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Kostas Tsatsaronis

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Rungporn Roengpitya & Nikola Tarashev & Kostas Tsatsaronis & Alan Villegas, 2017. "Bank business models: popularity and performance," BIS Working Papers 682, Bank for International Settlements.

    Cited by:

    1. Goel, Tirupam & Lewrick, Ulf & Mathur, Aakriti, 2021. "Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms," Bank of England working papers 946, Bank of England.
    2. Carlos Cantú & Leonardo Gambacorta, 2019. "How do bank-specific characteristics affect lending? New evidence based on credit registry data from Latin America," BIS Working Papers 798, Bank for International Settlements.
    3. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
    4. Matteo Farnè & Angelos T. Vouldis, 2020. "Does a bank's business model affect its capital and profitability?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    5. André Lucas & Julia Schaumburg & Bernd Schwaab, 2020. "Dynamic clustering of multivariate panel data," Tinbergen Institute Discussion Papers 20-009/III, Tinbergen Institute.
    6. Matteo Farnè & Angelos T. Vouldis, 2021. "Banks’ business models in the euro area: a cluster analysis in high dimensions," Annals of Operations Research, Springer, vol. 305(1), pages 23-57, October.
    7. Murinde, Victor & Rizopoulos, Efthymios & Zachariadis, Markos, 2022. "The impact of the FinTech revolution on the future of banking: Opportunities and risks," International Review of Financial Analysis, Elsevier, vol. 81(C).
    8. Julio R. Hernáez & Alejandra Bernad & Laura Hierro & Ana M. Gómez-Bezares, 2022. "Reflections on the future business model of European banks and the supervisory approach," Financial Stability Review, Banco de España, issue Spring.
    9. Emilia Bonaccorsi di Patti & Francesco Palazzo, 2020. "Bank profitability and macroeconomic conditions: Are business models different?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    10. Cantú, Carlos & Lobato, Roberto & López, Calixto & López-Gallo, Fabrizio, 2022. "A loan-level analysis of financial resilience in Mexico," Journal of Banking & Finance, Elsevier, vol. 135(C).
    11. Farnè, Matteo & Vouldis, Angelos, 2024. "Do retail-oriented banks have less non-performing loans?," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    12. Elien Meuleman & Rudi Vander Vennet, 2022. "Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    13. Herzberg, Valerie & McQuade, Peter, 2018. "International bank flows and bank business models since the crisis," Financial Stability Notes 5/FS/18, Central Bank of Ireland.
    14. José Bustamante & Walter Cuba & Rafael Nivin, 2019. "Determinants of credit growth and the bank-lending channel in Peru: A loan level analysis," BIS Working Papers 803, Bank for International Settlements.
    15. Bernardo P. Marques & Carlos F. Alves, 2024. "Heterogeneity of business models and banking sector resilience," Journal of Banking Regulation, Palgrave Macmillan, vol. 25(3), pages 256-271, September.
    16. Avignone, Giuseppe & Girardone, Claudia & Pancaro, Cosimo & Pancotto, Livia & Reghezza, Alessio, 2022. "Making a virtue out of necessity: the effect of negative interest rates on bank cost efficiency," Working Paper Series 2718, European Central Bank.
    17. Simona Galletta & Sebastiano Mazzù, 2019. "Liquidity Risk Drivers and Bank Business Models," Risks, MDPI, vol. 7(3), pages 1-18, August.
    18. Bustamante, José & Cuba, Walter & Nivín, Rafael, 2019. "Determinantes del crecimiento del crédito y el canal de préstamo bancario en el Perú: Un análisis a nivel de préstamos," Working Papers 2019-007, Banco Central de Reserva del Perú.
    19. Igor Kravchuk & Viktoriia Stoika, 2021. "Business Μodels of Βanks for the Financial Markets in the EU," European Research Studies Journal, European Research Studies Journal, vol. 0(2 - Part ), pages 371-382.
    20. Paul Ovidiu Handro, 2019. "Business Models and Banking Regulation Are Going Forward," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 168-178.
    21. Badunenko, Oleg & Kumbhakar, Subal C. & Lozano‐Vivas, Ana, 2021. "Achieving a sustainable cost-efficient business model in banking: The case of European commercial banks," European Journal of Operational Research, Elsevier, vol. 293(2), pages 773-785.
    22. Everett, Mary & McQuade, Peter & O’Grady, Michael, 2020. "Bank business models as a driver of cross-border activities," Journal of International Money and Finance, Elsevier, vol. 108(C).
    23. Paltrinieri, Andrea & Dreassi, Alberto & Rossi, Simone & Khan, Ashraf, 2021. "Risk-adjusted profitability and stability of Islamic and conventional banks: Does revenue diversification matter?," Global Finance Journal, Elsevier, vol. 50(C).
    24. Carletti, Elena & Claessens, Stijn & Fatás, Antonio & Vives, Xavier (ed.), 2020. "Barcelona Report 2 - The Bank Business Model in the Post-Covid-19 World," Vox eBooks, Centre for Economic Policy Research, number p329.
    25. Diemo Dietrich & Achim Hauck, 2020. "Interbank borrowing and lending between financially constrained banks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 347-385, September.
    26. Giacomo Caterini & Edoardo Gaffeo & Lucio Gobbi, 2020. "How diverse are national banking systems? An analysis on banking business models, profitability, and riskiness," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    27. Iñaki Aldasoro & Wenqian Huang & Nikola Tarashev, 2021. "Asset managers, market liquidity and bank regulation," BIS Working Papers 933, Bank for International Settlements.
    28. Lartey, Theophilus & James, Gregory A. & Danso, Albert & Boateng, Agyenim, 2022. "Bank business models, failure risk and earnings opacity: A short- versus long-term perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
    29. Bernardo P. Marques & Carlos F. Alves, 2020. "Using clustering ensemble to identify banking business models," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(2), pages 66-94, April.
    30. Gardó, Sándor & Klaus, Benjamin, 2020. "Overcapacities in banking: Measurement, trends and determinants," Economic Modelling, Elsevier, vol. 91(C), pages 819-834.
    31. Hari Prasad Pathak, PhD, 2019. "Malmquist Productivity Index Approach in Assessing Performance of Commercial Banks: Evidence from Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 31(2), pages 1-25, October.
    32. Carlos Cantú & Roberto Lobato & Calixto López & Fabrizio Lopez-Gallo, 2019. "A loan-level analysis of bank lending in Mexico," BIS Working Papers 802, Bank for International Settlements.
    33. Palmieri, Egidio & Ferilli, Greta Benedetta & Altunbas, Yener & Stefanelli, Valeria & Geretto, Enrico Fioravante, 2024. "Business model and ESG pillars: The impacts on banking default risk," International Review of Financial Analysis, Elsevier, vol. 91(C).
    34. Julio R. Hernáez & Alejandra Bernad & Laura Hierro & Ana M. Gómez-Bezares, 2022. "Reflections on the future business model of European banks and the supervisory approach," Revista de Estabilidad Financiera, Banco de España, issue Primavera.
    35. López-Penabad, Maria Celia & Iglesias-Casal, Ana & Silva Neto, José Fernando, 2022. "Effects of a negative interest rate policy in bank profitability and risk taking: Evidence from European banks," Research in International Business and Finance, Elsevier, vol. 60(C).

  2. Claudio Borio & Mathias Drehmann & Kostas Tsatsaronis, 2012. "Stress-testing macro stress testing: does it live up to expectations?," BIS Working Papers 369, Bank for International Settlements.

    Cited by:

