Details about Mathias Drehmann

Access statistics for papers by Mathias Drehmann.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pdr53

Working Papers

2024

1. Aggregate Debt Servicing and the Limit on Private Credit
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

2. Long-term debt propagation and real reversals
   BIS Working Papers, Bank for International Settlements View citations (1)
   Also in Bank of Finland Research Discussion Papers, Bank of Finland (2023) View citations (1)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)

2022

3. The Holt-Winters filter and the one-sided HP filter: A close correspondence
   BIS Working Papers, Bank for International Settlements
   Also in Working Papers Central Bank of Chile, Central Bank of Chile (2022)
   See also Journal Article The Holt–Winters filter and the one-sided HP filter: A close correspondence, Economics Letters, Elsevier (2023) (2023)
4. The scarring effects of deep contractions
   BIS Working Papers, Bank for International Settlements View citations (12)
   Also in Bank of Finland Research Discussion Papers, Bank of Finland (2022) View citations (11)

2020

5. Buffering Covid-19 losses - the role of prudential policy
   BIS Bulletins, Bank for International Settlements
6. Central bank bond purchases in emerging market economies
   BIS Bulletins, Bank for International Settlements View citations (44)
7. Which credit gap is better at predicting financial crises? A comparison of univariate filters
   BIS Working Papers, Bank for International Settlements View citations (7)
   See also Journal Article Which Credit Gap Is Better at Predicting Financial Crises? A Comparison of Univariate Filters, International Journal of Central Banking, International Journal of Central Banking (2021) View citations (7) (2021)

2019

8. Predicting recessions: financial cycle versus term spread
   BIS Working Papers, Bank for International Settlements View citations (20)

2018

9. Going With the Flows: New Borrowing, Debt Service and the Transmission of Credit Booms
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
   Also in Bank of Finland Research Discussion Papers, Bank of Finland (2018) View citations (1)
10. Why you should use the Hodrick-Prescott filter - at least to generate credit gaps
    BIS Working Papers, Bank for International Settlements View citations (78)

2017

11. Accounting for debt service: The painful legacy of credit booms
    Bank of Finland Research Discussion Papers, Bank of Finland View citations (2)
    Also in BIS Working Papers, Bank for International Settlements (2017) View citations (26)
12. Debt Service: The Painful Legacy of Credit Booms
    2017 Meeting Papers, Society for Economic Dynamics View citations (14)
13. Monetary Policy, the Financial Cycle and Ultra-low Interest Rates
    PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research View citations (65)
    Also in BIS Working Papers, Bank for International Settlements (2016) View citations (50)
    Bank of Finland Research Discussion Papers, Bank of Finland (2016) View citations (3)
    See also Journal Article Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates, International Journal of Central Banking, International Journal of Central Banking (2017) View citations (63) (2017)

2016

14. Leverage dynamics and the burden of debt
    Bank of Finland Research Discussion Papers, Bank of Finland
    See also Journal Article Leverage Dynamics and the Burden of Debt, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2020) View citations (7) (2020)

2015

15. Leverage dynamics and the real burden of debt
    BIS Working Papers, Bank for International Settlements View citations (51)

2013

16. Evaluating early warning indicators of banking crises: Satisfying policy requirements
    BIS Working Papers, Bank for International Settlements View citations (75)
    See also Journal Article Evaluating early warning indicators of banking crises: Satisfying policy requirements, International Journal of Forecasting, Elsevier (2014) View citations (222) (2014)

2012

17. Characterising the financial cycle: don't lose sight of the medium term!
    BIS Working Papers, Bank for International Settlements View citations (474)
18. Liquidity risk, cash-flow constraints and systemic feedbacks
    Bank of England working papers, Bank of England View citations (25)
19. Stress-testing macro stress testing: does it live up to expectations?
    BIS Working Papers, Bank for International Settlements View citations (62)
    See also Journal Article Stress-testing macro stress testing: Does it live up to expectations?, Journal of Financial Stability, Elsevier (2014) View citations (102) (2014)

2011

20. Anchoring countercyclical capital buffers: the role of credit aggregates
    BIS Working Papers, Bank for International Settlements View citations (387)
    See also Journal Article Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates, International Journal of Central Banking, International Journal of Central Banking (2011) View citations (378) (2011)
21. Measuring the systemic importance of interconnected banks
    BIS Working Papers, Bank for International Settlements View citations (57)
    See also Journal Article Measuring the systemic importance of interconnected banks, Journal of Financial Intermediation, Elsevier (2013) View citations (114) (2013)

