Details about Hans Dewachter

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Workplace:	Nationale Bank van België/Banque national de Belqique (BNB) (National Bank of Belgium), (more information at EDIRC) Department of Economics, Faculteit Economie en Bedrijfswetenschappen (Faculty of Business and Economics), KU Leuven (University of Leuven), (more information at EDIRC) CESifo, (more information at EDIRC)

Access statistics for papers by Hans Dewachter.

Last updated 2024-01-04. Update your information in the RePEc Author Service.

Short-id: pde388

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Working Papers

2021

1. Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
   Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021) View citations (4)
   See also Journal Article Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?, Finance Research Letters, Elsevier (2021) View citations (4) (2021)

2019

2. Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (48)
   Also in Working Paper Research, National Bank of Belgium (2018) View citations (17)
   Working Paper Series, European Central Bank (2019) View citations (52)
   See also Journal Article Some Borrowers Are More Equal than Others: Bank Funding Shocks and Credit Reallocation*, Review of Finance, European Finance Association (2020) View citations (44) (2020)
3. The benefits and costs of adjusting bank capitalisation: evidence from euro area countries
   Working Paper Series, European Central Bank View citations (3)
   Also in Working Papers, Banco de España (2019) View citations (3)

2018

4. A macro-financial analysis of the corporate bond market
   Working Paper Research, National Bank of Belgium
   Also in Working Paper Series, European Central Bank (2018)
   See also Journal Article A macro–financial analysis of the corporate bond market, Empirical Economics, Springer (2019) View citations (3) (2019)
5. Real and financial cycles in EU countries - Stylised facts and modelling implications
   Occasional Paper Series, European Central Bank View citations (43)

2016

6. Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions
   Working Paper Research, National Bank of Belgium View citations (26)
   See also Journal Article Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions, Journal of Corporate Finance, Elsevier (2020) View citations (116) (2020)
7. The response of euro area sovereign spreads to the ECB unconventional monetary policies
   Working Paper Research, National Bank of Belgium View citations (14)

2015

8. A macro-financial analysis of the euro area sovereign bond market
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (46)
   Also in Working Paper Research, National Bank of Belgium (2014) View citations (8)
   See also Journal Article A macro-financial analysis of the euro area sovereign bond market, Journal of Banking & Finance, Elsevier (2015) View citations (47) (2015)

2014

9. Information in the yield curve: A Macro-Finance approach
   Working Paper Research, National Bank of Belgium View citations (27)
   Also in Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa (2011) View citations (18)
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2014) View citations (18)
   See also Journal Article INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (12) (2014)

2012

10. An Extended Macro-Finance Model with Financial Factors
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (8)
    Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (25)
    CESifo Working Paper Series, CESifo (2010) View citations (5)
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2009)
    MPRA Paper, University Library of Munich, Germany (2009)
    See also Journal Article An Extended Macro-Finance Model with Financial Factors, Journal of Financial and Quantitative Analysis, Cambridge University Press (2011) View citations (29) (2011)
11. Endogenous risk in a DSGE model with capital-constrained financial intermediaries
    Working Paper Research, National Bank of Belgium View citations (15)
    See also Journal Article Endogenous risk in a DSGE model with capital-constrained financial intermediaries, Journal of Economic Dynamics and Control, Elsevier (2014) View citations (29) (2014)

2011

12. A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (2)
13. Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
    See also Journal Article Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics, Review of Business and Economic Literature, Intersentia (2011) View citations (2) (2011)

2010

14. Fiscal activism and the cost of debt financing
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    See also Journal Article Fiscal activism and the cost of debt financing, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2012) View citations (1) (2012)
15. Leviathan as a Minority Shareholder: A Study of Equity Purchases by the Brazilian National Development Bank (BNDES), 1995-2003
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (6)
16. Spatial propagation of macroeconomic shocks in Europe
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven View citations (1)
    See also Journal Article Spatial propagation of macroeconomic shocks in Europe, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2012) View citations (8) (2012)

2009

17. Identification of Macroeconomic Factors in Large Panels
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (16)
    Also in Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2009) View citations (8)
    Working Papers, University of Namur, Department of Economics (2008)