    1. William Oman & Romain Svartzman, 2021. "What Justifies Sustainable Finance Measures? Financial-Economic Interactions and Possible Implications for Policymakers," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 22(03), pages 03-11, May.
    2. Petr Polak & Jiri Panos, 2019. "The Impact of Expectations on IFRS 9 Loan Loss Provisions," Research and Policy Notes 2019/03, Czech National Bank.
    3. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
    4. Kelly, Robert & O'Toole, Conor, 2016. "Lending Conditions and Loan Default: What Can We Learn From UK Buy-to-Let Loans?," Research Technical Papers 04/RT/16, Central Bank of Ireland.
    5. Mahmoud Haddad & Sam Hakim, 2016. "Can Gulf Banks Pass the CCAR Stress Tests?," Working Papers 1032, Economic Research Forum, revised Aug 2016.
    6. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    7. Bank for International Settlements, 2020. "Stress testing in Latin America: A comparison of approaches and methodologies," BIS Papers, Bank for International Settlements, number 108.
    8. Koziol, Philipp & Schell, Carmen & Eckhardt, Meik, 2015. "Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?," Discussion Papers 46/2015, Deutsche Bundesbank.
    9. Richard Bookstaber, 2012. "Using Agent-Based Models for Analyzing Threats to Financial Stability," Working Papers 12-03, Office of Financial Research, US Department of the Treasury.
    10. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
    11. Trang H. Dao & Amedeo Pugliese & Joshua Ronen, 2023. "Assessing banks’ resilience: A complementary approach to stress testing using fair values from banks’ financial statements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(7-8), pages 1206-1239, July.
    12. Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
    13. Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023. "Scenario-free analysis of financial stability with interacting contagion channels," Journal of Banking & Finance, Elsevier, vol. 146(C).
    14. Claudio Borio, 2013. "The Great Financial Crisis: setting priorities for new statistics," BIS Working Papers 408, Bank for International Settlements.
    15. Mercy Berman DeMenno, 2023. "Environmental sustainability and financial stability: can macroprudential stress testing measure and mitigate climate-related systemic financial risk?," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(4), pages 445-473, December.
    16. Ayhan Orhan & Vahit Ferhan Benli & Rui Alexandre Castanho, 2020. "Assessing the Systemic Risk Between American and European Financial Systems," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(6), pages 649-671.
    17. Corbet, Shaen & Larkin, Charles, 2017. "Has the uniformity of banking regulation within the European Union restricted rather than encouraged sectoral development?," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 48-65.
    18. Kund, Arndt-Gerrit & Rugilo, Daniel, 2023. "Does IFRS 9 increase banks’ resilience?," Working Paper Series 2792, European Central Bank.
    19. Xavier Timbeau, 2015. "A diverging Europe on the edge. The independent Annual Growth Survey 2015," Post-Print hal-03620048, HAL.
    20. G. Thomas Kingsley & Travis D. Nesmith & Anna L. Paulson & Todd Prono, 2019. "Central Clearing and Systemic Liquidity Risk," Working Paper Series WP 2019-12, Federal Reserve Bank of Chicago.
    21. Jokivuolle, Esa & Pesola, Jarmo & Viren, Matti, 2015. "Why is credit-to-GDP a good measure for setting countercyclical capital buffers?," Journal of Financial Stability, Elsevier, vol. 18(C), pages 117-126.
    22. Salleo, Carmelo & Homar, Timotej & Kick, Heinrich, 2016. "Making sense of the EU wide stress test: a comparison with the SRISK approach," Working Paper Series 1920, European Central Bank.
    23. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
    24. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
    25. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    26. Waelchli Boris, 2016. "A proximity based macro stress testing framework," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-26, November.
    27. Pompella Maurizio & Dicanio Antonio, 2016. "Bank Vulnerability and Financial Soundness Testing: The Bank Resilience Index," Ekonomika (Economics), Sciendo, vol. 95(3), pages 52-63, December.
    28. Louis Daumas, 2024. "Financial stability, stranded assets and the low‐carbon transition – A critical review of the theoretical and applied literatures," Journal of Economic Surveys, Wiley Blackwell, vol. 38(3), pages 601-716, July.
    29. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
    30. Boysen-Hogrefe, Jens & Gern, Klaus-Jürgen & Groll, Dominik & Jannsen, Nils & Kooths, Stefan & Plödt, Martin & Schwarzmüller, Tim & van Roye, Björn & Scheide, Joachim, 2014. "Finanz- und Wirtschaftspolitik bei einer anhaltenden monetären Expansion," Kieler Beiträge zur Wirtschaftspolitik 5, Kiel Institute for the World Economy (IfW Kiel).
    31. Gross, Marco & Población García, Francisco Javier, 2015. "A false sense of security in applying handpicked equations for stress test purposes," Working Paper Series 1845, European Central Bank.
    32. Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014. "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series 14-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    33. Juan Francisco Martínez & Daniel Oda, 2018. "Characterization of the Chilean Financial Cycle, Early Warning Indicators and Implications for Macro-Prudential Policies," Working Papers Central Bank of Chile 823, Central Bank of Chile.
    34. Wu, Deming & Fang, Ming & Wang, Qing, 2018. "An empirical study of bank stress testing for auto loans," Journal of Financial Stability, Elsevier, vol. 39(C), pages 79-89.
    35. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
    36. Gordon J. Alexander & Alexandre M. Baptista & Shu Yan, 2015. "On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 24(2-3), pages 87-125, May.
    37. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 107-130.
    38. Khwazi Magubane & Ntokozo Patrick Nzimande, 2024. "A Structural Vector Autoregression Exploration of South Africa’s Monetary and Macroprudential Policy Interactions," Economies, MDPI, vol. 12(10), pages 1-32, October.
    39. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
    40. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2023. "Estimating systemic risk for non-listed euro-area banks," Working Paper Series 2856, European Central Bank.
    41. IKEDA Yuichi & YOSHIKAWA Hiroshi, 2018. "Macroprudential Modeling Based on Spin Dynamics in a Supply Chain Network," Discussion papers 18045, Research Institute of Economy, Trade and Industry (RIETI).
    42. Céline Antonin & Christophe Blot & Jérôme Creel & Fabien Labondance & Vincent Touzé & Paul Hubert, 2014. "Comment lutter contre la fragmentation du système bancaire de la zone euro," SciencePo Working papers Main hal-01093021, HAL.
    43. Roncoroni, Alan & Battiston, Stefano & Escobar-Farfán, Luis O.L. & Martinez-Jaramillo, Serafin, 2021. "Climate risk and financial stability in the network of banks and investment funds," Journal of Financial Stability, Elsevier, vol. 54(C).
    44. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2019. "Predicting European bank stress tests: Survival of the fittest," Global Finance Journal, Elsevier, vol. 39(C), pages 44-57.
    45. Darne, O. & Levy-Rueff, O. & Pop, A., 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
    46. Santiago Gamba & Oscar Jaulín & Angélica Lizarazo & Juan Carlos Mendoza & Paola Morales & Daniel Osorio & Eduardo Yanquen, 2017. "SYSMO I: A Systemic Stress Model for the Colombian Financial System," Borradores de Economia 1028, Banco de la Republica de Colombia.
    47. Kanas, Angelos & Molyneux, Philip, 2018. "Macro stress testing the U.S. banking system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 204-227.
    48. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    49. Yuichi Ikeda, 2020. "An Interacting Agent Model of Economic Crisis," Papers 2001.11843, arXiv.org.
    50. Philip Arestis & Maggie Mo Jia, 2019. "Credit risk and macroeconomic stress tests in China," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(3), pages 211-225, September.
    51. Mark D. Flood & George G. Korenko, 2015. "Systematic scenario selection: stress testing and the nature of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 43-59, January.
    52. Mr. Eugenio M Cerutti & Mr. Christian Schmieder, 2012. "The Need for "Un-consolidating" Consolidated Banks' Stress Tests," IMF Working Papers 2012/288, International Monetary Fund.
    53. Bakoush, Mohamed & Gerding, Enrico & Mishra, Tapas & Wolfe, Simon, 2022. "An integrated macroprudential stress test of bank liquidity and solvency," Journal of Financial Stability, Elsevier, vol. 60(C).
    54. Paul Glasserman & Chulmin Kang & Wanmo Kang, 2013. "Stress Scenario Selection by Empirical Likelihood," Working Papers 13-04, Office of Financial Research, US Department of the Treasury.
    55. Ján Klacso, 2024. "How Micro Data Improve the Estimation of Household Credit Risk Within the Macro Stress Testing Framework," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 707-733, August.
    56. Kelly, Robert & O’Toole, Conor, 2018. "Mortgage default, lending conditions and macroprudential policy: Loan-level evidence from UK buy-to-lets," Journal of Financial Stability, Elsevier, vol. 36(C), pages 322-335.
    57. Souza, Sergio Rubens Stancato de, 2016. "Capital requirements, liquidity and financial stability: The case of Brazil," Journal of Financial Stability, Elsevier, vol. 25(C), pages 179-192.
    58. Gabor Katay & Lisa Kerdelhué & Matthieu Lequien, 2020. "Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap," JRC Working Papers in Economics and Finance 2020-11, Joint Research Centre, European Commission.
    59. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
    60. Yann Braouezec & Lakshithe Wagalath, 2016. "Risk-based capital requirements and optimal liquidation in a stress scenario," Working Papers 2016-ACF-01, IESEG School of Management.
    61. Hadji-Lazaro, Paul & Salin, Mathilde & Svartzman, Romain & Espagne, Etienne & Gauthey, Julien & Berger, Joshua & Calas, Julien & Godin, Antoine & Vallier, Antoine, 2024. "Biodiversity loss and financial stability as a new frontier for central banks: An exploration for France," Ecological Economics, Elsevier, vol. 223(C).
    62. Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
    63. Mr. Jorge A Chan-Lau, 2017. "Lasso Regressions and Forecasting Models in Applied Stress Testing," IMF Working Papers 2017/108, International Monetary Fund.
    64. Mr. Christian Schmieder & Mr. Tidiane Kinda & Mr. Nassim N. Taleb & Ms. Elena Loukoianova & Mr. Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing," IMF Working Papers 2012/216, International Monetary Fund.
    65. Monasterolo,Irene & Mandel,Antoine & Battiston,Stefano & Mazzocchetti,Andrea & Oppermann,Klaus & Coony,Jonathan D'Entremont & Stretton,Stephen John & Stewart,Fiona Elizabeth & Dunz,Nepomuk Max Ferdina, 2022. "The Role of Green Financial Sector Initiatives in the Low-Carbon Transition : A Theoryof Change," Policy Research Working Paper Series 10181, The World Bank.
    66. Cihak, Martin & Demirguc-Kunt, Asli & Johnston, R. Barry, 2013. "Incentive audits : a new approach to financial regulation," Policy Research Working Paper Series 6308, The World Bank.
    67. Bo Jiang & Bruce Philp & Zhongmin Wu, 2018. "Macro stress testing in the banking system of China," Journal of Banking Regulation, Palgrave Macmillan, vol. 19(4), pages 287-298, November.
    68. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
    69. Kartik Anand & Céline Gauthier & Moez Souissi, 2015. "Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach," Staff Working Papers 15-32, Bank of Canada.
    70. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    71. Dirk Schoenmaker & Rens Van Tilburg, 2016. "What Role for Financial Supervisors in Addressing Environmental Risks?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 58(3), pages 317-334, September.
    72. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    73. Carè, R. & Fatima, R. & Boitan, I.A., 2024. "Central banks and climate risks: Where we are and where we are going?," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1200-1229.
    74. Nasim, Asma & Ullah, Subhan & Kim, Ja Ryong & Hameed, Affan, 2023. "Energy shocks and bank efficiency in emerging economies," Energy Economics, Elsevier, vol. 126(C).
    75. Bonucchi, Manuel & Catalano, Michele, 2022. "How severe are the EBA macroeconomic scenarios for the Italian Economy? A joint probability approach," Journal of International Money and Finance, Elsevier, vol. 129(C).
    76. Alessandro Ravina, 2022. "On Bond Returns in a Time of Climate Change," The Energy Journal, , vol. 43(1), pages 139-160, January.
    77. Arnould, Guillaume & Dehmej, Salim, 2016. "Is the European banking system robust? An evaluation through the lens of the ECB׳s Comprehensive Assessment," International Economics, Elsevier, vol. 147(C), pages 126-144.
    78. A. P. Pati, 2017. "Credit Risk Stress Testing Practices in BRICS: Post-global Financial Crisis Scenario," Global Business Review, International Management Institute, vol. 18(4), pages 936-954, August.
    79. Pierluigi Bologna & Anatoli Segura, 2017. "Integrating Stress Tests within the Basel III Capital Framework: A Macroprudentially Coherent Approach," Journal of Financial Regulation, Oxford University Press, vol. 3(2), pages 159-186.
    80. Pongpitch Amatyakul & Tosapol Apaitan & Savaphol Hiruntiaranakul & Nuwat Nookhwun, 2021. "Revisiting Thailand's Monetary Policy Model for an Integrated Policy Analysis," PIER Discussion Papers 164, Puey Ungphakorn Institute for Economic Research.
    81. Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.
    82. Bors ISAC, 2015. "VAR Methodology in Assessment of the Financial Stability," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 93-98.
    83. Chiara Pederzoli & Costanza Torricelli, 2015. "Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0054, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    84. Rick Bookstaber & Jill Cetina & Greg Feldberg & Mark Flood & Paul Glasserman, 2013. "Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future," Working Papers 13-07, Office of Financial Research, US Department of the Treasury.
    85. Robert J. Powell & Duc H. Vo, 2020. "A Comprehensive Stability Indicator for Banks," Risks, MDPI, vol. 8(1), pages 1-15, February.
    86. Gick, Wolfgang & Pausch, Thilo, 2013. "Bayesian Persuasion By Stress Test Disclosure," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79913, Verein für Socialpolitik / German Economic Association.
    87. Bank for International Settlements, 2016. "Experiences with the ex ante appraisal of macroprudential instruments," CGFS Papers, Bank for International Settlements, number 56, december.
    88. Slaymaker, Rachel & O'Toole, Conor & McQuinn, Kieran & Fahy, Mike, 2018. "Monetary policy normalisation and mortgage arrears in a recovering economy: The case of the Irish residential market," Papers WP613, Economic and Social Research Institute (ESRI).
    89. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016. "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 42-59.
    90. Etienne de L'Estoile & Mathilde Salin, 2024. "Who Takes the Land? Quantifying the Use of Built-Up Land by French Economic Sectors to Assess Their Vulnerability to the No Net Land Take Policy," Working papers 941, Banque de France.
    91. Braun, Nele, 2021. "The Role of the European Central Bank in a Sustainable Financial System," Junior Management Science (JUMS), Junior Management Science e. V., vol. 6(3), pages 468-488.
    92. Ipsen, Leonhard & Aminian, Armin & Schulz-Gebhard, Jan, 2023. "Stress-testing inflation exposure: Systemically significant prices and asymmetric shock propagation in the EU28," BERG Working Paper Series 188, Bamberg University, Bamberg Economic Research Group.
    93. Burrows, Oliver & Learmonth, David & McKeown, Jack, 2012. "Financial Stability Paper No 17: RAMSI: a top-down stress-testing model," Bank of England Financial Stability Papers 17, Bank of England.
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    71. Malgorzata Olszak, 2012. "Macroprudential policy - aim, instruments and institutional architecture (Polityka ostroznosciowa w ujêciu makro - cel, instrumenty i architektura instytucjonalna)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 7-32.
    72. de Mendonça, Helder Ferreira & Silva, Rafael Bernardo da, 2018. "Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 141-157.
    73. Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019. "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
    74. Qi Zhang & Francesco Vallascas & Kevin Keasey & Charlie X. Cai, 2015. "Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1403-1442, October.
    75. Arnold, Bruce & Borio, Claudio & Ellis, Luci & Moshirian, Fariborz, 2012. "Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3125-3132.
    76. Jan Frait & Zlatuse Komarkova, 2011. "Financial Stability, Systemic Risk and Macroprudential Policy," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2010/2011, chapter 0, pages 96-111, Czech National Bank.
    77. Tang, Qihe & Tang, Zhaofeng & Yang, Yang, 2019. "Sharp asymptotics for large portfolio losses under extreme risks," European Journal of Operational Research, Elsevier, vol. 276(2), pages 710-722.
    78. Her-Jiun Sheu & Chien-Ling Cheng, 2011. "Systemic risk in Taiwan stock market," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(5), pages 895-914, August.
    79. Jakša Krišto & Alen Stojanović & Hrvoje Filipović, 2015. "Systemic risk of UCITS investment funds and financial market stability tested using MRS model," EFZG Working Papers Series 1508, Faculty of Economics and Business, University of Zagreb.
    80. Radev, Deyan, 2013. "Systemic risk and sovereign debt in the Euro area," SAFE Working Paper Series 37, Leibniz Institute for Financial Research SAFE.
    81. Gastón Andrés Giordana & Ingmar Schumacher, 2017. "An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg," JRFM, MDPI, vol. 10(2), pages 1-21, April.
    82. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
    83. Laeven, Luc & Ratnovski, Lev & Tong, Hui, 2016. "Bank size, capital, and systemic risk: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 25-34.
    84. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: from a global to a local perspective? A network theory approach," Working Papers 9/2014, IMT School for Advanced Studies Lucca, revised Sep 2014.
    85. Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO 2608, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    86. Henry Penikas & Yulia Titova, 2012. "Modeling Policy Response to Global Systemically Important Banks Regulation," HSE Working papers WP BRP 02/FE/2012, National Research University Higher School of Economics.
    87. Noss, Joseph & Sowerbutts, Rhiannon, 2012. "Financial Stability Paper No 15: The implicit subsidy of banks," Bank of England Financial Stability Papers 15, Bank of England.
    88. Patricia Palhau Mora, 2018. "The “Too Big to Fail” Subsidy in Canada: Some Estimates," Staff Working Papers 18-9, Bank of Canada.
    89. Puzanova, Natalia & Düllmann, Klaus, 2013. "Systemic risk contributions: A credit portfolio approach," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1243-1257.
    90. Sinem Derindere Köseoğlu, 2023. "Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System," Sustainability, MDPI, vol. 15(19), pages 1-24, September.
    91. Fabio Cortes & Peter Lindner & Sheheryar Malik & Miguel A. Segoviano, 2018. "A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)," IMF Working Papers 2018/014, International Monetary Fund.
    92. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    93. International Monetary Fund, 2016. "United Kingdom: Financial Sector Assessment Program-Systemic Risk and Interconnectedness Analysis-Technical Note," IMF Staff Country Reports 2016/164, International Monetary Fund.
    94. Fuad Aleskerov & Irina Andrievskaya & Elena Permjakova, 2014. "Key Borrowers Detected By The Intensities Of Their Short-range Interactions," HSE Working papers WP BRP 33/FE/2014, National Research University Higher School of Economics.
    95. Rodrigo Cifuentes & Alejandro Jara, 2016. "Instituciones de importancia sistémica: identificación y desafíos regulatorios," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 92-106, April.
    96. Dungey, Mardi & Luciani, Matteo & Veredas, David, 2018. "Systemic risk in the US: Interconnectedness as a circuit breaker," Economic Modelling, Elsevier, vol. 71(C), pages 305-315.
    97. Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2023. "Systemically important banks - emerging risk and policy responses: An agent-based investigation," LEM Papers Series 2023/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    98. André Cartapanis, 2011. "La crise financière et les politiques macroprudentielles. Inflexion réglementaire ou nouveau paradigme ?," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 349-382.
    99. Paola Bongini & Laura Nieri, 2014. "Identifying and Regulating Systemically Important Financial Institutions," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 39-62, February.
    100. Busch, Pascal & Cappelletti, Giuseppe & Marincas, Vlad & Meller, Barbara & Wildmann, Nadya, 2021. "How useful is market information for the identification of G-SIBs?," Occasional Paper Series 260, European Central Bank.
    101. Peter Claeys & Borek Vašícek, 2013. "“How systemic is Spain for Europe?”," IREA Working Papers 201301, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
    102. Manfred Jaeger-Ambrozewicz, 2012. "Closed form solutions of measures of systemic risk," Papers 1211.4173, arXiv.org.
    103. ZELDEA, Cristina Georgiana, 2019. "Systemic Risk: An Overview," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 34-48, September.
    104. International Monetary Fund, 2014. "Switzerland: Technical Note-Systemic Risk and Contagion Analysis," IMF Staff Country Reports 2014/268, International Monetary Fund.
    105. Diego Avanzini & Alejandro Jara, 2013. "A PCA Approach to Common Risk Exposures in the Chilean Banking System," Working Papers Central Bank of Chile 707, Central Bank of Chile.
    106. Algieri, Bernardina & Leccadito, Arturo, 2017. "Wave after Wave: Contagion Risk from Commodity Markets," Discussion Papers 257801, University of Bonn, Center for Development Research (ZEF).
    107. Blaise Gadanecz & Kostas Tsatsaronis & Yener Altunbasb, 2012. "Spoilt and Lazy: The Impact of State Support on Bank Behavior in the International Loan Market," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 121-173, December.
    108. Anne Beck & Franziska Bremus, 2014. "Wie kann systemisches Risiko beschränkt werden?," DIW Roundup: Politik im Fokus 36, DIW Berlin, German Institute for Economic Research.
    109. Fei Sun & Yichuan Dong, 2020. "Complex risk statistics with scenario analysis," Papers 2003.09255, arXiv.org, revised Nov 2020.
    110. Veni Arakelian & Shatha Qamhieh Hashem, 2020. "The Leaders, the Laggers, and the “Vulnerables”," Risks, MDPI, vol. 8(1), pages 1-32, March.
    111. Katarzyna Sum, 2016. "A review of individual and systemic risk measures in terms of applicability for banking regulations," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(1), March.
    112. Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    113. Patrick S. Hagan & Andrew Lesniewski & Georgios E. Skoufis & Diana E. Woodward, 2021. "Portfolio risk allocation through Shapley value," Papers 2103.05453, arXiv.org.
    114. Lorenc, Amy G. & Zhang, Jeffery Y., 2020. "How bank size relates to the impact of bank stress on the real economy," Journal of Corporate Finance, Elsevier, vol. 62(C).
    115. Chen Chen & Garud Iyengar & Ciamac C. Moallemi, 2013. "An Axiomatic Approach to Systemic Risk," Management Science, INFORMS, vol. 59(6), pages 1373-1388, June.
    116. Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020. "Copula-Based Factor Model for Credit Risk Analysis," Papers 2009.12092, arXiv.org, revised Oct 2020.
    117. Nastansky, Andreas, 2014. "Systemisches Risiko und systemrelevante Finanzinstitute," Arbeitspapiere der FOM 50, FOM Hochschule für Oekonomie & Management.
    118. International Monetary Fund, 2014. "United Kingdom: Selected Issues," IMF Staff Country Reports 2014/234, International Monetary Fund.
    119. E. Kromer & L. Overbeck & K. Zilch, 2016. "Systemic risk measures on general measurable spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 323-357, October.
    120. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
    121. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.
    122. Samsul Anwar, 2020. "Weighting on Systemic Important Banking (SIB) in Indonesia: The Official Versus PCA Approaches," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 155-182.

  6. Patrick M McGuire & Kostas Tsatsaronis, 2008. "Estimating hedge fund leverage," BIS Working Papers 260, Bank for International Settlements.

    Cited by:

    1. Grillet-Aubert, Laurent & Haquin, Jean-Baptiste & Jackson, Clive & Killeen, Neill & Weistroffer, Christian, 2016. "Assessing shadow banking – non-bank financial intermediation in Europe," ESRB Occasional Paper Series 10, European Systemic Risk Board.
    2. Mr. Manmohan Singh, 2011. "Velocity of Pledged Collateral: Analysis and Implications," IMF Working Papers 2011/256, International Monetary Fund.
    3. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    4. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    5. Jiaqi Chen & Michael Tindall, 2012. "Hedge fund dynamic market sensitivity," Occasional Papers 12-1, Federal Reserve Bank of Dallas.
    6. Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October.
    7. Frank Hespeler & Giuseppe Loiacono, 2017. "Monitoring systemic risk in the hedge fund sector," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1859-1883, December.
    8. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
    9. Mr. Manmohan Singh, 2012. "The (Other) Deleveraging," IMF Working Papers 2012/179, International Monetary Fund.
    10. Lioba Heimbach & Wenqian Huang, 2024. "DeFi leverage," BIS Working Papers 1171, Bank for International Settlements.
    11. Fernando Avalos & Ramon Moreno & Tania Romero, 2015. "Leverage on the buy side," BIS Working Papers 517, Bank for International Settlements.
    12. King, Michael R. & Maier, Philipp, 2009. "Hedge funds and financial stability: Regulating prime brokers will mitigate systemic risks," Journal of Financial Stability, Elsevier, vol. 5(3), pages 283-297, September.
    13. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

  7. Blaise Gadanecz & Kostas Tsatsaronis & Yener Altunbas, 2008. "External support and bank behaviour in the international syndicated loan market," BIS Working Papers 265, Bank for International Settlements.

    Cited by:

    1. Michael Brei & Blaise Gadanecz, 2012. "Have Public Bailouts Made Banks’ Loan Books Safer?," Post-Print hal-01449920, HAL.
    2. Makoto Nirei & Julián Caballero & Vladyslav Sushko, 2015. "Bank capital shock propagation via syndicated interconnectedness," BIS Working Papers 484, Bank for International Settlements.

  8. Claudio E. V. Borio & Kostas Tsatsaronis, 2006. "Risk in financial reporting: status, challenges and suggested directions," BIS Working Papers 213, Bank for International Settlements.

    Cited by:

    1. Claudio Borio, 2007. "Change and Constancy in the Financial System: Implications for Financial Distress and Policy," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.
    2. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    3. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    4. Elena Carletti & Giovanni Dell’Ariccia & Robert Marquez, 2021. "Supervisory Incentives in a Banking Union," Management Science, INFORMS, vol. 67(1), pages 455-470, January.
    5. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.