2010

22. An economic capital model integrating credit and interest rate risk in the banking book
    Bank of England working papers, Bank of England View citations (43)
    Also in Working Paper Series, European Central Bank (2009) View citations (6)
    See also Journal Article An economic capital model integrating credit and interest rate risk in the banking book, Journal of Banking & Finance, Elsevier (2010) View citations (41) (2010)
23. Countercyclical capital buffers: exploring options
    BIS Working Papers, Bank for International Settlements View citations (232)
24. Funding liquidity risk: definition and measurement
    BIS Working Papers, Bank for International Settlements View citations (16)
    Also in Working Paper Series, European Central Bank (2009) View citations (19)

2009

25. Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences
    Working Papers Central Bank of Chile, Central Bank of Chile View citations (163)
    Also in BIS Working Papers, Bank for International Settlements (2009) View citations (171)
    See also Chapter Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2011) View citations (13) (2011)

2008

26. The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective
    Bank of England working papers, Bank of England View citations (33)

2007

27. Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group View citations (6)

2005

28. Herding With and Without Payoff Externalities - An Internet Experiment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2004)
    See also Journal Article Herding with and without payoff externalities -- an internet experiment, International Journal of Industrial Organization, Elsevier (2007) View citations (28) (2007)

2004

29. Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (13)
    Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (2003)
    Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2002) View citations (3)
    Experimental, University Library of Munich, Germany (2002) View citations (2)
    Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich (2004) View citations (12)
    Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
    Finance, University Library of Munich, Germany (2002) View citations (17)
    See also Journal Article Herding and Contrarian Behavior in Financial Markets: An Internet Experiment, American Economic Review, American Economic Association (2005) View citations (141) (2005)

2002

30. Will an optimal deposit insurance always increase financial stability?
    Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) View citations (2)

2000

31. Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate
    FMG Discussion Papers, Financial Markets Group View citations (3)

Journal Articles

2023

1. The Holt–Winters filter and the one-sided HP filter: A close correspondence
   Economics Letters, 2023, 222, (C)
   See also Working Paper The Holt-Winters filter and the one-sided HP filter: A close correspondence, BIS Working Papers (2022) (2022)

2022

2. The global foreign exchange market in a higher-volatility environment
   BIS Quarterly Review, 2022 View citations (7)

2021

3. Which Credit Gap Is Better at Predicting Financial Crises? A Comparison of Univariate Filters
   International Journal of Central Banking, 2021, 17, (70), 31 View citations (7)
   See also Working Paper Which credit gap is better at predicting financial crises? A comparison of univariate filters, BIS Working Papers (2020) View citations (7) (2020)

2020

4. Changes in monetary policy operating procedures over the last decade: insights from a new database
   BIS Quarterly Review, 2020 View citations (4)
5. Forecasting recessions: the importance of the financial cycle
   Journal of Macroeconomics, 2020, 66, (C) View citations (10)
6. Leverage Dynamics and the Burden of Debt
   Oxford Bulletin of Economics and Statistics, 2020, 82, (2), 347-364 View citations (7)
   See also Working Paper Leverage dynamics and the burden of debt, Bank of Finland Research Discussion Papers (2016) (2016)

2018

7. Early warning indicators of banking crises: expanding the family
   Journal of Financial Transformation, 2018, 48, 142-155 View citations (73)
   Also in BIS Quarterly Review, 2018 (2018) View citations (72)
8. The financial cycle and recession risk
   BIS Quarterly Review, 2018 View citations (35)

2017

9. Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates
   International Journal of Central Banking, 2017, 13, (3), 55-89 View citations (63)
   See also Working Paper Monetary Policy, the Financial Cycle and Ultra-low Interest Rates, PIER Discussion Papers (2017) View citations (65) (2017)

2015

10. How much income is used for debt payments? A new database for debt service ratios
    BIS Quarterly Review, 2015 View citations (41)

2014

11. Evaluating early warning indicators of banking crises: Satisfying policy requirements
    International Journal of Forecasting, 2014, 30, (3), 759-780 View citations (222)
    See also Working Paper Evaluating early warning indicators of banking crises: Satisfying policy requirements, BIS Working Papers (2013) View citations (75) (2013)
12. Stress-testing macro stress testing: Does it live up to expectations?
    Journal of Financial Stability, 2014, 12, (C), 3-15 View citations (102)
    See also Working Paper Stress-testing macro stress testing: does it live up to expectations?, BIS Working Papers (2012) View citations (62) (2012)
13. The credit-to-GDP gap and countercyclical capital buffers: questions and answers
    BIS Quarterly Review, 2014 View citations (167)

