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
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Working Papers
2024
- Aggregate Debt Servicing and the Limit on Private Credit
NBER Working Papers, National Bureau of Economic Research, Inc 
2023
- Long-term debt propagation and real reversals
BIS Working Papers, Bank for International Settlements View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
Bank of Finland Research Discussion Papers, Bank of Finland (2023) View citations (1)
2022
- The Holt-Winters filter and the one-sided HP filter: A close correspondence
Working Papers Central Bank of Chile, Central Bank of Chile
Also in BIS Working Papers, Bank for International Settlements (2022)
See also Journal Article The Holt–Winters filter and the one-sided HP filter: A close correspondence, Economics Letters, Elsevier (2023) (2023)
- 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
- Buffering Covid-19 losses - the role of prudential policy
BIS Bulletins, Bank for International Settlements
- Central bank bond purchases in emerging market economies
BIS Bulletins, Bank for International Settlements View citations (46)
- 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
- Predicting recessions: financial cycle versus term spread
BIS Working Papers, Bank for International Settlements View citations (22)
2018
- 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 (20)
Also in Bank of Finland Research Discussion Papers, Bank of Finland (2018) View citations (2)
- Why you should use the Hodrick-Prescott filter - at least to generate credit gaps
BIS Working Papers, Bank for International Settlements View citations (79)
2017
- 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)
- Debt Service: The Painful Legacy of Credit Booms
2017 Meeting Papers, Society for Economic Dynamics View citations (14)
- Monetary Policy, the Financial Cycle and Ultra-low Interest Rates
PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research View citations (66)
Also in Bank of Finland Research Discussion Papers, Bank of Finland (2016) View citations (3)
BIS Working Papers, Bank for International Settlements (2016) View citations (50)
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
- 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
- Leverage dynamics and the real burden of debt
BIS Working Papers, Bank for International Settlements View citations (51)
2013
- Evaluating early warning indicators of banking crises: Satisfying policy requirements
BIS Working Papers, Bank for International Settlements View citations (76)
See also Journal Article Evaluating early warning indicators of banking crises: Satisfying policy requirements, International Journal of Forecasting, Elsevier (2014) View citations (227) (2014)
2012
- Characterising the financial cycle: don't lose sight of the medium term!
BIS Working Papers, Bank for International Settlements View citations (475)
- Liquidity risk, cash-flow constraints and systemic feedbacks
Bank of England working papers, Bank of England View citations (25)
- 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 (104) (2014)
2011
- Anchoring countercyclical capital buffers: the role of credit aggregates
BIS Working Papers, Bank for International Settlements View citations (390)
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)
- 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
- 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 (43) (2010)
- Countercyclical capital buffers: exploring options
BIS Working Papers, Bank for International Settlements View citations (233)
- 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
- 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
- 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
- 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
- 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
- Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
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 View citations (12)
Also in Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2002) View citations (3)
Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (13)
Finance, University Library of Munich, Germany (2002) View citations (17)
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (2003)
Experimental, University Library of Munich, Germany (2002) View citations (2)
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
- 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
- Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate
FMG Discussion Papers, Financial Markets Group View citations (3)
Journal Articles
2023
- 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, Working Papers Central Bank of Chile (2022) (2022)
2022
- The global foreign exchange market in a higher-volatility environment
BIS Quarterly Review, 2022 View citations (7)
2021
- 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
- Changes in monetary policy operating procedures over the last decade: insights from a new database
BIS Quarterly Review, 2020 View citations (4)
- Forecasting recessions: the importance of the financial cycle
Journal of Macroeconomics, 2020, 66, (C) View citations (11)
- 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
- Early warning indicators of banking crises: expanding the family
Journal of Financial Transformation, 2018, 48, 142-155 View citations (75)
Also in BIS Quarterly Review, 2018 (2018) View citations (73)
- The financial cycle and recession risk
BIS Quarterly Review, 2018 View citations (35)
2017
- 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 (66) (2017)
2015
- How much income is used for debt payments? A new database for debt service ratios
BIS Quarterly Review, 2015 View citations (41)
2014
- Evaluating early warning indicators of banking crises: Satisfying policy requirements
International Journal of Forecasting, 2014, 30, (3), 759-780 View citations (227)
See also Working Paper Evaluating early warning indicators of banking crises: Satisfying policy requirements, BIS Working Papers (2013) View citations (76) (2013)
- Stress-testing macro stress testing: Does it live up to expectations?
Journal of Financial Stability, 2014, 12, (C), 3-15 View citations (104)
See also Working Paper Stress-testing macro stress testing: does it live up to expectations?, BIS Working Papers (2012) View citations (62) (2012)
- The credit-to-GDP gap and countercyclical capital buffers: questions and answers
BIS Quarterly Review, 2014 View citations (168)
2013
- 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)
- 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)
- Total credit as an early warning indicator for systemic banking crises
BIS Quarterly Review, 2013 View citations (55)
2012
- Do debt service costs affect macroeconomic and financial stability?
BIS Quarterly Review, 2012 View citations (118)
- The effects of countercyclical capital buffers on bank lending
Applied Economics Letters, 2012, 19, (7), 603-608 View citations (69)
2011
- 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 (390) (2011)
- Systemic importance: some simple indicators
BIS Quarterly Review, 2011 View citations (79)
2010
- 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 (43)
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)
- 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
- Assessing the risk of banking crises - revisited
BIS Quarterly Review, 2009 View citations (469)
- 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
- Evaluación del riesgo de crisis bancarias: una revisión
Boletín, 2009, LV, (3), 139-153
- Macro stress tests and crises: what can we learn?
BIS Quarterly Review, 2009 View citations (72)
2008
- A research perspective on the propagation of the credit market turmoil
Research Bulletin, 2008, 7, 2-5 View citations (4)
2007
- 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
- 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, Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems (2004) View citations (12) (2004)
2002
- 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
- Global tightening, banking stress and market resilience in EMEs
BIS Papers, Bank for International Settlements View citations (1)
Chapters
2013
- 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
- Comment on "How to Calculate Systemic Risk Surcharges"
A chapter in Quantifying Systemic Risk, 2011, pp 212-221
- 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)
- 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
- Discussion of 'Banks, Markets and Liquidity'
A chapter in The Structure and Resilience of the Financial System, 2007 View citations (3)
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