  9. Claudio E. V. Borio & Kostas Tsatsaronis, 2005. "Accounting, prudential regulation and financial stability: elements of a synthesis," BIS Working Papers 180, Bank for International Settlements.

    Cited by:

    1. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
    2. Claudio Borio, 2007. "Change and Constancy in the Financial System: Implications for Financial Distress and Policy," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.
    3. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
    4. William R. White, 2007. "The housing finance revolution: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 69-84.
    5. Bánfi, Tamás & Kürthy, Gábor & Bánfi, Attila, 2011. "Regulation following (between) financial crisis (crises): compulsion and opportunity," Public Finance Quarterly, Corvinus University of Budapest, vol. 56(2), pages 193-213.
    6. Claudio Borio, 2013. "The Great Financial Crisis: setting priorities for new statistics," BIS Working Papers 408, Bank for International Settlements.
    7. Borio, C., 2009. "Implementing the macroprudential approach to financial regulation and supervision," Financial Stability Review, Banque de France, issue 13, pages 31-41, September.
    8. Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
    9. D. M. Nachane, 2016. "Global Crisis, Regulatory Reform and International Policy Coordination," South Asian Journal of Macroeconomics and Public Finance, , vol. 5(1), pages 63-95, June.
    10. Vincent Fleuriet & Catherine Lubochinsky, 2006. "Equity markets and financial stability : regulatory issues," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 231-240.
    11. Ms. Jodi G Scarlata & Mr. Juan Sole & Alicia Novoa, 2009. "Procyclicality and Fair Value Accounting," IMF Working Papers 2009/039, International Monetary Fund.
    12. Claudio E. V. Borio & Kostas Tsatsaronis, 2006. "Risk in financial reporting: status, challenges and suggested directions," BIS Working Papers 213, Bank for International Settlements.
    13. Studener, Werner & Merriman, Niall & Schwarz, Claudia & Karakitsos, Polychronis, 2014. "Why accounting matters: a central bank perspective," Occasional Paper Series 153, European Central Bank.
    14. Jing Yang & Kostas Tsatsaronis, 2012. "Bank stock returns, leverage and the business cycle," BIS Quarterly Review, Bank for International Settlements, March.
    15. Vincent Fleuriet & Catherine Lubochinsky, 2006. "Marchés d’actions et stabilité financière : les enjeux de la régulation," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 251-261.
    16. Claudio Borio, 2011. "The financial crisis: what implications for new statistics?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 1-8, Bank for International Settlements.
    17. Claudio E. V. Borio, 2006. "Monetary and prudential policies at a crossroads? New challenges in the new century," BIS Working Papers 216, Bank for International Settlements.
    18. MITOI Elena & ACHIM Luminita & DESPA Madalin & TURLEA Codrut, 2020. "Ifrs 9 And The Interaction With Basel Iii Regulation Pillars," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 213-222, December.
    19. Giuseppe Mastromatteo & Giuseppe Mastromatteo, 2016. "Minsky at Basel: A Global Cap to Build an Effective Postcrisis Banking Supervision Framework," Economics Working Paper Archive wp_875, Levy Economics Institute.

  10. João A. C. Santos & Kostas Tsatsaronis, 2003. "The cost of barriers to entry: evidence from the market for corporate euro bond underwriting," BIS Working Papers 134, Bank for International Settlements.

    Cited by:

    1. De Fiore, Fiorella & Uhlig, Harald, 2005. "Bank finance versus bond finance: What explains the differences between US and Europe?," SFB 649 Discussion Papers 2005-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Faruk, Balli, 2006. "New Patterns in International Portfolio Allocation and Income Smoothing," MPRA Paper 10121, University Library of Munich, Germany, revised 14 Aug 2008.
    3. Luigi Zingales & Raghuram G. Rajan, 2003. "Banks and Markets: The Changing Character of European Finance," NBER Working Papers 9595, National Bureau of Economic Research, Inc.
    4. Martin Melecky, 2012. "Choosing The Currency Structure Of Foreign‐Currency Debt: A Review Of Policy Approaches," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 133-151, March.
    5. Claessens, Stijn & Schmukler, Sergio & Klingebiel, Daniela, 2003. "Government Bonds in Domestic and Foreign Currency: The Role of Macroeconomic and Institutional Factors," CEPR Discussion Papers 3789, C.E.P.R. Discussion Papers.
    6. Mark Carey & Greg Nini, 2007. "Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle," Journal of Finance, American Finance Association, vol. 62(6), pages 2969-3007, December.
    7. Engert, Andreas & Hornuf, Lars, 2018. "Market standards in financial contracting: The Euro’s effect on debt securities," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 145-162.
    8. Borut Vojinovič, 2006. "World Corporate Loan Markets For Raising New Capital – Does Distance Still Matter: Are Financial Assets Priced Locally Or Globally?," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 51(168), pages 31-48, January -.
    9. Denise Côté & Christopher Graham, 2007. "Corporate Balance Sheets in Developed Economies: Implications for Investment," Staff Working Papers 07-24, Bank of Canada.
    10. Kollo, Michael G., 2005. "Underwriter competition and gross spreads in the eurobond market," Working Paper Series 550, European Central Bank.
    11. Paul Lejot & Douglas Arner & Liu Qiao, 2006. "Missing Links: Regional Reforms for Asia's Bond Markets," Asia Pacific Business Review, Taylor & Francis Journals, vol. 12(3), pages 309-331, July.
    12. McCauley, Robert N., 2015. "Does the US dollar confer an exorbitant privilege?," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 1-14.
    13. Dionne, Georges & Santugini, Marc, 2014. "Entry, imperfect competition, and futures market for the input," International Journal of Industrial Organization, Elsevier, vol. 35(C), pages 70-83.
    14. Stijn Claessens & Daniela Klingebiel & Sergio L. Schmukler, 2007. "Government Bonds in Domestic and Foreign Currency: the Role of Institutional and Macroeconomic Factors," Review of International Economics, Wiley Blackwell, vol. 15(2), pages 370-413, May.
    15. von Thadden, Ernst-Ludwig & Pagano, Marco, 2004. "The European Bond Markets Under EMU," CEPR Discussion Papers 4779, C.E.P.R. Discussion Papers.
    16. de Jong, Abe & Roosenboom, Peter & Schramade, Willem, 2006. "Bond underwriting fees and keiretsu affiliation in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 522-545, November.
    17. Paul Lejot & Douglas Arner & Liu Qiao, 2004. "Making Markets: Reforms to Strengthen Asia's Debt Capital Markets," Working Papers 132004, Hong Kong Institute for Monetary Research.
    18. Korkeamäki, Timo, 2011. "Interest rate sensitivity of the European stock markets before and after the euro introduction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 811-831.
    19. Galina Hale & Mark M. Spiegel, 2008. "Who drove the boom in euro-denominated bond issues?," Working Paper Series 2008-20, Federal Reserve Bank of San Francisco.
    20. Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2010. "From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets," MPRA Paper 22430, University Library of Munich, Germany.
    21. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2003. "The Euro and Corporate Valuations," SSE/EFI Working Paper Series in Economics and Finance 525, Stockholm School of Economics, revised 23 Feb 2004.
    22. Hornuf, Lars & Engert, Andreas, 2013. "Can Network Effects Impede Optimal Contracting in Debt Securities?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79867, Verein für Socialpolitik / German Economic Association.
    23. Mark M. Spiegel, 2008. "Monetary and financial integration in the EMU: Push or pull?," Working Paper Series 2008-11, Federal Reserve Bank of San Francisco.
    24. Melnik, Arie & Nissim, Doron, 2006. "Issue costs in the Eurobond market: The effects of market integration," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 157-177, January.
    25. Arie Melnik & Doron Nissim, 2004. "Liquidity and Issue Costs in the Eurobond Market: the Effects of Market Integration," ICER Working Papers 03-2004, ICER - International Centre for Economic Research.
    26. de Jong, A. & Roosenboom, P.G.J. & Schramade, W.L.J., 2005. "Bond underwriting fees and keiretsu affiliation in Japan," ERIM Report Series Research in Management ERS-2005-038-F&A, 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.
    27. Trauten, Andreas, 2004. "Zur Effizienz von Wertpapieremissionen über Internetplattformen," Working Papers 8, University of Münster, Competence Center Internet Economy and Hybrid Systems, European Research Center for Information Systems (ERCIS).
    28. Walter Waschiczek, 2004. "The Role of Corporate Bonds for Finance in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 39-52.

  11. Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.

    Cited by:

    1. Lieven de Moor & Piet Sercu, 2010. "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," ULB Institutional Repository 2013/191025, ULB -- Universite Libre de Bruxelles.
    2. Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 425, European Central Bank.
    3. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
    4. Gabe de Bondt & Jung-Duk Lichtenberger, 2004. "Empirical estimates of the impact of the euro on the corporate bond market in the euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 675-678.
    5. Gabriele Galati & Philip D. Wooldridge, 2006. "The euro as a reserve currency: a challenge to the pre-eminence of the US dollar?," BIS Working Papers 218, Bank for International Settlements.
    6. Guglielmo Maria Caporale & Alessandro Girardi, 2010. "Price Formation on the EuroMTS Platform," CESifo Working Paper Series 2938, CESifo.
    7. Thomas Dalsgaard & Jørgen Elmeskov & Cyn-Young Park, 2002. "Ongoing Changes in the Business Cycle: Evidence and Causes," OECD Economics Department Working Papers 315, OECD Publishing.
    8. Benjamin Cohen & Hyun Song Shin, 2002. "Positive feedback trading under stress: evidence from the US Treasury securities market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 148-180, Bank for International Settlements.
    9. Masson, Paul R., 2008. "The euro and developing country finance: A survey," The North American Journal of Economics and Finance, Elsevier, vol. 19(2), pages 175-191, August.
    10. Francesco Paolo Mongelli, 2005. "What is European Economic and Monetary Union Telling us About the Properties of Optimum Currency Areas?," Journal of Common Market Studies, Wiley Blackwell, vol. 43(3), pages 607-635, September.
    11. Stefano Schiavo, 2008. "Financial Integration, GDP Correlation and the Endogeneity of Optimum Currency Areas," Post-Print hal-01022326, HAL.
    12. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
    13. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2009. "Towards a Common European Monetary Union Risk Free Rate," NBER Working Papers 15353, National Bureau of Economic Research, Inc.
    14. Simon Gilchrist & Jean-Olivier Hairault & Hubert Kempf, 2002. "Monetary policy and the financial accelerator in a monetary union," International Finance Discussion Papers 750, Board of Governors of the Federal Reserve System (U.S.).
    15. Troeger, Vera, 2012. "Monetary Policy Flixibility in floating Exchange Rate Regimes: Currency Denomination and Import Shares," CAGE Online Working Paper Series 82, Competitive Advantage in the Global Economy (CAGE).
    16. Gabe de Bondt, 2004. "The balance sheet channel of monetary policy: first empirical evidence for the euro area corporate bond market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 219-228.
    17. John Hawkins & Paul Masson, 2003. "Economic aspects of regional currency areas and the use of foreign currencies," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional currency areas and the use of foreign currencies, volume 17, pages 4-42, Bank for International Settlements.
    18. Paul Evans & Iftekhar Hasan & Ana Lozano-Vivas, 2008. "Deregulation and Convergence of Banking: The EU Experience," Finnish Economic Papers, Finnish Economic Association, vol. 21(2), pages 104-117, Autumn.
    19. Ramos, Sofia B. & von Thadden, Ernst-Ludwig, 2008. "Stock exchange competition in a simple model of capital market equilibrium," Journal of Financial Markets, Elsevier, vol. 11(3), pages 284-307, August.
    20. Wan, Jer-Yuh & Kao, Chung-Wei, 2008. "The euro and pound volatility dynamics: An investigation from conditional jump process," Research in International Business and Finance, Elsevier, vol. 22(2), pages 193-207, June.
    21. Bruno Jetin, 2003. "How can a Currency Transaction Tax Stabilize Foreign Exchange Markets?," Post-Print halshs-03211712, HAL.
    22. Kollo, Michael G., 2005. "Underwriter competition and gross spreads in the eurobond market," Working Paper Series 550, European Central Bank.
    23. Moore, Michael & Dunne, Peter G & Portes, Richard, 2002. "Defining Benchmark Status: An Application using Euro-Area Bonds," CEPR Discussion Papers 3490, C.E.P.R. Discussion Papers.
    24. Patrick McGuire & Nikola Tarashev, 2007. "International banking with the euro," BIS Quarterly Review, Bank for International Settlements, December.
    25. Beckmann, Rainer & Eppendorfer, Carsten & Neimke, Markus, 2002. "Market Access Strategies in the EU Banking Sector - Obstacles and Benefits towards an integrated European Retail Market," MPRA Paper 5273, University Library of Munich, Germany.
    26. Gern, Klaus-Jürgen & Hammermann, Felix & Schweickert, Rainer & Vinhas de Souza, Lúcio, 2004. "European monetary integration after EU enlargement," Kiel Discussion Papers 413, Kiel Institute for the World Economy (IfW Kiel).
    27. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    28. Falko Fecht, 2003. "On the Stability of Different Financial Systems," Finance 0305008, University Library of Munich, Germany.
    29. Avadanei Andreea, "undated". "The Implications Of Economic And Monetary Union In Sustaining European Money Market Integration," Description: Managerial Challenges of the Contemporary Society 1, Faculty of Economics and Business Administration, Babes-Bolyai University.
    30. Galina Hale & Mark M. Spiegel, 2008. "The EMU effect on the currency denomination of international bonds," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep26.
    31. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.
    32. von Thadden, Ernst-Ludwig & Pagano, Marco, 2004. "The European Bond Markets Under EMU," CEPR Discussion Papers 4779, C.E.P.R. Discussion Papers.
    33. Kok, Christoffer & Puigvert Gutiérrez, Josep Maria, 2006. "Euro area banking sector integration: using hierarchical cluster analysis techniques," Working Paper Series 627, European Central Bank.
    34. Giuliano Iannotta, 2006. "Testing for Opaqueness in the European Banking Industry: Evidence from Bond Credit Ratings," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(3), pages 287-309, December.
    35. Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.
    36. Mevlud Islami & Paul Welfens, 2013. "Financial market integration, stock markets and exchange rate dynamics in Eastern Europe," International Economics and Economic Policy, Springer, vol. 10(1), pages 47-79, March.
    37. Mr. Guy M Meredith, 2001. "Why Has the Euro Been so Weak?," IMF Working Papers 2001/155, International Monetary Fund.
    38. Marvin Barth & Eli Remolona & Philip Wooldridge, 2002. "Changes in market functioning and central bank policy: an overview of the issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 1-24, Bank for International Settlements.
    39. Giofré, Maela/M., 2008. "EMU Effects on Stock Markets: From Home Bias to Euro Bias," MPRA Paper 13926, University Library of Munich, Germany.
    40. Julia Koralun-Bereźnicka, 2011. "Country and industry factors as determinants of corporate financial liquidity in the European Union countries," Bank i Kredyt, Narodowy Bank Polski, vol. 42(1), pages 19-48.
    41. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
    42. Dušan Isakov & Frédéric Sonney, 2003. "Are practitioners right? On the relative importance of industrial factors in international stock returns," FAME Research Paper Series rp72, International Center for Financial Asset Management and Engineering.
    43. Maher Asal, 2011. "The Impact of Euro on Sectoral Equity Returns and Portfolio Risk," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(2), pages 119-133, May.
    44. Gajewski, Krzysztof & Olszewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech & Tchorek, Grzegorz & Zięba, Jolanta, 2012. "Integracja finansowa w Europie po wprowadzeniu euro. Przegląd literatury [Financial integration in Europe after the introduction of the euro. A literature overview]," MPRA Paper 42482, University Library of Munich, Germany.
    45. Galina Hale & Mark M. Spiegel, 2008. "Who drove the boom in euro-denominated bond issues?," Working Paper Series 2008-20, Federal Reserve Bank of San Francisco.
    46. Thomas Plümper & Vera E. Troeger, 2006. "Fear of Floating and the External Effects of Currency Unions," The Institute for International Integration Studies Discussion Paper Series iiisdp181, IIIS.
    47. Marján, Attila, 2003. "A monetáris unió hatása az európai tőkepiacokra [The effect of monetary union on European capital markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 800-818.
    48. Mr. Ewe-Ghee Lim, 2006. "The Euro’s Challenge to the Dollar: Different Views from Economists and Evidence from COFER (Currency Composition of Foreign Exchange Reserves) and Other Data," IMF Working Papers 2006/153, International Monetary Fund.
    49. Sophocles N. Brissimis & Nicholas S. Magginas, 2003. "Changes in Financial Structure and Asset Price Substitutability: A Test of the Bank Lending Channel," Working Papers 05, Bank of Greece.
    50. Giuseppe Bruno & Ernesto Maurizio Ordine & Antonio Scalia, 2005. "Banks� participation in the Eurosystem auctions and money market integration," Temi di discussione (Economic working papers) 562, Bank of Italy, Economic Research and International Relations Area.
    51. Edwards, Sebastian & Magendzo, I-Igal, 2002. "Independent Currency Unions, Growth, and Inflation," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(S1), pages 215-232, December.
    52. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.
    53. De Vries, Jakob, 2005. "The Future Role of the Euro," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 5 (Winter, pages 203-207.
    54. Philip Lowe & Miguel A. Segoviano, 2002. "Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy," BIS Working Papers 117, Bank for International Settlements.
    55. Trauten, Andreas, 2004. "Zur Effizienz von Wertpapieremissionen über Internetplattformen," Working Papers 8, University of Münster, Competence Center Internet Economy and Hybrid Systems, European Research Center for Information Systems (ERCIS).
    56. Leandros, Panayota, 2005. "The Euro as an International Currency," MPRA Paper 91393, University Library of Munich, Germany.
    57. Giancarlo Corsetti & John Flemming & Seppo Honkapohja & Willi Leibfritz & Gilles Saint-Paul & Hans-Werner Sinn & Xavier Vives, 2002. "The Weakness of the Euro: Is it Really a Mystery?," EEAG Report on the European Economy, CESifo, vol. 0, pages 27-42, April.

