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Details about Mathias Drehmann

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

Access statistics for papers by Mathias Drehmann.

Last updated 2019-01-25. Update your information in the RePEc Author Service.

Short-id: pdr53


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Working Papers

2018

  1. Going With the Flows: New Borrowing, Debt Service and the Transmission of Credit Booms
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Research Discussion Papers, Bank of Finland (2018) Downloads View citations (1)
  2. Why you should use the Hodrick-Prescott filter - at least to generate credit gaps
    BIS Working Papers, Bank for International Settlements Downloads View citations (3)

2017

  1. Accounting for debt service: The painful legacy of credit booms
    Research Discussion Papers, Bank of Finland Downloads View citations (8)
    Also in BIS Working Papers, Bank for International Settlements (2017) Downloads View citations (8)
  2. Debt Service: The Painful Legacy of Credit Booms
    2017 Meeting Papers, Society for Economic Dynamics Downloads
  3. Monetary Policy, the Financial Cycle and Ultra-low Interest Rates
    PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research Downloads View citations (29)
    Also in Research Discussion Papers, Bank of Finland (2016) Downloads View citations (8)
    BIS Working Papers, Bank for International Settlements (2016) Downloads View citations (18)

    See also Journal Article in International Journal of Central Banking (2017)

2016

  1. Leverage dynamics and the burden of debt
    Research Discussion Papers, Bank of Finland Downloads

2015

  1. Leverage dynamics and the real burden of debt
    BIS Working Papers, Bank for International Settlements Downloads View citations (27)

2013

  1. Evaluating early warning indicators of banking crises: Satisfying policy requirements
    BIS Working Papers, Bank for International Settlements Downloads View citations (44)
    See also Journal Article in International Journal of Forecasting (2014)

2012

  1. Characterising the financial cycle: don't lose sight of the medium term!
    BIS Working Papers, Bank for International Settlements Downloads View citations (134)
  2. Liquidity risk, cash-flow constraints and systemic feedbacks
    Bank of England working papers, Bank of England Downloads View citations (14)
  3. Stress-testing macro stress testing: does it live up to expectations?
    BIS Working Papers, Bank for International Settlements Downloads View citations (30)
    See also Journal Article in Journal of Financial Stability (2014)

2011

  1. Anchoring countercyclical capital buffers: the role of credit aggregates
    BIS Working Papers, Bank for International Settlements Downloads View citations (210)
    See also Journal Article in International Journal of Central Banking (2011)
  2. Measuring the systemic importance of interconnected banks
    BIS Working Papers, Bank for International Settlements Downloads View citations (42)
    See also Journal Article in Journal of Financial Intermediation (2013)

2010

  1. An economic capital model integrating credit and interest rate risk in the banking book
    Bank of England working papers, Bank of England Downloads View citations (28)
    Also in Working Paper Series, European Central Bank (2009) Downloads View citations (5)

    See also Journal Article in Journal of Banking & Finance (2010)
  2. Countercyclical capital buffers: exploring options
    BIS Working Papers, Bank for International Settlements Downloads View citations (115)
  3. Funding liquidity risk: definition and measurement
    BIS Working Papers, Bank for International Settlements Downloads View citations (9)
    Also in Working Paper Series, European Central Bank (2009) Downloads View citations (6)

2009

  1. Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences
    Working Papers Central Bank of Chile, Central Bank of Chile Downloads View citations (69)
    Also in BIS Working Papers, Bank for International Settlements (2009) Downloads View citations (87)

    See also Chapter (2011)

2008

  1. 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 Downloads View citations (27)

2007

  1. 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 Downloads View citations (5)

2005

  1. Herding With and Without Payoff Externalities - An Internet Experiment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2004) Downloads
    Working Papers, University of Heidelberg, Department of Economics (2005) Downloads View citations (1)

    See also Journal Article in International Journal of Industrial Organization (2007)

2004

  1. Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (12)
    Also in 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) Downloads View citations (11)
    Finance, University Library of Munich, Germany (2002) Downloads View citations (17)
    Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) Downloads
    Experimental, University Library of Munich, Germany (2002) Downloads View citations (1)
    Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2002) Downloads View citations (3)
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (2003) Downloads