2013

14. How much does the private sector really borrow - a new database for total credit to the private non-financial sector
    BIS Quarterly Review, 2013 View citations (166)
15. Measuring the systemic importance of interconnected banks
    Journal of Financial Intermediation, 2013, 22, (4), 586-607 View citations (114)
    See also Working Paper Measuring the systemic importance of interconnected banks, BIS Working Papers (2011) View citations (57) (2011)
16. Total credit as an early warning indicator for systemic banking crises
    BIS Quarterly Review, 2013 View citations (55)

2012

17. Do debt service costs affect macroeconomic and financial stability?
    BIS Quarterly Review, 2012 View citations (117)
18. The effects of countercyclical capital buffers on bank lending
    Applied Economics Letters, 2012, 19, (7), 603-608 View citations (68)

2011

19. Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates
    International Journal of Central Banking, 2011, 7, (4), 189-240 View citations (378)
    See also Working Paper Anchoring countercyclical capital buffers: the role of credit aggregates, BIS Working Papers (2011) View citations (387) (2011)
20. Systemic importance: some simple indicators
    BIS Quarterly Review, 2011 View citations (79)

2010

21. An economic capital model integrating credit and interest rate risk in the banking book
    Journal of Banking & Finance, 2010, 34, (4), 730-742 View citations (41)
    See also Working Paper An economic capital model integrating credit and interest rate risk in the banking book, Bank of England working papers (2010) View citations (43) (2010)
22. The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application
    Journal of Banking & Finance, 2010, 34, (4), 713-729 View citations (73)

2009

23. Assessing the risk of banking crises - revisited
    BIS Quarterly Review, 2009 View citations (468)
24. El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital
    Monetaria, 2009, XXXII, (1), 63-115
25. Evaluación del riesgo de crisis bancarias: una revisión
    Boletín, 2009, LV, (3), 139-153
26. Macro stress tests and crises: what can we learn?
    BIS Quarterly Review, 2009 View citations (72)

2008

27. A research perspective on the propagation of the credit market turmoil
    Research Bulletin, 2008, 7, 2-5 View citations (4)

2007

28. Herding with and without payoff externalities -- an internet experiment
    International Journal of Industrial Organization, 2007, 25, (2), 391-415 View citations (28)
    See also Working Paper Herding With and Without Payoff Externalities - An Internet Experiment, CEPR Discussion Papers (2005) View citations (2) (2005)

2005

29. Herding and Contrarian Behavior in Financial Markets: An Internet Experiment
    American Economic Review, 2005, 95, (5), 1403-1426 View citations (141)
    See also Working Paper Herding and Contrarian Behavior in Financial Markets - An Internet Experiment, Econometric Society 2004 North American Winter Meetings (2004) View citations (13) (2004)

2002

30. The challenges facing currency usage: will the traditional transaction medium be able to resist competition from the new technologies?
    (Statement before the subcommittee on general oversight and investigations of the committee on banking and financial services)
    Economic Policy, 2002, 17, (34), 193-228 View citations (75)

Books

2023

1. Global tightening, banking stress and market resilience in EMEs
   BIS Papers, Bank for International Settlements View citations (1)

Chapters

2013

1. Can We Identify the Financial Cycle?
   Chapter 7 in The Role of Central Banks in Financial Stability How Has It Changed?, 2013, pp 131-156 View citations (3)

2011

2. Comment on "How to Calculate Systemic Risk Surcharges"
   A chapter in Quantifying Systemic Risk, 2011, pp 212-221
3. Financial Instability and Macroeconomics: Bridging the Gulf
   Chapter 17 in The International Financial Crisis Have the Rules of Finance Changed?, 2011, pp 237-268 View citations (5)
4. Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences
   Chapter 04 in Financial Stability, Monetary Policy, and Central Banking, 2011, vol. 15, pp 063-123 View citations (13)
   See also Working Paper Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences, Central Bank of Chile (2009) View citations (163) (2009)

2007

5. Discussion of 'Banks, Markets and Liquidity'
   A chapter in The Structure and Resilience of the Financial System, 2007 View citations (3)