  12. Smets, Frank & Tsatsaronis, Kostas, 1997. "Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States," CEPR Discussion Papers 1758, C.E.P.R. Discussion Papers.

    Cited by:

    1. Sedillot, F., 1999. "La pente des taux contient-elle de l'information sur l'activite economique future?," Working papers 67, Banque de France.
    2. Pierre Siklos, 1999. "Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US," Research Paper Series 25, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
    4. Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
    5. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'économie 03.02, Université de Lausanne, Faculté des HEC, Département d’économie.
    6. Mateus A. Feitosa & Benjamin M. Tabak, 2007. "Predictability Of Economic Activity Using Yield Spreads: The Case Of Brazil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    7. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
    8. Martin Motl, 2023. "The inverted yield curve: economic recession on the horizon," Occasional Publications - Chapters in Edited Volumes, in: CNB Global Economic Outlook - April 2023, pages 13-19, Czech National Bank.
    9. Gomez-Biscarri, Javier, 2008. "Changes in the informational content of term spreads: Is monetary policy becoming less effective?," Journal of Economics and Business, Elsevier, vol. 60(5), pages 415-435.
    10. Ludger Lindlar & Wolfgang Scheremet, 1998. "Germany's Slump Explaining the Unemployment Crisis of the 1990s," Discussion Papers of DIW Berlin 169, DIW Berlin, German Institute for Economic Research.
    11. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, vol. 16(1), pages 39-58.
    12. Nakaota, Hiroshi, 2005. "The term structure of interest rates in Japan: the predictability of economic activity," Japan and the World Economy, Elsevier, vol. 17(3), pages 311-326, August.
    13. Nikola A. Tarashev, 2005. "An empirical evaluation of structural credit risk models," BIS Working Papers 179, Bank for International Settlements.
    14. Ahrens, Ralf, 1999. "Predicting recessions with interest rate spreads: A multicountry regime-switching analysis," CFS Working Paper Series 1999/15, Center for Financial Studies (CFS).
    15. Jorg Bibow, 2001. "Making EMU Work: Some lessons from the 1990s," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(3), pages 233-259.
    16. Jardet, Caroline, 2004. "Why did the term structure of interest rates lose its predictive power?," Economic Modelling, Elsevier, vol. 21(3), pages 509-524, May.
    17. Martin Motl, 2019. "The inverted yield curve in the USA: How much time is left until a recession?," Occasional Publications - Chapters in Edited Volumes, in: CNB Global Economic Outlook - May 2019, pages 13-19, Czech National Bank.
    18. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank).
    19. Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005. "The term structure as a predictor of real activity and inflation in the euro area: a reassessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 177-92, Bank for International Settlements.
    20. Tomáš Holub & Jaromír Hurník, 2008. "Ten Years of Czech Inflation Targeting: Missed Targets and Anchored Expectations," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(6), pages 67-86, November.
    21. Morell, Joseph, 2018. "The decline in the predictive power of the US term spread: A structural interpretation," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 314-331.
    22. Rendu de Lint, Christel & Stolin, David, 2003. "The predictive power of the yield curve: a theoretical assessment," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1603-1622, October.
    23. Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
    24. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers) 544, Bank of Italy, Economic Research and International Relations Area.
    25. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato.
    26. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    27. Menzie D. Chinn & Kavan J. Kucko, 2010. "The Predictive Power of the Yield Curve across Countries and Time," NBER Working Papers 16398, National Bureau of Economic Research, Inc.
    28. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
    29. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
    30. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
    31. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    32. Mohamed Z. M. Aazim & N. S. Cooray, 2012. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," South Asian Journal of Macroeconomics and Public Finance, , vol. 1(1), pages 25-56, June.
    33. Viktor Kotlan, 2002. "Monetary Policy and the Term Spread in a Macro Model of a Small Open Economy," Working Papers 2002/01, Czech National Bank.
    34. Javier Gómez, 2007. "Changes in the Informational Content of the Spread: Is Monetary Policy Becoming Less Effective?," Faculty Working Papers 05/07, School of Economics and Business Administration, University of Navarra.
    35. Andersson, Magnus & D'Agostino, Antonello, 2008. "Are sectoral stock prices useful for predicting euro area GDP?," Working Paper Series 876, European Central Bank.
    36. Ahrens, R., 2002. "Predicting recessions with interest rate spreads: a multicountry regime-switching analysis," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 519-537, August.
    37. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
    38. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
    39. Alois Geyer & Richard Mader, 1999. "Estimation of the term structure of interest rates - A parametric approach," Working Papers 37, Oesterreichische Nationalbank (Austrian Central Bank).
    40. Fabio Moneta, 2005. "Does the Yield Spread Predict Recessions in the Euro Area?," International Finance, Wiley Blackwell, vol. 8(2), pages 263-301, August.
    41. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
    42. Mohamed Z. M. Aazim & Nawalage S. Cooray, 2010. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," Working Papers EMS_2010_11, Research Institute, International University of Japan.
    43. Menachem Brenner & Meir Sokoler, 2010. "Inflation Targeting and Exchange Rate Regimes: Evidence from the Financial Markets," Review of Finance, European Finance Association, vol. 14(2), pages 295-311.

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    1. Eisenschmidt, Jens & Ma, Yiming & Zhang, Anthony Lee, 2022. "Monetary policy transmission in segmented markets," Working Paper Series 2706, European Central Bank.
    2. Ranaldo, Angelo & Wrampelmeyer, Jan, 2016. "Unsecured and Secured Funding," Working Papers on Finance 1616, University of St. Gallen, School of Finance.
    3. Coen, Jamie & Coen, Patrick & Hüser, Anne-Caroline, 2024. "Collateral demand in wholesale funding markets," Bank of England working papers 1082, Bank of England.
    4. Coen, Jamie & Coen, Patrick & Hüser, Anne-Caroline, 2024. "Collateral Demand in Wholesale Funding Markets," TSE Working Papers 130323, Toulouse School of Economics (TSE).
    5. Zhou, Tao & Li, Zhongfei & Bai, Hengrui & Du, Zhidi & Huang, Jinbo & Ding, Zengcai, 2024. "Does unconventional monetary policy improve credit support for the industry chain? The mechanism of trade credit," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 180-192.
    6. Fegatelli, Paolo, 2022. "A central bank digital currency in a heterogeneous monetary union: Managing the effects on the bank lending channel," Journal of Macroeconomics, Elsevier, vol. 71(C).
    7. Angelo Ranaldo & Benedikt Ballensiefen & Hannah Winterberg, 2020. "Monetary policy disconnect," Working Papers on Finance 2003, University of St. Gallen, School of Finance.
    8. Yao, Dongmin & Sun, Rong & Gao, Qiunan, 2022. "The network structure of the China bond market: Characteristics and explanations from trading factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    9. Carlos Cañón & Jorge Florez-Acosta & Karoll Gómez, 2023. "The effects of two-way lending between financial conglomerates in bilateral repo markets," Borradores de Economia 1246, Banco de la Republica de Colombia.
    10. Bassi, Claudio & Grill, Michael & Mirza, Harun & O’Donnell, Charles & Wedow, Michael & Hermes, Felix, 2024. "Enhancing repo market transparency: the EU Securities Financing Transactions Regulation," Occasional Paper Series 342, European Central Bank.
    11. Baltzer, Markus & Schlepper, Kathi & Speck, Christian, 2022. "The Eurosystem's asset purchase programmes, securities lending and Bund specialness," Discussion Papers 39/2022, Deutsche Bundesbank.
    12. Steffen Murau & Alexandru-Stefan Goghie & Matteo Giordano, 2024. "Encumbered Security? Conceptualising Vertical and Horizontal Repos in the Euro Area," Working Papers 262, Department of Economics, SOAS University of London, UK.
    13. Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2019. "Regulatory effects on short-term interest rates," Bank of England working papers 801, Bank of England.
    14. Tomás Carrera de Souza & Tom Hudepohl, 2022. "The Eurosystem’s bond market share at an all-time high: what does it mean for repo markets?," Working Papers 745, DNB.
    15. Cristina Di Luigi & Antonio Perrella & Alessio Ruggieri, 2024. "The fundamental role of the repo market and central clearing," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 48, Bank of Italy, Directorate General for Markets and Payment System.
    16. Carrera de Souza, Tomás & Hudepohl, Tom, 2024. "Frictions in scaling up central bank balance sheet policies: How Eurosystem asset purchases impact the repo market," Journal of Banking & Finance, Elsevier, vol. 158(C).
    17. Arthur Rossi & Ernest Lecomte & Théophile Legrand & Benoît Nguyen, 2023. "French sovereign debt liquidity: main factors, recent developments and resilience during the Covid crisis [Déterminants, évolutions de la liquidité de la dette souveraine française et résilience au," Bulletin de la Banque de France, Banque de France, issue 246.

  2. Nikola Tarashev & Kostas Tsatsaronis & Claudio Borio, 2016. "Risk Attribution Using the Shapley Value: Methodology and Policy Applications," Review of Finance, European Finance Association, vol. 20(3), pages 1189-1213.

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    1. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
    2. Iñaki Aldasoro & Peter Hördahl & Sonya Zhu, 2022. "Under pressure: market conditions and stress," BIS Quarterly Review, Bank for International Settlements, September.
    3. Thi Xuan Huong Tram & Nguyen Thi Thanh Hoai, 2021. "Effect of macroeconomic variables on systemic risk: Evidence from Vietnamese economy," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 217-228.
    4. Nan Zhang & Heng Xu, 2024. "Fairness of Ratemaking for Catastrophe Insurance: Lessons from Machine Learning," Information Systems Research, INFORMS, vol. 35(2), pages 469-488, June.
    5. Brian Du, 2017. "How Useful Is Basel III's Liquidity Coverage Ratio? Evidence From US Bank Holding Companies," European Financial Management, European Financial Management Association, vol. 23(5), pages 902-919, October.
    6. Algieri, Bernardina & Leccadito, Arturo, 2017. "Assessing contagion risk from energy and non-energy commodity markets," Energy Economics, Elsevier, vol. 62(C), pages 312-322.
    7. Polanski, Arnold & Stoja, Evarist & Chiu, Ching-Wai (Jeremy), 2019. "Tail risk interdependence," Bank of England working papers 815, Bank of England.
    8. Lim, Hanah, 2022. "Benefit attribution in financial systems with bilateral netting," Finance Research Letters, Elsevier, vol. 45(C).
    9. Abhinav Anand & John Cotter, 2019. "Integration Among US Banks," Working Papers 201913, Geary Institute, University College Dublin.
    10. Giacomo Morelli, 2024. "Responsible investing and portfolio selection: a shapley - CVaR approach," Annals of Operations Research, Springer, vol. 342(3), pages 1991-2019, November.
    11. Arnold Polanski & Evarist Stoja & Ching‐Wai (Jeremy) Chiu, 2021. "Tail risk interdependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5499-5511, October.
    12. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    13. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
    14. Qianqian Gao & Hong Fan, 2020. "Macroprudential regulation for a dynamic Chinese banking system with a scale-free network," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 579-611, July.
    15. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
    16. Zhu, Bo & Lin, Renda & Liu, Jiahao, 2020. "Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective," Energy Economics, Elsevier, vol. 89(C).
    17. Ettore Panetti & Filomena Garcia, 2017. "A Theory of Government Bailouts in a Heterogeneous Banking System," Working Papers w201716, Banco de Portugal, Economics and Research Department.

  3. Mathias Drehmann & Kostas Tsatsaronis, 2014. "The credit-to-GDP gap and countercyclical capital buffers: questions and answers," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. David Aikman & Michael T. Kiley & Seung Jung Lee & Michael G. Palumbo & Missaka Warusawitharana, 2015. "Mapping Heat in the U.S. Financial System," Finance and Economics Discussion Series 2015-59, Board of Governors of the Federal Reserve System (U.S.).
    2. Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2015. "Taming macroeconomic instability: Monetary and macro prudential policy interactions in an agent-based model," Working Papers hal-03459508, HAL.
    3. Hristov, Nikolay & Roth, Markus, 2019. "Uncertainty shocks and financial crisis indicators," Discussion Papers 36/2019, Deutsche Bundesbank.
    4. Daniela Marchettini & Mr. Rodolfo Maino, 2015. "Systemic Risk Assessment in Low Income Countries: Balancing Financial Stability and Development," IMF Working Papers 2015/190, International Monetary Fund.
    5. Hertrich Markus, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, De Gruyter, vol. 20(4), pages 759-794, December.
    6. Leroi RAPUTSOANE, 2015. "Alternative Measures of Credit Extension for Countercyclical Buffer Decisions in South Africa," Turkish Economic Review, KSP Journals, vol. 2(4), pages 210-221, December.
    7. Funke, Michael & Sun, Rongrong & Zhu, Linxu, 2018. "The credit risk of Chinese households: A micro-level assessment," BOFIT Discussion Papers 12/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Alessandro Sapio & Andrea Roventini & Tomas Balint & Igor Khorenzhenko, 2017. "Taming macroeconomic instability," Post-Print hal-03399574, HAL.
    9. Mikhail Stolbov & Maria Shchepeleva, 2022. "In Search of Global Determinants of National Credit-to-GDP Gaps," Risks, MDPI, vol. 10(12), pages 1-22, December.
    10. Krug, Sebastian & Wohltmann, Hans-Werner, 2016. "Shadow banking, financial regulation and animal spirits: An ACE approach," Economics Working Papers 2016-08, Christian-Albrechts-University of Kiel, Department of Economics.
    11. Elena Deryugina & Alexey Ponomarenko, 2019. "Disinflation and reliability of underlying inflation measures," Bank of Russia Working Paper Series wps44, Bank of Russia.
    12. Soyoung Kim & Aaron Mehrotra, 2018. "Effects of Monetary and Macroprudential Policies—Evidence from Four Inflation Targeting Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 967-992, August.
    13. Maja Ivanovic & Marijana Mitrovic-Mijatovic & Milena Vucinic, 2017. "The Towards identification of gaps in data availability for maintaining financial stability – the case of Montenegro," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    14. Joseph G. Haubrich, 2020. "How Cyclical Is Bank Capital?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(1), pages 27-38, August.
    15. Vincent Bouvatier & Sofiane El Ouardi, 2021. "Credit gaps as banking crisis predictors: a different tune for middle- and low-income countries," Erudite Working Paper 2021-15, Erudite.
    16. Guglielmo Maria Caporale & Mohamad Husam Helmi, 2016. "Islamic Banking, Credit and Economic Growth: Some Empirical Evidence," CESifo Working Paper Series 5716, CESifo.
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  4. Michela Scatigna & Robert Szemere & Kostas Tsatsaronis, 2014. "Residential property price statistics across the globe," BIS Quarterly Review, Bank for International Settlements, September.