    See also Journal Article in American Economic Review (2005)

2002

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

2000

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

Journal Articles

2018

  1. Early warning indicators of banking crises: expanding the family
    Journal of Financial Transformation, 2018, 48, 142-155 View citations (9)
    Also in BIS Quarterly Review, 2018 (2018) Downloads View citations (8)
  2. The financial cycle and recession risk
    BIS Quarterly Review, 2018 Downloads View citations (1)

2017

  1. Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates
    International Journal of Central Banking, 2017, 13, (3), 55-89 Downloads View citations (26)
    See also Working Paper (2017)

2015

  1. How much income is used for debt payments? A new database for debt service ratios
    BIS Quarterly Review, 2015 Downloads View citations (16)

2014

  1. Evaluating early warning indicators of banking crises: Satisfying policy requirements
    International Journal of Forecasting, 2014, 30, (3), 759-780 Downloads View citations (89)
    See also Working Paper (2013)
  2. Stress-testing macro stress testing: Does it live up to expectations?
    Journal of Financial Stability, 2014, 12, (C), 3-15 Downloads View citations (33)
    See also Working Paper (2012)
  3. The credit-to-GDP gap and countercyclical capital buffers: questions and answers
    BIS Quarterly Review, 2014 Downloads View citations (72)

2013

  1. How much does the private sector really borrow - a new database for total credit to the private non-financial sector
    BIS Quarterly Review, 2013 Downloads View citations (74)
  2. Measuring the systemic importance of interconnected banks
    Journal of Financial Intermediation, 2013, 22, (4), 586-607 Downloads View citations (62)
    See also Working Paper (2011)
  3. Total credit as an early warning indicator for systemic banking crises
    BIS Quarterly Review, 2013 Downloads View citations (23)

2012

  1. Do debt service costs affect macroeconomic and financial stability?
    BIS Quarterly Review, 2012 Downloads View citations (48)
  2. The effects of countercyclical capital buffers on bank lending
    Applied Economics Letters, 2012, 19, (7), 603-608 Downloads View citations (37)

2011

  1. Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates
    International Journal of Central Banking, 2011, 7, (4), 189-240 Downloads View citations (221)
    See also Working Paper (2011)
  2. Systemic importance: some simple indicators
    BIS Quarterly Review, 2011 Downloads View citations (52)

2010

  1. An economic capital model integrating credit and interest rate risk in the banking book
    Journal of Banking & Finance, 2010, 34, (4), 730-742 Downloads View citations (30)
    See also Working Paper (2010)
  2. 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 Downloads View citations (51)

2009

  1. Assessing the risk of banking crises - revisited
    BIS Quarterly Review, 2009 Downloads View citations (265)
  2. 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 Downloads
  3. Evaluación del riesgo de crisis bancarias: una revisión
    Boletín, 2009, LV, (3), 139-153 Downloads
  4. Macro stress tests and crises: what can we learn?
    BIS Quarterly Review, 2009 Downloads View citations (54)

2008

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

2007

  1. Herding with and without payoff externalities -- an internet experiment
    International Journal of Industrial Organization, 2007, 25, (2), 391-415 Downloads View citations (20)
    See also Working Paper (2005)

2005

  1. Herding and Contrarian Behavior in Financial Markets: An Internet Experiment
    American Economic Review, 2005, 95, (5), 1403-1426 Downloads View citations (90)
    See also Working Paper (2004)

2002

  1. The challenges facing currency usage: will the traditional transaction medium be able to resist competition from the new technologies?
    Economic Policy, 2002, 17, (34), 193-228 Downloads View citations (56)

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 Downloads

2011

  1. Comment on "How to Calculate Systemic Risk Surcharges"
    A chapter in Quantifying Systemic Risk, 2011, pp 212-221 Downloads
  2. 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 Downloads View citations (4)
    See also Working Paper (2009)

2007

  1. Discussion of 'Banks, Markets and Liquidity'
    A chapter in The Structure and Resilience of the Financial System, 2007 Downloads View citations (2)
 
Page updated 2019-10-18