2008

18. Imperfect information, macroeconomic dynamics and the yield curve: an encompassing macro-finance model
    Working Paper Research, National Bank of Belgium View citations (10)

2007

19. Ageing and the Relative Price of Nontradeables
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)

2006

20. A Structural Macro Model of the Yield Curve
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
21. A multi-factor model for the valuation and risk managment of demand deposits
    Working Paper Research, National Bank of Belgium View citations (5)

2004

22. Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
23. Limits to International Arbitrage: an Empirical Evaluation
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    See also Journal Article Limits to international arbitrage: an empirical evaluation, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2007) View citations (2) (2007)
24. Macro factors and the term structure of interest rates
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (32)
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2003) View citations (44)
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2003) View citations (14)
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2002) View citations (25)
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2003)
    See also Journal Article Macro Factors and the Term Structure of Interest Rates, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (188) (2006)

2003

25. The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (1)
    See also Journal Article The cost of technical trading rules in the Forex market: A utility-based evaluation, Journal of International Money and Finance, Elsevier (2006) View citations (3) (2006)

2002

26. The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics
    See also Journal Article The economic value of technical trading rules: a nonparametric utility-based approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2005) View citations (12) (2005)
27. The Effect of Monetary Unification on German Bond Markets
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven View citations (4)
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001)
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001) View citations (8)
    See also Journal Article The Effect of Monetary Unification on German Bond Markets, European Financial Management, European Financial Management Association (2004) View citations (10) (2004)

2001

28. A Joint Model for the Term Structure of Interest Rates and the Macroeconomy
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (10)
    See also Journal Article A joint model for the term structure of interest rates and the macroeconomy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (39) (2006)
29. An Admissible Affine Model for Joint Term Structure Dynamics of Interest Rates
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (15)
30. An Affine Model for International Bond Markets
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (3)
    Also in Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2001)
31. Do Exchange Rates Convert Prices of Risk Across Countries?
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics
32. Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (13)
33. Fitting Correlations Within and Between Bond Markets
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (1)
34. Monetary Unification and the Price of Risk: An Unconditional Analysis
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001)
    See also Journal Article Monetary unification and the price of risk: An unconditional analysis, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2003) (2003)

1999

35. Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    See also Journal Article Measuring convergence speed of asset prices toward a pre-announced target, Applied Financial Economics, Taylor & Francis Journals (2001) View citations (1) (2001)
36. Multiple Equilibria and the Credibility of the Brazilian "Crawling Peg", 1995-1998
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (1999) View citations (1)
    See also Journal Article Multiple Equilibria and the Credibility of the Brazilian ‘Crawling Peg’, 1995–1998, International Finance, Wiley Blackwell (2000) View citations (1) (2000)
37. The European Central Bank: Decision Rules and Macroeconomic Performance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (1998) View citations (2)

1998

38. Sticky Prices and the Nominal Effects of Real Shocks
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
39. Stochastic Process Switching and Stage III of EMU
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)

1994

40. The Information Content of Options on the IBEX-35
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (2)
    Also in Working Papers, CEMFI (1994)

1993

41. Dependent or Independent Nonlinearity in Speculative Returns
    Working Papers, Centro de Estudios Monetarios Y Financieros-
    Also in Working Papers, CEMFI (1993)
42. Testing for Forecasting Poential in the Bispectrum
    Working Papers, Centro de Estudios Monetarios Y Financieros-
    Also in Working Papers, CEMFI (1993)

1990

43. A Chaotic Monetary Model of the Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (19)
    See also Chapter A Chaotic Monetary Model of the Exchange Rate, International Economic Association Series, Palgrave Macmillan (1993) View citations (3) (1993)

Journal Articles

2021

1. Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?
   Finance Research Letters, 2021, 43, (C) View citations (4)
   See also Working Paper Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?, LIDAM Discussion Papers LFIN (2021) View citations (3) (2021)

2020

2. Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions
   Journal of Corporate Finance, 2020, 60, (C) View citations (116)
   See also Working Paper Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions, Working Paper Research (2016) View citations (26) (2016)
3. Some Borrowers Are More Equal than Others: Bank Funding Shocks and Credit Reallocation*
   (A theory of systemic risk and design of prudential bank regulation)
   Review of Finance, 2020, 24, (1), 1-43 View citations (44)
   See also Working Paper Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation, Swiss Finance Institute Research Paper Series (2019) View citations (48) (2019)