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    1. Stratford, Beth, 2020. "The Threat of Rent Extraction in a Resource-constrained Future," Ecological Economics, Elsevier, vol. 169(C).
    2. Ken Wong & Max Kwong & Paul Luk & Michael Cheng, 2023. "A robust textual analysis of the dynamics of Hong Kong property market," Pacific Economic Review, Wiley Blackwell, vol. 28(3), pages 314-346, August.
    3. Jean-François Carpantier & Christelle Sapata, 2020. "The Ups and Downs of European Real Estate Markets’ Integration," Finance, Presses universitaires de Grenoble, vol. 41(2), pages 109-139.
    4. Luca Benati, 2017. "Could the Bubble in U.S. House Prices Have Been Detected in Real Time?," Diskussionsschriften dp1705, Universitaet Bern, Departement Volkswirtschaft.
    5. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
    6. Rünstler, Gerhard & Vlekke, Marente, 2016. "Business, housing and credit cycles," Working Paper Series 1915, European Central Bank.
    7. Dittmann Iwona, 2017. "Similarity of Changes in Average Prices of Residential Properties in Europe in 2010-2016," Real Estate Management and Valuation, Sciendo, vol. 25(4), pages 63-74, December.
    8. International Monetary Fund, 2015. "Norway: Financial Sector Assessment Program-Technical Note- Macroprudential Policy," IMF Staff Country Reports 2015/257, International Monetary Fund.
    9. Jéssica Fernanda Castaño Lavado. & Miguel Ángel Morales Mosquera, 2015. "Revisión Metodológica de Índices de Precios de la Vivienda," Temas de Estabilidad Financiera 81, Banco de la Republica de Colombia.
    10. Emanuel Kohlscheen & Aaron Mehrotra & Dubravko Mihaljek, 2020. "Residential Investment and Economic Activity: Evidence from the Past Five Decades," International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 287-329, December.
    11. Enisse Kharroubi & Emanuel Kohlscheen, 2017. "Consumption-led expansions," BIS Quarterly Review, Bank for International Settlements, March.
    12. Michela Scatigna & Robert Szemere, 2015. "BIS collection and publication of residential property prices," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    13. Luigi Bonatti, 2016. "Anemic economic growth in advanced economies: structural factors and the impotence of expansionary macroeconomic policies," DEM Working Papers 2016/11, Department of Economics and Management.
    14. Irving Fisher Committee, 2015. "Indicators to support monetary and financial stability analysis: data sources and statistical methodologies," IFC Bulletins, Bank for International Settlements, number 39.
    15. International Monetary Fund, 2015. "Norway: Financial Sector Assessment Program-Technical Note-Linkages and Interconnectedness in the Norwegian Financial System," IMF Staff Country Reports 2015/256, International Monetary Fund.
    16. Marilena Mironiuc & Elena Ionașcu & Maria Carmen Huian & Alina Țaran, 2021. "Reflecting the Sustainability Dimensions on the Residential Real Estate Prices," Sustainability, MDPI, vol. 13(5), pages 1-28, March.
    17. Bank for International Settlements, 2015. "Introduction to BIS statistics," BIS Quarterly Review, Bank for International Settlements, September.
    18. Luigi Bonatti, 2017. "Land, Housing, Growth and Inequality," DEM Working Papers 2017/01, Department of Economics and Management.
    19. Gregory Sutton & Dubravko Mihaljek & Agnė Subelytė, 2017. "Interest rates and house prices in the United States and around the world," BIS Working Papers 665, Bank for International Settlements.

  5. Rungporn Roengpitya & Nikola Tarashev & Kostas Tsatsaronis, 2014. "Bank business models," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Bolívar, Fernando & Duran, Miguel A. & Lozano-Vivas, Ana, 2023. "Bank business models, size, and profitability," Finance Research Letters, Elsevier, vol. 53(C).
    2. Cheng, Gong & Mevis, Dirk, 2015. "What happened to profitability? Shocks, challenges and perspectives for euro area banks," MPRA Paper 66150, University Library of Munich, Germany.
    3. Luigi Infante & Stefano Piermattei & Raffaele Santioni & Bianca Sorvillo, 2020. "Diversifying away risks through derivatives: an analysis of the Italian banking system," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 621-657, July.
    4. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
    5. David Grossmann & Peter Scholz, 2017. "Bank Regulation: One Size Does Not Fit All," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(5), pages 1-1.
    6. Franklin Allen & Elena Carletti & Robert Cull & Jun “Qj” Qian & Lemma Senbet & Patricio Valenzuela, 2013. "Improving Access to Banking: Evidence from Kenya," Documentos de Trabajo 298, Centro de Economía Aplicada, Universidad de Chile.
    7. Matteo Farnè & Angelos T. Vouldis, 2020. "Does a bank's business model affect its capital and profitability?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    8. Lubberink, Martien, 2014. "Are banks’ below-par own debt repurchases a cause for prudential concern?," MPRA Paper 59475, University Library of Munich, Germany.
    9. Martín-Oliver, Alfredo & Ruano, Sonia & Salas-Fumás, Vicente, 2017. "The fall of Spanish cajas: Lessons of ownership and governance for banks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 244-260.
    10. Matteo Farnè & Angelos T. Vouldis, 2021. "Banks’ business models in the euro area: a cluster analysis in high dimensions," Annals of Operations Research, Springer, vol. 305(1), pages 23-57, October.
    11. Cohen, Benjamin H. & Scatigna, Michela, 2016. "Banks and capital requirements: Channels of adjustment," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 56-69.
    12. Hryckiewicz, Aneta & Kozłowski, Łukasz, 2017. "Banking business models and the nature of financial crisis," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 1-24.
    13. Ms. Enrica Detragiache & Mr. Thierry Tressel & Ms. Rima A Turk, 2018. "Where Have All the Profits Gone? European Bank Profitability Over the Financial Cycle," IMF Working Papers 2018/099, International Monetary Fund.
    14. Hałaj, Grzegorz, 2018. "System-wide implications of funding risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1151-1181.
    15. Stefano Cosma & Riccardo Ferretti & Elisabetta Gualandri & Andrea Landi & Valeria Venturelli, 2017. "How Does Financial Market Evaluate Business Models? Evidence From European Banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0063, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    16. Stefan Avdjiev & Leonardo Gambacorta & Linda S. Goldberg & Stefano Schiaffi, 2017. "The shifting drivers of global liquidity," Staff Reports 819, Federal Reserve Bank of New York.
    17. Götz, Martin & Krahnen, Jan Pieter & Tröger, Tobias, 2017. "Five years after the Liikanen Report: What have we learned?," SAFE White Paper Series 50, Leibniz Institute for Financial Research SAFE.
    18. Jeon, Bang Nam & Wu, Ji & Chen, Limei & Chen, Minghua, 2020. "Diversification, efficiency and risk of banks: New consolidating evidence from emerging economies," School of Economics Working Paper Series 2020-10, LeBow College of Business, Drexel University.
    19. John O S Wilson & Linh Nguyen & Anna Sobiech & Lechedzani Kgari, 2024. "Bank business model identification evolution and outcomes evidence for South Africa," Working Papers 11059, South African Reserve Bank.
    20. Farnè, Matteo & Vouldis, Angelos, 2024. "Do retail-oriented banks have less non-performing loans?," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    21. Bolton, Patrick & Avdjiev, Stefan & Bogdanova, Bilyana & Jiang, Wei & Kartasheva, Anastasia, 2017. "CoCo Issuance and Bank Fragility," CEPR Discussion Papers 12418, C.E.P.R. Discussion Papers.
    22. David Grossmann & Peter Scholz, 2019. "The golden rule of banking: funding cost risks of bank business models," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(2), pages 174-196, June.
    23. Simona Galletta & Sebastiano Mazzù, 2019. "Liquidity Risk Drivers and Bank Business Models," Risks, MDPI, vol. 7(3), pages 1-18, August.
    24. Neamtu, Ioana & Vo, Quynh-Anh, 2021. "Capital allocation, the leverage ratio requirement," Bank of England working papers 956, Bank of England.
    25. André Lucas & Julia Schaumburg & Bernd Schwaab, 2019. "Bank Business Models at Zero Interest Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 542-555, July.
    26. Bolívar, Fernando & Duran, Miguel A. & Lozano-Vivas, Ana, 2023. "Business model contributions to bank profit performance: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    27. Christian Calmès & Raymond Théoret, 2023. "Bank performance before and after the subprime crisis: Evidence from pooled data on big US banks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 472-516, June.
    28. Frey, Rainer, 2016. "Multinational banks’ deleveraging in the Global Financial Crisis," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 90-113.
    29. Mergaerts, Frederik & Vander Vennet, Rudi, 2016. "Business models and bank performance: A long-term perspective," Journal of Financial Stability, Elsevier, vol. 22(C), pages 57-75.
    30. Ahamed, M. Mostak & Mallick, Sushanta K., 2019. "Is financial inclusion good for bank stability? International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 403-427.
    31. Bräuning, Michael & Malikkidou, Despo & Scricco, Giorgio & Scalone, Stefano, 2019. "A new approach to Early Warning Systems for small European banks," Working Paper Series 2348, European Central Bank.
    32. Roberto Savona, 2022. "Bank business models, negative policy rates, and prudential regulation," Annals of Finance, Springer, vol. 18(3), pages 355-392, September.
    33. Tziogkidis, Panagiotis & Philippas, Dionisis, 2024. "Regulatory profiling and endogenous benchmarking," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    34. Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
    35. Stieglitz, Moritz & Wagner, Konstantin, 2020. "Marginal returns to talent for material risk takers in banking," IWH Discussion Papers 20/2020, Halle Institute for Economic Research (IWH).
    36. Frey, Rainer, 2015. "Multinational banks' deleveraging in the crisis driven by pre-crisis characteristics and behavior," Discussion Papers 18/2015, Deutsche Bundesbank.
    37. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    38. Mariña Martínez-Malvar & Laura Baselga-Pascual, 2020. "Bank Risk Determinants in Latin America," Risks, MDPI, vol. 8(3), pages 1-20, September.
    39. Dimitrios P. Louzis & Angelos T. Vouldis, 2017. "Profit strategy of Greek banks: cross-subsidization and diversification versus complementarity," Applied Economics, Taylor & Francis Journals, vol. 49(44), pages 4460-4481, September.
    40. Wu, Ji & Chen, Limei & Chen, Minghua & Jeon, Bang Nam, 2020. "Diversification, efficiency and risk of banks: Evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 45(C).
    41. Radek Halamka & Petr Teplý, 2017. "The Effect of Ethics on Banks Financial Performance," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(3), pages 330-344.
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    43. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on the activity of European banks," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 99-112.
    44. Bernardo P. Marques & Carlos F. Alves, 2020. "Using clustering ensemble to identify banking business models," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(2), pages 66-94, April.
    45. Andrea Flori & Simone Giansante & Claudia Girardone & Fabio Pammolli, 2021. "Banks’ business strategies on the edge of distress," Annals of Operations Research, Springer, vol. 299(1), pages 481-530, April.
    46. de Ramon, Sebastian & Francis, William & Milonas, Kristoffer, 2017. "An overview of the UK banking sector since the Basel Accord: insights from a new regulatory database," Bank of England working papers 652, Bank of England.
    47. Chen, Qianying & Katagiri, Mitsuru & Surti, Jay, 2022. "Monetary surprises and bank equity valuation with prolonged low interest rates," Finance Research Letters, Elsevier, vol. 47(PA).
    48. Andrea Flori & Simone Giansante & Fabio Pammolli, 2016. "Peer-Group Detection of Banks and Resilience to Distress," Working Papers 06/2016, IMT School for Advanced Studies Lucca, revised Dec 2016.
    49. Junttila, Juha & Perttunen, Jukka & Raatikainen, Juhani, 2021. "Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks," International Review of Financial Analysis, Elsevier, vol. 75(C).
    50. Campmas, Alexandra, 2020. "How do European banks portray the effect of policy interest rates and prudential behavior on profitability?," Research in International Business and Finance, Elsevier, vol. 51(C).
    51. J.A. Bikker & Tobias M. Vervliet, 2017. "Bank Profitability and Risk-Taking under Low Interest Rates," Working Papers 17-10, Utrecht School of Economics.
    52. Giovanna Paladino & Zeno Rotondi, 2020. "Banking business models and risk: Findings from the ECB's comprehensive assessment," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    53. Anjan Roy, 2021. "Business segment diversification of private banks in India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(3), pages 295-308, September.
    54. Hryckiewicz Aneta & Puławska Karolina, 2022. "How to Design a Bank Levy: The Effect of a Levy Scheme on Bank Performance and its Activities," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 30(3), pages 136-174, September.

