic Financial Cycles: Variations on a Theme
   International Journal of Central Banking, 2023, 19, (5), 49-98 View citations (2)
   See also Working Paper Global and domestic financial cycles: variations on a theme, BIS Working Papers (2020) (2020)

2022

2. Gross Capital Flows by Banks, Corporates, and Sovereigns
   Journal of the European Economic Association, 2022, 20, (5), 2098-2135 View citations (27)
   See also Working Paper Gross Capital Flows by Banks, Corporates and Sovereigns, Working Papers (2020) View citations (5) (2020)
3. Regulatory arbitrage behavior of internationally active banks and global financial market conditions
   Economic Modelling, 2022, 112, (C) View citations (2)

2021

4. External debt composition and domestic credit cycles
   Journal of International Money and Finance, 2021, 115, (C) View citations (4)
   See also Working Paper External debt composition and domestic credit cycles, Working Papers (2018) View citations (5) (2018)
5. Home sweet host: A cross‐country perspective on prudential and monetary policy spillovers through global banks
   Review of International Economics, 2021, 29, (1), 20-36 View citations (2)
6. INTERNATIONAL CREDIT TO EMERGING MARKET ECONOMIES DURING THE COVID-19 CRISIS
   Financial Stability Review, 2021, 61-70

2020

7. CoCo issuance and bank fragility
   Journal of Financial Economics, 2020, 138, (3), 593-613 View citations (27)
   See also Working Paper CoCo Issuance and Bank Fragility, CEPR Discussion Papers (2017) View citations (17) (2017)
8. International dimensions of EME corporate debt
   BIS Quarterly Review, 2020 View citations (13)
9. The shifting drivers of global liquidity
   Journal of International Economics, 2020, 125, (C) View citations (57)
   See also Working Paper The Shifting Drivers of Global Liquidity, NBER Working Papers (2017) View citations (57) (2017)

2019

10. Following the imprint of the ECB's asset purchase programme on global bond and deposit flows
    BIS Quarterly Review, 2019 View citations (6)
11. Measuring contagion risk in international banking
    Journal of Financial Stability, 2019, 42, (C), 36-51 View citations (31)
    See also Working Paper Measuring contagion risk in international banking, BIS Working Papers (2019) View citations (34) (2019)
12. 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 View citations (10)
13. The Dollar Exchange Rate as a Global Risk Factor: Evidence from Investment
    IMF Economic Review, 2019, 67, (1), 151-173 View citations (79)
    See also Working Paper The dollar exchange rate as a global risk factor: evidence from investment, BIS Working Papers (2018) View citations (25) (2018)
14. The Dollar, Bank Leverage, and Deviations from Covered Interest Parity
    American Economic Review: Insights, 2019, 1, (2), 193-208 View citations (108)
    See also Working Paper The dollar, bank leverage and the deviation from covered interest parity, BIS Working Papers (2016) View citations (70) (2016)
15. U.S. monetary policy and fluctuations of international bank lending
    Journal of International Money and Finance, 2019, 95, (C), 251-268 View citations (28)
    See also Working Paper U.S. Monetary Policy and Fluctuations of International Bank Lending, Santa Cruz Department of Economics, Working Paper Series (2023) (2023)
16. What drives local lending by global banks?
    Journal of International Money and Finance, 2019, 90, (C), 54-75 View citations (11)
    See also Working Paper What drives local lending by global banks?, BIS Working Papers (2018) (2018)

2018

17. Tracking the international footprints of global firms
    BIS Quarterly Review, 2018 View citations (45)
18. Transmission of monetary policy through global banks: Whose policy matters?
    Journal of International Money and Finance, 2018, 89, (C), 67-82 View citations (27)
    See also Working Paper Transmission of monetary policy through global banks: whose policy matters?, BIS Working Papers (2018) View citations (36) (2018)

2017

19. 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 View citations (61)
20. International Prudential Policy Spillovers: A Global Perspective
    International Journal of Central Banking, 2017, 13, (2), 5-33 View citations (46)
    See also Working Paper International prudential policy spillovers: a global perspective, BIS Working Papers (2016) View citations (30) (2016)

2016

21. Breaking free of the triple coincidence in international finance
    Economic Policy, 2016, 31, (87), 409-451 View citations (68)
    See also Working Paper Breaking free of the triple coincidence in international finance, BIS Working Papers (2015) View citations (47) (2015)
22. News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models
    Review of Economic Dynamics, 2016, 20, 181-197 View citations (14)
    See also Working Paper News driven business cycles and data on asset prices in estimated DSGE models, BIS Working Papers (2011) View citations (10) (2011)
    Software Item Code and data files for "News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models", Computer Codes (2014) (2014)
23. The ECB's QE and euro cross-border bank lending
    BIS Quarterly Review, 2016 View citations (6)

2015

24. Enhanced data to analyse international banking
    BIS Quarterly Review, 2015 View citations (30)

2014

25. Credit growth, monetary policy and economic activity in a three-regime TVAR model
    Applied Economics, 2014, 46, (24), 2936-2951 View citations (18)
    See also Working Paper Credit Growth, Monetary Policy, and Economic Activity in a Three-Regime TVAR Model, BIS Working Papers (2014) View citations (18) (2014)
26. Cross-border bank lending during the taper tantrum: the role of emerging market fundamentals
    BIS Quarterly Review, 2014 View citations (30)
27. Non-financial corporations from emerging market economies and capital flows
    BIS Quarterly Review, 2014 View citations (82)

2013

28. CoCos: a primer
    BIS Quarterly Review, 2013 View citations (45)

2012

29. Sovereign creditworthiness and financial stability:an international perspective
    Financial Stability Review, 2012, (16), 71-85 View citations (28)
30. The euro area crisis and cross-border bank lending to emerging markets
    BIS Quarterly Review, 2012 View citations (63)

2009

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

Chapters

2021

1. Gauging Procyclicality and Financial Vulnerability in Asia through the BIS Banking and Financial Statistics
   Chapter 6 in THE ASIAN MONETARY POLICY FORUM Insights for Central Banking, 2021, pp 224-262
   See also Working Paper Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics, Bank for International Settlements (2018) View citations (5) (2018)

2015

2. 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 View citations (7)

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
   See also Journal Article News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2016) View citations (14) (2016)