Details about Stefan T.M. Straetmans

Access statistics for papers by Stefan T.M. Straetmans.

Last updated 2016-03-30. Update your information in the RePEc Author Service.

Short-id: pst399

Working Papers

2014

1. Disentangling economic recessions and depressions
   Working Papers, Department of Research, Ipag Business School View citations (16)
   Also in Discussion Papers, Deutsche Bundesbank (2013) View citations (3)

2013

2. Bank lending strategy, credit scoring and financial crises
   Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE)

2012

3. Fat tails in small samples
   Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
4. Predicting and capitalizing on stock market bears in the U.S
   Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (4)

2010

5. Does the euro dominate Central and Eastern European money markets?
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
   See also Journal Article Does the euro dominate Central and Eastern European money markets?, Journal of International Money and Finance, Elsevier (2013) View citations (4) (2013)

2009

6. Comovements of Different Asset Classes During Market Stress
   Working Papers, Utrecht School of Economics View citations (1)
   See also Journal Article COMOVEMENTS OF DIFFERENT ASSET CLASSES DURING MARKET STRESS, Pacific Economic Review, Wiley Blackwell (2010) View citations (12) (2010)

2008

7. Are Capital Controls in the Foreign Exchange Market Effective?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2008) View citations (1)
   See also Journal Article Are capital controls in the foreign exchange market effective?, Journal of International Money and Finance, Elsevier (2013) View citations (9) (2013)

2005

8. Banking System Stability: A Cross-Atlantic Perspective
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)
   See also Chapter Banking System Stability. A Cross-Atlantic Perspective, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (11) (2007)

2004

9. Fundamentals and Joint Currency Crises
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)

2001

10. Asset Market Linkages in Crisis Periods
    Working Papers, Quebec a Montreal - Recherche en gestion View citations (32)
    Also in Proceedings, Federal Reserve Bank of Chicago (2001) View citations (9)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (75)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) View citations (40)
    See also Journal Article Asset Market Linkages in Crisis Periods, The Review of Economics and Statistics, MIT Press (2004) View citations (353) (2004)
11. Tail Behavior of Credit Loss Distributions for General Latent Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Tail behaviour of credit loss distributions for general latent factor models, Applied Mathematical Finance, Taylor & Francis Journals (2003) View citations (8) (2003)

2000

12. Extremal spillovers in financial markets
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (1)

1998

13. Time varying forex market inefficiency
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics

1997

14. Variation in the Slope Coefficient of the Fama Regression for Testing Uncovered Interest Rate Parity: Evidence from Fixed and Time-varying Coefficient Approaches
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

Journal Articles

2015

1. Predicting exchange rate cycles utilizing risk factors
   Journal of Empirical Finance, 2015, 34, (C), 112-130 View citations (5)
2. Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis
   Journal of International Money and Finance, 2015, 58, (C), 191-223 View citations (20)

2013

3. Are capital controls in the foreign exchange market effective?
   Journal of International Money and Finance, 2013, 35, (C), 36-53 View citations (9)
   See also Working Paper Are Capital Controls in the Foreign Exchange Market Effective?, CEPR Discussion Papers (2008) View citations (1) (2008)
4. Does the euro dominate Central and Eastern European money markets?
   Journal of International Money and Finance, 2013, 32, (C), 700-718 View citations (4)
   See also Working Paper Does the euro dominate Central and Eastern European money markets?, SIRE Discussion Papers (2010) View citations (1) (2010)
5. Long-term asset tail risks in developed and emerging markets
   Journal of Banking & Finance, 2013, 37, (6), 1832-1844 View citations (15)

2012

6. The Amsterdam rent index: The housing market and the economy, 1550–1850
   Journal of Housing Economics, 2012, 21, (4), 269-282 View citations (28)

2010

7. COMOVEMENTS OF DIFFERENT ASSET CLASSES DURING MARKET STRESS
   Pacific Economic Review, 2010, 15, (3), 385-400 View citations (12)
   See also Working Paper Comovements of Different Asset Classes During Market Stress, Working Papers (2009) View citations (1) (2009)
8. Heavy tails and currency crises
   Journal of Empirical Finance, 2010, 17, (2), 241-254 View citations (24)

2009

9. Multivariate Business Cycle Synchronization in Small Samples*
   Oxford Bulletin of Economics and Statistics, 2009, 71, (5), 715-737 View citations (8)

2008

10. Extreme US stock market fluctuations in the wake of 9|11
    Journal of Applied Econometrics, 2008, 23, (1), 17-42 View citations (56)
11. On measuring synchronization of bulls and bears: The case of East Asia
    Journal of Banking & Finance, 2008, 32, (6), 1022-1035 View citations (110)

2006

12. Testing for multiple regimes in the tail behavior of emerging currency returns
    Journal of International Money and Finance, 2006, 25, (7), 1187-1205 View citations (21)

2004

13. Asset Market Linkages in Crisis Periods
    The Review of Economics and Statistics, 2004, 86, (1), 313-326 View citations (353)
    See also Working Paper Asset Market Linkages in Crisis Periods, Working Papers (2001) View citations (32) (2001)

2003

14. Tail behaviour of credit loss distributions for general latent factor models
    Applied Mathematical Finance, 2003, 10, (4), 337-357 View citations (8)
    See also Working Paper Tail Behavior of Credit Loss Distributions for General Latent Factor Models, Tinbergen Institute Discussion Papers (2001) View citations (3) (2001)

2002

15. Erratum to "An analytic approach to credit risk of large corporate bond and loan portfolios" [Journal of Banking and Finance 25, no. 9, pp. 1635-1664]
    Journal of Banking & Finance, 2002, 26, (1), 201-202 View citations (3)

2001

16. An analytic approach to credit risk of large corporate bond and loan portfolios
    Journal of Banking & Finance, 2001, 25, (9), 1635-1664 View citations (59)

1999

17. Le rejet de l'hypothèse d'efficience variable dans le temps sur le marché des changes
    Économie et Prévision, 1999, 140, (4), 77-90

Chapters

2007

1. Banking System Stability. A Cross-Atlantic Perspective
   A chapter in The Risks of Financial Institutions, 2007, pp 133-188 View citations (11)
   See also Working Paper Banking System Stability: A Cross-Atlantic Perspective, National Bureau of Economic Research, Inc (2005) View citations (66) (2005)