  6. Leonardo Gambacorta & Jing Yang & Kostas Tsatsaronis, 2014. "Financial structure and growth," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Emiel F. S. van Bezooijen & Jacob A. Bikker, 2019. "Financial Structure and Macroeconomic Volatility: A Panel Data Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(12), pages 117-117, December.
    2. Can Sever, 2022. "Financial structure convergence," International Finance, Wiley Blackwell, vol. 25(1), pages 65-83, April.
    3. Helen Louri & Petros M. Migiakis, 2019. "Bank lending margins in the euro area: Funding conditions, fragmentation and ECB's policies," Review of Financial Economics, John Wiley & Sons, vol. 37(4), pages 482-505, October.
    4. Norman Loayza & Amine Ouazad & Romain Ranciere, 2017. "Financial Development, Growth, and Crisis: Is There a Trade-Off?," Working Papers 114, Peruvian Economic Association.
    5. Michael Brei & Giovanni Ferri & Leonardo Gambacorta, 2018. "Financial structure and income inequality," BIS Working Papers 756, Bank for International Settlements.
    6. Bofinger, Peter & Feld, Lars P. & Schmidt, Christoph M. & Schnabel, Isabel & Wieland, Volker, 2018. "Vor wichtigen wirtschaftspolitischen Weichenstellungen. Jahresgutachten 2018/19 [Setting the Right Course for Economic Policy. Annual Report 2018/19]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201819, September.
    7. Cavallaro, Eleonora & Villani, Ilaria, 2024. "Financial Asymmetries, Risk Sharing and Growth in The EU," Single Market Economics Papers WP2024/21, Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team.
    8. Kul B Luintel & Khan Mosahid & Leon-Gonzalez Roberto & Li Guangjie, 2016. "Financial Development, Structure and Growth : New Data, Method and Results," GRIPS Discussion Papers 15-27, National Graduate Institute for Policy Studies.
    9. Patty Duijm, 2022. "Foreign‐funded credit: Funding the credit cycle?," International Finance, Wiley Blackwell, vol. 25(2), pages 167-182, August.
    10. Jameel Ahmed, 2016. "Credit Conditions in Pakistan: Supply Constraints or Demand Deficiencies?," The Developing Economies, Institute of Developing Economies, vol. 54(2), pages 139-161, June.
    11. Bank for International Settlements, 2024. "Keeping the momentum:how finance can continue to support growth in EMEs," BIS Papers, Bank for International Settlements, number 148.
    12. David Haritone Shikumo, 2021. "Effect of Share Capital on Financial Growth of Non-Financial Firms Listed at the Nairobi Securities Exchange," Papers 2108.10244, arXiv.org.
    13. Cavallaro, Eleonora & Villani, Ilaria, 2021. "Real income convergence and the patterns of financial integration in the EU," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    14. Benczur, Peter & Karagiannis, Stylianos & Kvedaras, Virmantas, 2017. "Finance and economic growth: financing structure and non-linear impact," JRC Working Papers in Economics and Finance 2017-07, Joint Research Centre, European Commission.
    15. Filardo, Andrew J. & Siklos, Pierre L., 2020. "The cross-border credit channel and lending standards surveys," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    16. Detzer, Daniel, 2019. "Financialization made in Germany: A review," IPE Working Papers 122/2019, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
    17. Paolo Finaldi Russo & Fabio Parlapiano & Daniele Pianeselli & Ilaria Supino, 2020. "Firms’ listings: what is new? Italy versus the main European stock exchanges," Questioni di Economia e Finanza (Occasional Papers) 555, Bank of Italy, Economic Research and International Relations Area.
    18. Guangdong Xu, 2022. "From financial structure to economic growth: Theory, evidence and challenges," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
    19. Jérôme Creel & Paul Hubert & Fabien Labondance, 2017. "Financialisation risks and economic performance," Working Papers hal-03471756, HAL.
    20. Akisik, Orhan, 2020. "The impact of financial development, IFRS, and rule of LAW on foreign investments: A cross-country analysis," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 815-838.
    21. Upper, Christian & Marconi, Daniela, 2017. "Capital Misallocation And Financial Development: A Sector-Level Analysis," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168205, Verein für Socialpolitik / German Economic Association.
    22. Pana Alves & Sergio Mayordomo & Manuel Ruiz-García, 2022. "Corporate financing in fixed-income markets: the contribution of monetary policy to lowering the size barrier," Occasional Papers 2209, Banco de España.
    23. Sasidaran Gopalan, 2018. "Does foreign bank entry contribute to financial development? Examining the role of income thresholds," Development Policy Review, Overseas Development Institute, vol. 36(S2), pages 954-983, September.
    24. Kulvinder Purewal & Hazwan Haini, 2022. "Re-examining the effect of financial markets and institutions on economic growth: evidence from the OECD countries," Economic Change and Restructuring, Springer, vol. 55(1), pages 311-333, February.
    25. Pierre-Richard Agénor & Leonardo Gambacorta & Enisse Kharroubi & Enisse Kharroubi, 2018. "The effects of prudential regulation, financial development and financial openness on economic growth," BIS Working Papers 752, Bank for International Settlements.
    26. Jitka Pomenkova & Eva Klejmova & Zuzana Kucerova, 2019. "Cyclicality in lending activity of Euro area in pre- and post- 2008 crisis: a local-adaptive-based testing of wavelets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 19(1), pages 155-175.
    27. Simon Schumacher & Stephan Paul, 2017. "Capital Markets Union – Promising Prospects for Corporate Financing?," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 18(3), pages 289-304, August.
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    29. Emmanuel Carré & Guillaume L'Oeillet, 2018. "The Literature on the Finance–Growth Nexus in the Aftermath of the Financial Crisis: A Review," Post-Print halshs-01746069, HAL.
    30. Joshua Duarte & João Sousa Andrade & Pedro Bação, 2023. "Dynamic effects of financial development on economic activity," Applied Economics, Taylor & Francis Journals, vol. 55(29), pages 3329-3346, June.
    31. Youngjin Yun, 2022. "Cross‐border bank flows through foreign branches and the effect of a macroprudential policy," Pacific Economic Review, Wiley Blackwell, vol. 27(2), pages 83-104, May.
    32. Lenz, Rainer, 2015. "Banking 2025: The Bank of the Future," EconStor Preprints 110466, ZBW - Leibniz Information Centre for Economics.
    33. Galanti, Sébastien & Leroy, Aurélien & Vaubourg, Anne-Gaël, 2022. "Investment and access to external finance in Europe: Does analyst coverage matter?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    34. Helen Louri & Petros M. Migiakis, 2016. "Bank Lending Margins in the Euro Area: The Effects of Financial Fragmentation and ECB Policies," LEQS – LSE 'Europe in Question' Discussion Paper Series 105, European Institute, LSE.
    35. Natasha Kalara & Lu Zhang, 2018. "The changing landscape of firm financing in Europe, the United States and Japan," CPB Discussion Paper 383, CPB Netherlands Bureau for Economic Policy Analysis.
    36. Arize, Augustine & Kalu, Ebere Ume & Nkwor, Nelson N., 2018. "Banks versus markets: Do they compete, complement or Co-evolve in the Nigerian financial system? An ARDL approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 427-434.
    37. Kosuke Aoki & Ko Munakata & Nao Sudo, 2019. "Prolonged Low Interest Rates and Banking Stability," IMES Discussion Paper Series 19-E-21, Institute for Monetary and Economic Studies, Bank of Japan.
    38. Yener Coskun & Burak Sencer Atasoy & Giacomo Morri & Esra Alp, 2018. "Wealth Effects on Household Final Consumption: Stock and Housing Market Channels," IJFS, MDPI, vol. 6(2), pages 1-32, June.
    39. Bernardo P. Marques & Carlos F. Alves, 2024. "Heterogeneity of business models and banking sector resilience," Journal of Banking Regulation, Palgrave Macmillan, vol. 25(3), pages 256-271, September.
    40. Bofinger, Peter & Schnabel, Isabel & Feld, Lars P. & Schmidt, Christoph M. & Wieland, Volker, 2015. "Zukunftsfähigkeit in den Mittelpunkt. Jahresgutachten 2015/16 [Focus on Future Viability. Annual Report 2015/16]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201516, September.
    41. Hyunjoo Kim Karlsson & Kristofer Månsson & Scott Hacker, 2021. "Revisiting the nexus of the financial development and economic development: new international evidence using a wavelet approach," Empirical Economics, Springer, vol. 60(5), pages 2323-2350, May.
    42. Mahmoud Haddad & Sam Hakim, 2015. "Can Banks Lead the Economic Recovery of the Arab Spring?," Working Papers 965, Economic Research Forum, revised Nov 2015.
    43. Agostino Consolo & Marco Langiulli & David Sondermann, 2019. "Business investment in euro area countries: the role of institutions and debt overhang," Applied Economics Letters, Taylor & Francis Journals, vol. 26(7), pages 561-575, April.
    44. Oliver Denk & Sebastian Schich & Boris Cournède, 2015. "Why implicit bank debt guarantees matter: Some empirical evidence," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2014(2), pages 63-88.
    45. Nyasha Sheilla & Odhiambo Nicholas M., 2017. "Bank Versus Stock Market Development in Brazil: An ARDL Bounds Testing Approach," South East European Journal of Economics and Business, Sciendo, vol. 12(1), pages 7-21, April.
    46. Morganti, Patrizio & Garofalo, Giuseppe, 2019. "Reassessing the law, finance, and growth nexus after the recent Great recession," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 229-250.
    47. Christian Beer & Walter Waschiczek, 2018. "Capital markets union: a more diverse financial landscape in the EU?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2/18, pages 71-86.
    48. Piotr Lasak, 2021. "The Commercial Banking Sector in Eurozone after the Pandemic: The Paths to Recovery," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 1233-1246.
    49. Xu Guangdong, 2021. "Reassessing the Literature on the Relationship Between Financial Structure and Economic Growth," Review of Economics, De Gruyter, vol. 72(2), pages 149-182, August.
    50. Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2021. "Foreign bank lending in the U.S. during three U.S. recessions," Global Finance Journal, Elsevier, vol. 48(C).
    51. Saeed, Muhammad Yasir & Ramzan, Muhammad & Hamid, Kashif, 2020. "Causal and Dynamic Link Between the Banking Sector and Economic Growth in Pakistan," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 27(01).
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    58. Gagari Chakrabarti, 2022. "Openness and Potential Fragility of the Global Banking System," India Studies in Business and Economics, in: Supravat Bagli & Gagari Chakrabarti & Prithviraj Guha (ed.), Persistent and Emerging Challenges to Development, chapter 0, pages 351-370, Springer.
    59. Dioum, Sokhna Bousso, 2021. "Vérification empirique du lien finance-croissance économique : approche non linéaire appliquée aux pays de la cedeao [Empirical verification of the finance-economic growth link: non-linear approach," MPRA Paper 106855, University Library of Munich, Germany, revised 30 Mar 2021.
    60. Nowak, Eric & Eisele, Alexander, 2017. "The Real Effects of Improving Access to Capital Markets Financing: Evidence from European SMEs," CEPR Discussion Papers 12227, C.E.P.R. Discussion Papers.
    61. Arthur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2021. "Measuring Market Liquidity and Liquidity Mismatches across Sectors," Bank of Russia Working Paper Series wps82, Bank of Russia.
    62. David Haritone Shikumo & Oluoch Oluoch & Joshua Matanda Wepukhulu, 2020. "Effect of Short-Term Debt on Financial Growth of Non-Financial Firms Listed at Nairobi Securities Exchange," Papers 2011.03339, arXiv.org.
    63. Ajai Chopra, 2015. "Financing Productivity- and Innovation-Led Growth in Developing Asia: International Lessons and Policy Issues," Working Paper Series WP15-6, Peterson Institute for International Economics.
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    69. Ecenur Ugurlu-Yildirim & Beyza Mina Ordu-Akkaya, 2022. "Does the impact of geopolitical risk reduce with the financial structure of an economy? A perspective from market vs. bank-based emerging economies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 681-703, December.
    70. Alexeeva-Alexeev, Inna & Mazas-Perez-Oleaga, Cristina, 2024. "Do ICT firms manage R&D differently? Firm-level and macroeconomic effects on corporate R&D investment: Empirical evidence from a multi-countries context," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
    71. Hyeladi Stanley Dibal & Habila Abel Haruna & Chinyere C. Onyejiaku & Ogbole Friday Ogbole & Josaphat Uchechukwu J. Onwumere, 2024. "Pension Fund Investments and Capital Market Development in Nigeria: The Moderating Role of Inflation," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 16(2), pages 248-269, May.
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    73. Dungey, Mardi & Harvey, John & Siklos, Pierre & Volkov, Vladimir, 2017. "Signed spillover effects building on historical decompositions," Working Papers 2017-11, University of Tasmania, Tasmanian School of Business and Economics.
    74. Sasidaran Gopalan, 2015. "Does Foreign Bank Entry Contribute to Financial Depth?: Examining The Role of Income Thresholds," HKUST IEMS Working Paper Series 2015-05, HKUST Institute for Emerging Market Studies, revised Feb 2015.
    75. Claessens, Stijn, 2017. "Regulation and structural change in financial systems," CEPR Discussion Papers 11822, C.E.P.R. Discussion Papers.
    76. Mathonnat, Clément & Williams, Benjamin, 2020. "Does more finance mean more inequality in times of crisis?," Economic Systems, Elsevier, vol. 44(4).
    77. Boukhatem, Jamel, 2016. "Assessing the direct effect of financial development on poverty reduction in a panel of low- and middle-income countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 214-230.
    78. Unger, Robert, 2018. "Revisiting the finance and growth nexus: A deeper look at sectors and instruments," Discussion Papers 55/2018, Deutsche Bundesbank.
    79. Bats, Joost V. & Houben, Aerdt C.F.J., 2020. "Bank-based versus market-based financing: Implications for systemic risk," Journal of Banking & Finance, Elsevier, vol. 114(C).
    80. Yang Song & Dayu Liu & Qiaoru Wang, 2021. "The dual-financial-threshold effect in the “club convergence” of economic growth: a dynamic panel threshold model," Empirical Economics, Springer, vol. 61(5), pages 2713-2737, November.
    81. Alessio Ciarlone, 2019. "The relationship between financial development and growth: the case of emerging Europe," Questioni di Economia e Finanza (Occasional Papers) 521, Bank of Italy, Economic Research and International Relations Area.

  7. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    See citations under working paper version above.
  8. Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Margarita Debuque-Gonzales & Maria Socorro Gochoco-Bautista, 2017. "Financial Conditions Indexes and Monetary Policy in Asia," Asian Economic Papers, MIT Press, vol. 16(2), pages 83-117, Summer.
    2. Olga Bespalova & Mrs. Marina V Rousset, 2019. "Macrofinancial Linkages and Growth at Risk in the Dominican Republic," IMF Working Papers 2019/246, International Monetary Fund.
    3. Noh-Sun Kwark & Changhyun Lee, 2020. "Asymmetric Effects of Financial Conditions on GDP Growth in Korea: A Quantile Regression Analysis," Working Papers 2005, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    4. Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.
    5. Nicoletti, Giulio & Wacker, Konstantin M. & Lodge, David, 2014. "Measuring financial conditions in major non-euro area economies," Working Paper Series 1743, European Central Bank.
    6. Javier Maldonado & Esther Ruiz, 2021. "Accurate Confidence Regions for Principal Components Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1432-1453, December.
    7. Lawson, Jeremy & Watt, Abigail & Martinez, Carolina & Fu, Rong, 2019. "Chinese Financial Conditions and their Spillovers to the Global Economy and Markets," CEPR Discussion Papers 14065, C.E.P.R. Discussion Papers.
    8. Malibongwe Cyprian Nyati, 2024. "Should Monetary Policy in South Africa Lean against the Wind by Targeting the Financial Cycle?," Economies, MDPI, vol. 12(6), pages 1-20, June.
    9. Yuji Harada, 2019. "Diversity and transformation of institutional configurations and trust structures," Evolutionary and Institutional Economics Review, Springer, vol. 16(2), pages 479-501, December.

  9. Blaise Gadanecz & Kostas Tsatsaronis & Yener Altunbasb, 2012. "Spoilt and Lazy: The Impact of State Support on Bank Behavior in the International Loan Market," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 121-173, December.

    Cited by:

    1. Dong He & Robert N McCauley, 2013. "Transmitting global liquidity to East Asia: policy rates, bond yields, currencies and dollar credit," BIS Working Papers 431, Bank for International Settlements.
    2. Michael Brei & Blaise Gadanecz & Aaron Mehrotra, 2020. "SME lending and banking system stability: Some mechanisms at work," Post-Print hal-02497961, HAL.
    3. Goodhart, Charles & Avgouleas, Emilios, 2014. "A Critical Evaluation of Bail-in as a Bank Recapitalisation Mechanism," CEPR Discussion Papers 10065, C.E.P.R. Discussion Papers.

  10. Jing Yang & Kostas Tsatsaronis, 2012. "Bank stock returns, leverage and the business cycle," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016. "How the euro-area sovereign-debt crisis led to a collapse in bank equity prices," Journal of Financial Stability, Elsevier, vol. 26(C), pages 266-275.
    2. Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah, 2017. "Are Non-Conventional Banks More Resilient than Conventional Ones to Financial Crisis?," Working Papers hal-01455752, HAL.
    3. Nicodème, Gaëtan & Langedijk, Sven & Rossi, Alessandro & Pagano, Andrea, 2015. "Debt Bias in Corporate Income Taxation and the Costs of Banking Crises," CEPR Discussion Papers 10616, C.E.P.R. Discussion Papers.
    4. J.M. Dixon & J. Nassios, 2018. "The Effectiveness of Investment Stimulus Policies in Australia," Centre of Policy Studies/IMPACT Centre Working Papers g-282, Victoria University, Centre of Policy Studies/IMPACT Centre.
    5. William R. Cline, 2015. "Testing the Modigliani-Miller Theorem of Capital Structure Irrelevance for Banks," Working Paper Series WP15-8, Peterson Institute for International Economics.
    6. Douglas Sutherland & Peter Hoeller & Rossana Merola & Volker Ziemann, 2012. "Debt and Macroeconomic Stability," OECD Economics Department Working Papers 1003, OECD Publishing.
    7. Douglas Sutherland & Peter Hoeller, 2012. "Debt and Macroeconomic Stability: An Overview of the Literature and Some Empirics," OECD Economics Department Working Papers 1006, OECD Publishing.
    8. Kohlscheen, Emanuel & Takáts, Előd, 2021. "What can commercial property performance reveal about bank valuations?," Journal of International Money and Finance, Elsevier, vol. 113(C).
    9. McInerney, Niall & O'Brien, Martin & Wosser, Michael & Zavalloni, Luca, 2022. "Rightsizing Bank Capital for Small, Open Economies," Research Technical Papers 4/RT/22, Central Bank of Ireland.
    10. Clark, Brian & Jones, Jonathan & Malmquist, David, 2023. "Leverage and the cost of capital for U.S. banks," Journal of Banking & Finance, Elsevier, vol. 155(C).
    11. Niţoi, Mihai & Clichici, Dorina & Moagăr-Poladian, Simona, 2019. "The effects of prudential policies on bank leverage and insolvency risk in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 81(C), pages 148-160.
    12. setiawan, chandra & Tjiasaka, Felicia Putri, 2017. "Technical Efficiency and the Determinants of Price to Book Value: An Empirical Study of Category-IV Banks in Indonesia Stock Exchange," INA-Rxiv aruzq_v1, Center for Open Science.
    13. setiawan, chandra & Tjiasaka, Felicia Putri, 2017. "Technical Efficiency and the Determinants of Price to Book Value: An Empirical Study of Category-IV Banks in Indonesia Stock Exchange," INA-Rxiv aruzq, Center for Open Science.
    14. Jason Nassios & John Madden & James Giesecke & Janine Dixon & Nhi Tran & Peter Dixon & Maureen Rimmer & Philip Adams & John Freebairn, 2019. "The economic impact and efficiency of state and federal taxes in Australia," Centre of Policy Studies/IMPACT Centre Working Papers g-289, Victoria University, Centre of Policy Studies/IMPACT Centre.
    15. Antonio Sánchez Serrano, 2018. "EU banks after the crisis: sinners in the hands of angry markets," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(9), pages 24-51, May.
    16. Mr. Jaromir Benes & Mr. Michael Kumhof & Mr. Douglas Laxton, 2014. "Financial Crises in DSGE Models: Selected Applications of MAPMOD," IMF Working Papers 2014/056, International Monetary Fund.

  11. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 189-240, December.
    See citations under working paper version above.
  12. Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2009. "The systemic importance of financial institutions," BIS Quarterly Review, Bank for International Settlements, September.