2019

4. A macro–financial analysis of the corporate bond market
   Empirical Economics, 2019, 57, (6), 1911-1933 View citations (3)
   See also Working Paper A macro-financial analysis of the corporate bond market, Working Paper Research (2018) (2018)

2016

5. Credit gaps in Belgium: identification, characteristics and lessons for macroprudential policy
   Financial Stability Review, 2016, 14, (1), 153-170 View citations (8)

2015

6. A macro-financial analysis of the euro area sovereign bond market
   Journal of Banking & Finance, 2015, 50, (C), 308-325 View citations (47)
   See also Working Paper A macro-financial analysis of the euro area sovereign bond market, LIDAM Reprints LFIN (2015) View citations (46) (2015)

2014

7. Endogenous risk in a DSGE model with capital-constrained financial intermediaries
   Journal of Economic Dynamics and Control, 2014, 43, (C), 241-268 View citations (29)
   See also Working Paper Endogenous risk in a DSGE model with capital-constrained financial intermediaries, Working Paper Research (2012) View citations (15) (2012)
8. INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH
   Journal of Applied Econometrics, 2014, 29, (1), 42-64 View citations (12)
   See also Working Paper Information in the yield curve: A Macro-Finance approach, Working Paper Research (2014) View citations (27) (2014)
9. The intra-day impact of communication on euro-dollar volatility and jumps
   Journal of International Money and Finance, 2014, 43, (C), 131-154 View citations (33)

2012

10. Fiscal activism and the cost of debt financing
    International Journal of Finance & Economics, 2012, 17, (1), 14-22 View citations (1)
    See also Working Paper Fiscal activism and the cost of debt financing, Working Papers of Department of Economics, Leuven (2010) (2010)
11. Spatial propagation of macroeconomic shocks in Europe
    Review of World Economics (Weltwirtschaftliches Archiv), 2012, 148, (2), 377-402 View citations (8)
    See also Working Paper Spatial propagation of macroeconomic shocks in Europe, Working Papers of Department of Economics, Leuven (2010) View citations (1) (2010)

2011

12. An Extended Macro-Finance Model with Financial Factors
    Journal of Financial and Quantitative Analysis, 2011, 46, (6), 1893-1916 View citations (29)
    See also Working Paper An Extended Macro-Finance Model with Financial Factors, LIDAM Reprints LFIN (2012) View citations (8) (2012)
13. Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics
    Review of Business and Economic Literature, 2011, 56, (4), 454-472 View citations (2)
    See also Working Paper Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics, Insper Working Papers (2011) View citations (2) (2011)
14. Introduction
    Review of Business and Economic Literature, 2011, 56, (4), 378-382

2007

15. Limits to international arbitrage: an empirical evaluation
    International Journal of Finance & Economics, 2007, 12, (3), 273-285 View citations (2)
    See also Working Paper Limits to International Arbitrage: an Empirical Evaluation, Working Papers of Department of Economics, Leuven (2004) (2004)

2006

16. A joint model for the term structure of interest rates and the macroeconomy
    Journal of Applied Econometrics, 2006, 21, (4), 439-462 View citations (39)
    Also in Journal of Applied Econometrics, 2006, 21, (4), 439-462 (2006) View citations (3)
    See also Working Paper A Joint Model for the Term Structure of Interest Rates and the Macroeconomy, International Economics Working Papers Series (2001) View citations (10) (2001)
17. Macro Factors and the Term Structure of Interest Rates
    Journal of Money, Credit and Banking, 2006, 38, (1), 119-140 View citations (188)
    See also Working Paper Macro factors and the term structure of interest rates, Money Macro and Finance (MMF) Research Group Conference 2003 (2004) View citations (32) (2004)
18. The cost of technical trading rules in the Forex market: A utility-based evaluation
    Journal of International Money and Finance, 2006, 25, (7), 1072-1089 View citations (3)
    See also Working Paper The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation, ERIM Report Series Research in Management (2003) View citations (1) (2003)