    Cited by:

    1. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
    2. Sheri M Markose, 2013. "Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach," Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 285-305, July.
    3. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 594-618.
    4. Jorge A. Chan‐Lau, 2010. "Regulatory Capital Charges for Too‐Connected‐to‐Fail Institutions: A Practical Proposal," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(5), pages 355-379, December.
    5. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
    6. Franziska Bremus & Claudia M. Buch & Katheryn N. Russ & Monika Schnitzer, 2013. "Big Banks and Macroeconomic Outcomes: Theory and Cross-Country Evidence of Granularity," Discussion Papers of DIW Berlin 1348, DIW Berlin, German Institute for Economic Research.
    7. Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
    8. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Monetary policy implementation in an interbank network: Effects on systemic risk," SAFE Working Paper Series 46, Leibniz Institute for Financial Research SAFE.
    9. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    10. Borio, C., 2009. "Implementing the macroprudential approach to financial regulation and supervision," Financial Stability Review, Banque de France, issue 13, pages 31-41, September.
    11. Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.
    12. Riccardo De Bonis & Matteo Piazza, 2021. "A silent revolution. How central bank statistics have changed in the last 25 years," PSL Quarterly Review, Economia civile, vol. 74(299), pages 347-371.
    13. Clark, Ephraim & Jokung, Octave, 2015. "The role of regulatory credibility in effective bank regulation," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 506-513.
    14. Nikola Tarashev & Kostas Tsatsaronis & Claudio Borio, 2016. "Risk Attribution Using the Shapley Value: Methodology and Policy Applications," Review of Finance, European Finance Association, vol. 20(3), pages 1189-1213.
    15. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    16. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
    17. Jong Han Lee & Jaemin Ryu & Dimitrios P. Tsomocos, 2012. "Measures of Systemic Risk and Financial Fragility in Korea," Working Papers 2012-12, Economic Research Institute, Bank of Korea.
    18. Sedunov, John, 2016. "What is the systemic risk exposure of financial institutions?," Journal of Financial Stability, Elsevier, vol. 24(C), pages 71-87.
    19. Altunbas, Yener & Manganelli, Simone & Marques-Ibanez, David, 2017. "Realized bank risk during the great recession," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 29-44.
    20. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.
    21. Sofiane Aboura & Emmanuel Lépinette-Denis, 2014. "An Alternative Model to Basel Regulation," Post-Print hal-01526063, HAL.
    22. Lu, Jing & Hu, Xiaohong, 2014. "Novel three-bank model for measuring the systemic importance of commercial banks," Economic Modelling, Elsevier, vol. 43(C), pages 238-246.
    23. Jose Fique, 2016. "A Microfounded Design of Interconnectedness-Based Macroprudential Policy," Staff Working Papers 16-6, Bank of Canada.
    24. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Endogenous banks' networks, cascades and systemic risk," SAFE Working Paper Series 12, Leibniz Institute for Financial Research SAFE, revised 2014.
    25. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    26. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    27. Xiaobing Feng & Haibo Hu, 2014. "Measurement and Internalization of Systemic Risk in a Global Banking Network," Papers 1404.5689, arXiv.org.
    28. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    29. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    30. Noman Arshed & Rukhsana Kalim, 2021. "Modelling demand and supply of Islamic banking deposits," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2813-2831, April.
    31. Hossein Dastkhan, 2021. "Network‐based early warning system to predict financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 594-616, January.
    32. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
    33. Saeed, Momna & Izzeldin, Marwan & Hassan, M. Kabir & Pappas, Vasileios, 2020. "The inter-temporal relationship between risk, capital and efficiency: The case of Islamic and conventional banks," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    34. Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo 8779, Universidad del Rosario.
    35. Yang, Hsin-Feng & Liu, Chih-Liang & Yeutien Chou, Ray, 2020. "Bank diversification and systemic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 311-326.
    36. Qicheng Zhao & Zhouwei Wang & Yuping Song, 2024. "Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 1137-1162, August.
    37. Claudia M. Buch & Katja Neugebauer, 2009. "Diversification of Banks' International Portfolios: Evidence and Policy Lessons," Working Paper / FINESS 2.4, DIW Berlin, German Institute for Economic Research.
    38. Manganelli, Simone & Altunbas, Yener & Marqués-Ibáñez, David, 2011. "Bank risk during the financial crisis: do business models matter?," Working Paper Series 1394, European Central Bank.
    39. Borio Claudio, 2011. "Implementing a Macroprudential Framework: Blending Boldness and Realism," Capitalism and Society, De Gruyter, vol. 6(1), pages 1-25, August.
    40. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    41. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    42. Hossein Dastkhan, 2019. "What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-31, March.
    43. International Monetary Fund, 2012. "Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach," IMF Working Papers 2012/046, International Monetary Fund.
    44. Sun, Tao, 2010. "Identifying Vulnerabilities in Systemically Important Financial Institutions in a Macro-Financial Linkages Framework," The Journal of Economic Asymmetries, Elsevier, vol. 7(2), pages 77-103.
    45. Geller, Chris R. & Mustard, Jamie & Shahwan, Ranya, 2013. "Focused power: Experiments, the Shapley-Shubik power index, and focal points," Economics Discussion Papers 2013-42, Kiel Institute for the World Economy (IfW Kiel).
    46. Jaime Caruana, 2010. "Financial Stability: Ten Questions and about Seven Answers," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Michael Robson (ed.),Reserve Bank of Australia 50th Anniversary Symposium, Reserve Bank of Australia.
    47. Haiming Long & Ji Zhang & Nengyu Tang, 2017. "Does network topology influence systemic risk contribution? A perspective from the industry indices in Chinese stock market," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-19, July.
    48. Gastón Andrés Giordana & Ingmar Schumacher, 2017. "An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg," JRFM, MDPI, vol. 10(2), pages 1-21, April.
    49. Clara Lía Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge cely, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 627, Banco de la Republica de Colombia.
    50. Buch, Claudia M. & Neugebauer, Katja, 2011. "Bank-specific shocks and the real economy," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2179-2187, August.
    51. Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers 02/12, School of Economics and Business Administration, University of Navarra.
    52. Tomaso Aste, 2021. "Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities," JRFM, MDPI, vol. 14(5), pages 1-17, May.
    53. Ly, Kim Cuong & Liu, Frank Hong & Opong, Kwaku, 2018. "Can parents protect their children? Risk comparison analysis between affiliates of multi- and single-bank holding companies," Journal of Financial Stability, Elsevier, vol. 37(C), pages 1-10.
    54. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
    55. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, June.
    56. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    57. Gaganis, Chrysovalantis & Hasan, Iftekhar & Papadimitri, Panagiota & Tasiou, Menelaos, 2019. "National culture and risk-taking: Evidence from the insurance industry," Journal of Business Research, Elsevier, vol. 97(C), pages 104-116.
    58. Jose Fique, 2015. "A Microfounded Design of Interconnectedness-Based Macroprudential Regulation," CAEPR Working Papers 2015-008, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    59. Jose Fique & Frank Page, 2013. "Rollover risk and endogenous network dynamics," Computational Management Science, Springer, vol. 10(2), pages 213-230, June.
    60. Paola Bongini & Laura Nieri, 2014. "Identifying and Regulating Systemically Important Financial Institutions," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 39-62, February.
    61. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
    62. Usman, Muhammad & Umar, Zaghum & Choi, Sun-Yong & Teplova, Tamara, 2024. "Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 281-293.
    63. Zhiwei Zhang & Dayong Zhang & Fei Wu & Qiang Ji, 2021. "Systemic risk in the Chinese financial system: A copula‐based network approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2044-2063, April.
    64. Jian Min & Jiaojiao Zhu & Jian-Bo Yang, 2020. "The Risk Monitoring of the Financial Ecological Environment in Chinese Outward Foreign Direct Investment Based on a Complex Network," Sustainability, MDPI, vol. 12(22), pages 1-26, November.
    65. Lamont K. Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
    66. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2014. "Assessing the contribution of banks, insurance and other financial services to systemic risk," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 270-287.
    67. Phil Molyneux & Klaus Schaeck & Tim Zhou, 2011. "‘Too Systemically Important to Fail’ in Banking," Working Papers 11011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    68. Necmi Kemal Avkiran & Lin Mi, 2017. "The Rising Systemic Importance of Chinese Banks: Should the World Be Concerned?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 50(4), pages 427-440, December.
    69. Mr. Jorge A Chan-Lau, 2010. "Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems," IMF Working Papers 2010/107, International Monetary Fund.
    70. Co-Pierre Georg & Jenny Poschmann, 2010. "Systemic risk in a network model of interbank markets with central bank activity," Jena Economics Research Papers 2010-033, Friedrich-Schiller-University Jena.
    71. Tao Sun, 2011. "Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework," IMF Working Papers 2011/111, International Monetary Fund.
    72. Jean-Charles Rochet, 2009. "Regulating Systemic Institutions," Finnish Economic Papers, Finnish Economic Association, vol. 22(2), pages 35-46, Autumn.
    73. Molyneux, Philip & Schaeck, Klaus & Zhou, Tim Mi, 2014. "‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 258-282.
    74. Muhammad Saqib Bashir Butt & Hasniza Mohd Taib, 2019. "Economic Forces and Firm Stock Returns Volatility: Role of Firm Features," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), vol. 7(3), pages :281-302, September.

  13. Nikola Tarashev & Kostas Tsatsaronis, 2006. "Risk premia across asset markets: information from option prices," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Nikola A. Tarashev, 2005. "An empirical evaluation of structural credit risk models," BIS Working Papers 179, Bank for International Settlements.
    2. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.

  14. Patrick McGuire & Eli Remolona & Kostas Tsatsaronis, 2005. "Time-varying exposures and leverage in hedge funds," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Patrick M McGuire & Kostas Tsatsaronis, 2008. "Estimating hedge fund leverage," BIS Working Papers 260, Bank for International Settlements.
    2. Claudio Borio, 2007. "Change and Constancy in the Financial System: Implications for Financial Distress and Policy," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.
    3. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    4. Chris Becker & Kristina Clifton, 2007. "Hedge fund activity and carry trades," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 156-175, Bank for International Settlements.
    5. Kathryn Holmes & Robert Faff & Iain Clacher, 2010. "Style analysis and dominant index timing: an application to Australian multi-sector managed funds," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 293-301.
    6. Prasanna Gai & Sujit Kapadia & Stephen Millard & Ander Perez, 2008. "Financial Innovation, Macroeconomic Stability and Systemic Crises," Economic Journal, Royal Economic Society, vol. 118(527), pages 401-426, March.
    7. Izabela Pruchnicka-Grabias, 2014. "The Influence Of Confidence Level, Correlation And Volatility On Value At Risk. Six Case Studies," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 10, pages 565-581.
    8. Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 410-454, December.
    9. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
    10. Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
    11. Joni Kokkonen & Matti Suominen, 2015. "Hedge Funds and Stock Market Efficiency," Management Science, INFORMS, vol. 61(12), pages 2890-2904, December.
    12. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.

  15. Kostas Tsatsaronis & Haibin Zhu, 2004. "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Lenarčič, Črt & Zorko, Robert & Herman, Uroš & Savšek, Simon, 2016. "A Primer on Slovene House Prices Forecast," MPRA Paper 103552, University Library of Munich, Germany.
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    134. Tamara Slišković, 2018. "Analiza međuovisnosti stambenog tržišta i makroekonomskog sustava u Hrvatskoj," EFZG Occasional Publications (Department of Macroeconomics), in: Zbornik radova znanstvenog skupa: Modeli razvoja hrvatskog gospodarstva, (ur. Družić, G.; Družić, I., izdavač: Ekonomski fakultet Zagreb; Hrvatska aka, edition 1, volume 1, chapter 11, pages 247-280, Faculty of Economics and Business, University of Zagreb.
    135. Lok Sang Ho & Gary Wong, 2008. "Nexus Between Housing And The Macro Economy: The Hong Kong Case," Pacific Economic Review, Wiley Blackwell, vol. 13(2), pages 223-239, May.
    136. Andrea Garcia Tapia & Mildred Suarez & Jose E. Ramirez‐Marquez & Kash Barker, 2019. "Evaluating and Visualizing the Economic Impact of Commercial Districts Due to an Electric Power Network Disruption," Risk Analysis, John Wiley & Sons, vol. 39(9), pages 2032-2053, September.
    137. McCarthy, Yvonne & McQuinn, Kieran, 2017. "Credit conditions in a boom and bust property market: Insights for macro-prudential policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 171-182.
    138. Bismark Aha & David.M Higgins & Timothy Lee, 2018. "UK Political Cycle and the Effect on National House Prices: An Exploratory Study," ERES eres2018_60, European Real Estate Society (ERES).
    139. Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008. "Determinants of house prices in nine Asia-Pacific economies," BIS Working Papers 263, Bank for International Settlements.
    140. Demary, Markus, 2009. "The Link between Output, Inflation, Monetary Policy and Housing Price Dynamics," MPRA Paper 15978, University Library of Munich, Germany.
    141. Frondel, Manuel & Schmidt, Torsten & Vance, Colin & Zimmermann, Tobias & Belke, Ansgar, 2008. "Einfluss von Preisschocks auf die Preisentwicklung in Deutschland: Forschungsvorhaben des Bundesministeriums für Wirtschaft und Technologie. Projekt-Nr. I D 4-020815-16/07. Endbericht - Oktober 2008," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 70890, December.
    142. Tripathi, Sabyasachi, 2019. "Macroeconomic Determinants of Housing Prices: A Cross Country Level Analysis," MPRA Paper 98089, University Library of Munich, Germany.
    143. Bank for International Settlements, 2011. "Fixed income strategies of insurance companies and pension funds," CGFS Papers, Bank for International Settlements, number 44, december.
    144. Bayeh, Antonio & Bitar, Mohammad & Burlacu, Radu & Walker, Thomas, 2021. "Competition, securitization, and efficiency in US banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 553-576.
    145. David Mazáček & Jiří Panoš, 2022. "Key determinants of new residential real estate prices in Prague," FFA Working Papers 5.002, Prague University of Economics and Business, revised 11 Apr 2023.
    146. Mobeen Ur Rehman & Sajid Ali & Syed Jawad Hussain Shahzad, 2020. "Asymmetric Nonlinear Impact of Oil Prices and Inflation on Residential Property Prices: a Case of US, UK and Canada," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 39-54, June.
    147. Priti Mendiratta ARORA & Hema KAPUR & Ananya Ghosh DASTIDAR, 2023. "Credit, housing prices, expectations, and the macroeconomy. Evidence from developed and developing countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(636), A), pages 165-182, Autumn.
    148. Cho, Seong-Hoon & Bowker, James Michael & Park, William M., 2006. "Measuring the Contribution of Water and Green Space Amenities to Housing Values: An Application and Comparison of Spatially Weighted Hedonic Models," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(3), pages 1-23, December.
    149. Brunilda Beleraj, 2021. "Affiliate marketing. Can online news portals use successfully affiliated marketing in Albania?," European Journal of Marketing and Economics Articles, Revistia Research and Publishing, vol. 1.
    150. Gueye, Ghislain Nono, 2021. "Pitfalls in the cointegration analysis of housing prices with the macroeconomy: Evidence from OECD countries," Journal of Housing Economics, Elsevier, vol. 51(C).
    151. Ioannis Ganoulis & Massimo Giuliodori, 2011. "Financial liberalization and house price dynamics in Europe," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2671-2688.
    152. Beatrice D. Simo-Kengne & Manoel Bittencourt & Rangan Gupta, 2011. "House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data," Working Papers 201116, University of Pretoria, Department of Economics.
    153. Samuel M. Otterstrom, 2015. "Income Migration and Home Price Trajectories in the United States," International Real Estate Review, Global Social Science Institute, vol. 18(2), pages 277-302.
    154. Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco, 2012. "Securitization, risk-transferring and financial instability: The case of Spain," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 80-101.
    155. Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
    156. Dominika Ehrenbergerova & Simona Malovana, 2019. "Introducing Macro-Financial Variables into a Semi-Structural Model," Working Papers 2019/6, Czech National Bank.
    157. McQuinn, Kieran & O' Reilly, Gerard, 2007. "A Model of Cross-Country House Prices," Research Technical Papers 5/RT/07, Central Bank of Ireland.
    158. Nan-Kuang Chen & Han-Liang Cheng & Ching-Sheng Mao, 2014. "Identifying and forecasting house prices: a macroeconomic perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2105-2120, December.
    159. Singh, Bhupal & Nadkarni, Avadhoot R., 2020. "Role of credit and monetary policy in determining asset prices: Evidence from emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    160. Wolswijk, Guido, 2005. "On some fiscal effects on mortgage debt growth in the EU," Working Paper Series 526, European Central Bank.
    161. Frappa, Sébastien & Mésonnier, Jean-Stéphane, 2010. "The housing price boom of the late 1990s: Did inflation targeting matter?," Journal of Financial Stability, Elsevier, vol. 6(4), pages 243-254, December.
    162. Leonor Coutinho & Julien Castiaux & Jean-Charles Bricongne & Nicolas Philiponnet, 2018. "Housing Market Developments in Cyprus," European Economy - Economic Briefs 038, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    163. V. A. Salnikov & O. M. Mikheeva, 2018. "Models for Predicting Prices in the Moscow Residential Real Estate Market," Studies on Russian Economic Development, Springer, vol. 29(1), pages 94-101, January.
    164. Czerniak, Adam & Borowski, Jakub & Boratyński, Jakub & Rosati, Dariusz, 2020. "Asset price bubbles in a monetary union: Mind the convergence gap," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 288-302.
    165. Luci Ellis & Charles Littrell, 2017. "Financial Stability in a Low Interest Rate Environment: An Australian Case Study," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
    166. Christos S. Savva, 2018. "Factors Affecting Housing Prices: International Evidence," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 12(2), pages 87-96, December.
    167. Torben Klarl, 2016. "The nexus between housing and GDP re-visited: A wavelet coherence view on housing and GDP for the U.S," Economics Bulletin, AccessEcon, vol. 36(2), pages 704-720.
    168. Frank Leung & Kevin Chow & Gaofeng Han, 2008. "Long-term and Short-term Determinants of Property Prices in Hong Kong," Working Papers 0815, Hong Kong Monetary Authority.
    169. B. Biagi & MG. Brandano & D. Lambiri, 2012. "Does tourism affect house prices? Some evidence from Italy," Working Paper CRENoS 201227, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    170. Adams, Zeno & Füss, Roland, 2010. "Macroeconomic determinants of international housing markets," Journal of Housing Economics, Elsevier, vol. 19(1), pages 38-50, March.
    171. M S Mohanty & Gert Schnabel & Pablo Garcia-Luna, 2006. "Banks and aggregate credit: what is new?," BIS Papers chapters, in: Bank for International Settlements (ed.), The banking system in emerging economies: how much progress has been made?, volume 28, pages 11-39, Bank for International Settlements.
    172. Paulo M.M. Rodrigues & Rita Fradique Lourenço, 2017. "House prices in Portugal - what happened since the crisis?," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    173. Apergis, Nicholas & Hayat, Tasawar & Kadasah, Nasser A., 2019. "Subjective well-being in housing purchasing: Evidence with survey data from the U.K. housing residential market," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 328-335.
    174. Jung, Hosung & Lee, Jieun, 2017. "The effects of macroprudential policies on house prices: Evidence from an event study using Korean real transaction data," Journal of Financial Stability, Elsevier, vol. 31(C), pages 167-185.
    175. Néstor Romero & Sungjun Cho & Stuart Hyde, 2023. "Financial development and the effect of cross‐border bank flows on house prices," The Financial Review, Eastern Finance Association, vol. 58(1), pages 39-63, February.
    176. Chia-Chien Chang & Wei-Yi Huang & So-De Shyu, 2012. "Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 846-868, November.
    177. Antonis M. Koumpias & Jorge Martinez-Vazquez & Eduardo Sanz-Arcega, 2015. "Housing Bubbles and Zoning Corruption: Evidence from Greece and Spain," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper1505, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.