2005

19. Managing Uncertainty: Financial, Actuarial and Statistical Modeling
    Review of Business and Economic Literature, 2005, L, (1), 23-48
20. The economic value of technical trading rules: a nonparametric utility-based approach
    International Journal of Finance & Economics, 2005, 10, (1), 41-62 View citations (12)
    See also Working Paper The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach, International Economics Working Papers Series (2002) (2002)

2004

21. The Effect of Monetary Unification on German Bond Markets
    European Financial Management, 2004, 10, (3), 487-509 View citations (10)
    See also Working Paper The Effect of Monetary Unification on German Bond Markets, Working Papers of Department of Economics, Leuven (2002) View citations (4) (2002)

2003

22. Monetary unification and the price of risk: An unconditional analysis
    Review of World Economics (Weltwirtschaftliches Archiv), 2003, 139, (2), 276-305
    See also Working Paper Monetary Unification and the Price of Risk: An Unconditional Analysis, International Economics Working Papers Series (2001) (2001)

2002

23. Do asymmetries matter for European monetary policy?
    European Economic Review, 2002, 46, (3), 443-469 View citations (80)
    See also Chapter Do Asymmetries Matter for European Monetary Policy?, World Scientific Book Chapters, 2014, 321-353 (2014) (2014)

2001

24. Can Markov switching models replicate chartist profits in the foreign exchange market?
    Journal of International Money and Finance, 2001, 20, (1), 25-41 View citations (50)
25. Measuring convergence speed of asset prices toward a pre-announced target
    Applied Financial Economics, 2001, 11, (6), 591-601 View citations (1)
    See also Working Paper Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target, Working Papers of Department of Economics, Leuven (1999) (1999)

2000

26. Multiple Equilibria and the Credibility of the Brazilian ‘Crawling Peg’, 1995–1998
    International Finance, 2000, 3, (1), 1-23 View citations (1)
    See also Working Paper Multiple Equilibria and the Credibility of the Brazilian "Crawling Peg", 1995-1998, Working Papers of Department of Economics, Leuven (1999) (1999)

1999

27. Effectiveness of Monetary Policy in Euroland
    Empirica, 1999, 26, (4), 299-318 View citations (4)
28. Explaining Recent European Exchange‐Rate Stability
    International Finance, 1999, 2, (1), 1-31 View citations (10)
29. Price dynamics under stochastic process switching: some extensions and an application to EMU1
    Journal of International Money and Finance, 1999, 18, (2), 195-224 View citations (18)
30. Setting futures margins: the extremes approach
    Applied Financial Economics, 1999, 9, (2), 173-181 View citations (11)

1998

31. Expectation revisions and jumps in asset prices
    Economics Letters, 1998, 59, (3), 367-372

1997

32. Sign predictions of exchange rate changes: Charts as proxies for Bayesian inferences
    Review of World Economics (Weltwirtschaftliches Archiv), 1997, 133, (1), 39-55 View citations (18)

1996

33. Charts as signals in Markov switching world
    Applied Economics Letters, 1996, 3, (6), 405-407
34. Modelling interest rate volatility: Regime switches and level links
    Review of World Economics (Weltwirtschaftliches Archiv), 1996, 132, (2), 236-258 View citations (7)

1993

35. A chaotic model of the exchange rate: The role of fundamentalists and chartists
    Open Economies Review, 1993, 4, (4), 351-379 View citations (44)

Chapters

2014

1. Chaos in the Dornbusch Model of the Exchange Rate
   Chapter 1 in Exchange Rates and Global Financial Policies, 2014, pp 3-32 View citations (7)
2. Do Asymmetries Matter for European Monetary Policy?
   Chapter 13 in Exchange Rates and Global Financial Policies, 2014, pp 321-353
   See also Journal Article Do asymmetries matter for European monetary policy?, Elsevier (2002) View citations (80) (2002)

2008

3. Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates
   A chapter in Asset Prices and Monetary Policy, 2008, pp 191-245 View citations (26)

1999

4. On the Conduct of Monetary Policy in an Asymmetric Euroland
   Palgrave Macmillan

1993

5. A Chaotic Monetary Model of the Exchange Rate
   Palgrave Macmillan View citations (3)
   See also Working Paper A Chaotic Monetary Model of the Exchange Rate, C.E.P.R. Discussion Papers (1990) View citations (19) (1990)