  16. Borio, Claudio & Tsatsaronis, Kostas, 2004. "Accounting and prudential regulation: from uncomfortable bedfellows to perfect partners?," Journal of Financial Stability, Elsevier, vol. 1(1), pages 111-135, September.

    Cited by:

    1. Claudio Borio, 2007. "Change and Constancy in the Financial System: Implications for Financial Distress and Policy," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.
    2. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
    3. William R. White, 2007. "The housing finance revolution: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 69-84.
    4. Claudio E. V. Borio & Kostas Tsatsaronis, 2005. "Accounting, prudential regulation and financial stability: elements of a synthesis," BIS Working Papers 180, Bank for International Settlements.
    5. Borio, C., 2009. "Implementing the macroprudential approach to financial regulation and supervision," Financial Stability Review, Banque de France, issue 13, pages 31-41, September.
    6. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    7. I. Argimon & M. Dietsch & A. Estrada, 2016. "Prudential filters, portfolio composition and capital ratios in European banks," Débats économiques et financiers 22, Banque de France.
    8. Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
    9. Nikola Tarashev, 2009. "Measuring portfolio credit risk correctly: why parameter uncertainty matters," BIS Working Papers 280, Bank for International Settlements.
    10. Gabriel Jiménez & Jesús Saurina, 2005. "Credit cycles, credit risk, and prudential regulation," Working Papers 0531, Banco de España.
    11. Malgorzata Olszak, 2012. "Macroprudential policy - aim, instruments and institutional architecture (Polityka ostroznosciowa w ujêciu makro - cel, instrumenty i architektura instytucjonalna)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 7-32.
    12. Argimón, Isabel & Dietsch, Michel & Estrada, Ángel, 2018. "Prudential filters, portfolio composition at fair value and capital ratios in European banks," Journal of Financial Stability, Elsevier, vol. 39(C), pages 187-208.
    13. Massoud, Nadia & Ullah, Saif & Scholnick, Barry, 2016. "Does it help firms to secretly pay for stock promoters?," Journal of Financial Stability, Elsevier, vol. 26(C), pages 45-61.

  17. Nikola Tarashev & Kostas Tsatsaronis & Dimitrios Karampatos, 2003. "Investors' attitude towards risk: what can we learn from options?," BIS Quarterly Review, Bank for International Settlements, June.

    Cited by:

    1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    2. Philippe Dupuy, 2009. "Pure Indicator Of Risk Appetite," Australian Economic Papers, Wiley Blackwell, vol. 48(1), pages 18-33, March.
    3. Timo Daehler & Joshua Aizenman & Yothin Jinjarak, 2020. "Emerging Markets Sovereign CDS Spreads During COVID-19: Economics versus Epidemiology News," NBER Working Papers 27903, National Bureau of Economic Research, Inc.
    4. Massimiliano Affinito & Matteo Piazza, 2021. "Always Look on the Bright Side? Central Counterparties and Interbank Markets during the Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
    5. Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
    6. Prasanna Gai & Nicholas Vause, 2006. "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
    7. Miroslav Misina, 2006. "Benchmark Index of Risk Appetite," Staff Working Papers 06-16, Bank of Canada.
    8. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
    9. Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
    10. Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng, 2021. "Measuring investors’ risk aversion in China’s stock market," Finance Research Letters, Elsevier, vol. 42(C).
    11. Laganá, Marco & Peřina, Martin & von Köppen-Mertes, Isabel & Persaud, Avinash, 2006. "Implications for liquidity from innovation and transparency in the European corporate bond market," Occasional Paper Series 50, European Central Bank.
    12. Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008. "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers 0812, Hong Kong Monetary Authority.
    13. John Cairns & Corrinne Ho & Robert McCauley, 2007. "Exchange rates and global volatility: implications for Asia-Pacific currencies," BIS Quarterly Review, Bank for International Settlements, March.
    14. Jaqueline Terra Moura Marins, 2020. "Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets," Working Papers Series 515, Central Bank of Brazil, Research Department.
    15. Gemici, Eray & Gök, Remzi & Bouri, Elie, 2023. "Predictability of risk appetite in Turkey: Local versus global factors," Emerging Markets Review, Elsevier, vol. 55(C).
    16. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
    17. Marie Brière & Kamal Chancari, 2004. "Perception des risques sur les marchés, construction d'un indice élaboré à partir des smiles d'options et test de stratégies," Revue d'économie politique, Dalloz, vol. 114(4), pages 527-555.

  18. Kostas Tsatsaronis, 2000. "Hedge funds," BIS Quarterly Review, Bank for International Settlements, November.

    Cited by:

    1. Schmidt Paul-Günther, 2001. "Ursachen systemischer Bankenkrisen: Erklärungsversuche, empirische Evidenz und wirtschaftspolitische Konsequenzen," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 52(1), pages 239-280, January.

Chapters

  1. Konstantinos Tsatsaronis & Michael Chui & Tirupam Goel & Aaron Mehrotra, 2022. "The monetary-fiscal policy nexus in the wake of the pandemic," BIS Papers chapters, in: Bank for International Settlements (ed.), The monetary-fiscal policy nexus in the wake of the pandemic, volume 122, pages 1-25, Bank for International Settlements.

    Cited by:

    1. Linas Jurkšas & Rokas Kaminskas & Deimantė Vasiliauskaitė, 2024. "ECB monetary policy communication events: Do they move euro area yields?," Bulletin of Economic Research, Wiley Blackwell, vol. 76(2), pages 596-625, April.
    2. George Kosgei Kiptum, 2022. "Relationship between Kenya’s economic growth and inflation," SN Business & Economics, Springer, vol. 2(12), pages 1-16, December.

  2. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2013. "Can We Identify the Financial Cycle?," World Scientific Book Chapters, in: Douglas D Evanoff & Cornelia Holthausen & George G Kaufman & Manfred Kremer (ed.), The Role of Central Banks in Financial Stability How Has It Changed?, chapter 7, pages 131-156, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Malovaná, Simona & Kolcunová, Dominika & Brož, Václav, 2019. "Does monetary policy influence banks’ risk weights under the internal ratings-based approach?," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
    2. Škare, Marinko & Porada-Rochoń, Małgorzata, 2020. "Multi-channel singular-spectrum analysis of financial cycles in ten developed economies for 1970–2018," Journal of Business Research, Elsevier, vol. 112(C), pages 567-575.
    3. Jan Hajek & Jan Frait & Miroslav Plasil, 2017. "The countercyclical capital buffer in the Czech Republic," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2016/2017, chapter 0, pages 106-114, Czech National Bank.

  3. Konstantinos Tsatsaronis, 2005. "Investigating the relationship between the financial and real economy," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 1-4, Bank for International Settlements.

    Cited by:

    1. Eleni Angelopoulou & Hiona Balfoussia & Heather D. Gibson, 2012. "Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?," Working Papers 147, Bank of Greece.
    2. Mikhail V. Oet & John M. Dooley & Stephen J. Ong, 2015. "The Financial Stress Index: Identification of Systemic Risk Conditions," Risks, MDPI, vol. 3(3), pages 1-25, September.
    3. Milan Christian Wet & Ilse Botha, 2022. "Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 37-67, March.
    4. Akira Kohsaka & Jun-ichi Shinkai, 2014. "East Asian Financial Cycles: Asian vs. Global Financial Crises," OSIPP Discussion Paper 14E008, Osaka School of International Public Policy, Osaka University.
    5. Esteban Gómez & Andrés Murcia & Nancy Zamundio, 2011. "Financial Conditions Index: Early and Leading Indicator for Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 174-220, December.
    6. Mirna Dumičić & Ivo Krznar, 2013. "Financial Conditions and Economic Activity," Working Papers 37, The Croatian National Bank, Croatia.
    7. Hakan Kara & Pinar Ozlu & Deren Unalmis, 2015. "Turkiye icin Finansal Kosullar Endeksi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 15(3), pages 41-73.
    8. Amat Adarov, 2017. "Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies," wiiw Working Papers 140, The Vienna Institute for International Economic Studies, wiiw.
    9. Amat Adarov, 2018. "Financial Cycles Around the World," wiiw Working Papers 145, The Vienna Institute for International Economic Studies, wiiw.
    10. Paccagnini, Alessia, 2019. "Did financial factors matter during the Great Recession?," Economics Letters, Elsevier, vol. 174(C), pages 26-30.
    11. Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.
    12. Nicoletti, Giulio & Wacker, Konstantin M. & Lodge, David, 2014. "Measuring financial conditions in major non-euro area economies," Working Paper Series 1743, European Central Bank.
    13. Harendra Behera & Saurabh Sharma, 2022. "Characterizing India’s Financial Cycle," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(2), pages 152-183, June.
    14. Borg Ian & Micallef Brian, 2018. "Constructing a Financial Condition Index for a Small-Open Economy: The Case of Malta," Research in Applied Economics, Macrothink Institute, vol. 10(3), pages 89-105, September.
    15. Zabavnik, Darja & Verbič, Miroslav, 2021. "Relationship between the financial and the real economy: A bibliometric analysis," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 55-75.
    16. Claudio Borio & Ilhyock Shim, 2007. "What can (macro-)prudential policy do to support monetary policy?," BIS Working Papers 242, Bank for International Settlements.

  4. William English & Kostas Tsatsaronis & Edda Zoli, 2005. "Assessing the predictive power of measures of financial conditions for macroeconomic variables," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 228-52, Bank for International Settlements.

    Cited by:

    1. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
    2. Margarita Debuque-Gonzales & Maria Socorro Gochoco-Bautista, 2017. "Financial Conditions Indexes and Monetary Policy in Asia," Asian Economic Papers, MIT Press, vol. 16(2), pages 83-117, Summer.
    3. Eleni Angelopoulou & Hiona Balfoussia & Heather D. Gibson, 2012. "Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?," Working Papers 147, Bank of Greece.
    4. Bank for International Settlements, 2008. "Financial market developments and their implications for monetary policy," BIS Papers, Bank for International Settlements, number 39.
    5. Mikhail V. Oet & John M. Dooley & Stephen J. Ong, 2015. "The Financial Stress Index: Identification of Systemic Risk Conditions," Risks, MDPI, vol. 3(3), pages 1-25, September.
    6. Mr. Jonathan F Manning & Maral Shamloo, 2015. "A Financial Conditions Index for Greece," IMF Working Papers 2015/220, International Monetary Fund.
    7. Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2015. "Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113143, Verein für Socialpolitik / German Economic Association.
    8. Albert, Jose Ramon G. & Schou-Zibell, Lotte & Song, Lei Lei, 2012. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Discussion Papers DP 2012-22, Philippine Institute for Development Studies.
    9. Kirsten Thompson & Renee Van Eyden & Rangan Gupta, 2015. "Identifying an index of financial conditions for South Africa," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(2), pages 256-274, June.
    10. Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2017. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Questioni di Economia e Finanza (Occasional Papers) 382, Bank of Italy, Economic Research and International Relations Area.
    11. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank.
    12. David Aikman & Andreas Lehnert & Nellie Liang & Michele Modungno, 2020. "Credit, Financial Conditions, and Monetary Policy Transmission," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 141-179, June.
    13. Christian Menden & Christian R. Proaño, 2017. "Dissecting the financial cycle with dynamic factor models," IMK Working Paper 183-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    14. Milan Christian Wet & Ilse Botha, 2022. "Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 37-67, March.
    15. Akira Kohsaka & Jun-ichi Shinkai, 2014. "East Asian Financial Cycles: Asian vs. Global Financial Crises," OSIPP Discussion Paper 14E008, Osaka School of International Public Policy, Osaka University.
    16. Xiaochun Jiang & Wei Sun & Peng Su & Ting Wang, 2019. "The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths," Sustainability, MDPI, vol. 11(15), pages 1-22, August.
    17. Esteban Gómez & Andrés Murcia & Nancy Zamundio, 2011. "Financial Conditions Index: Early and Leading Indicator for Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 174-220, December.
    18. Tim Ng, 2011. "The predictive content of financial cycle measures for output fluctuations," BIS Quarterly Review, Bank for International Settlements, June.
    19. Miroslav Plašil & Jakub Seidler & Petr Hlaváč, 2016. "A New Measure of the Financial Cycle: Application to the Czech Republic," Eastern European Economics, Taylor & Francis Journals, vol. 54(4), pages 296-318, July.
    20. Mirna Dumičić & Ivo Krznar, 2013. "Financial Conditions and Economic Activity," Working Papers 37, The Croatian National Bank, Croatia.
    21. Kirsten Thompson & Renee van Eyden & Rangan Gupta, 2013. "Identifying a financial conditions index for South Africa," Working Papers 201333, University of Pretoria, Department of Economics.
    22. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    23. Hakan Kara & Pinar Ozlu & Deren Unalmis, 2015. "Turkiye icin Finansal Kosullar Endeksi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 15(3), pages 41-73.
    24. Amat Adarov, 2017. "Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies," wiiw Working Papers 140, The Vienna Institute for International Economic Studies, wiiw.
    25. Wang, Jianxin & Gochoco-Bautista, Maria Socorro & Sotocinal, Noli, 2013. "Corporate Investments in Asian Emerging Markets: Financial Conditions, Financial Development, and Financial Constraints," ADB Economics Working Paper Series 346, Asian Development Bank.
    26. Michael T. Kiley, 2020. "Financial Conditions and Economic Activity: Insights from Machine Learning," Finance and Economics Discussion Series 2020-095, Board of Governors of the Federal Reserve System (U.S.).
    27. Mr. Vladimir Klyuev, 2008. "Real Implications of Financial Linkages Between Canada and the United States," IMF Working Papers 2008/023, International Monetary Fund.
    28. Sirio Aramonte & Samuel Rosen & John W. Schindler, 2013. "Assessing and combining financial conditions indexes," Finance and Economics Discussion Series 2013-39, Board of Governors of the Federal Reserve System (U.S.).
    29. Mercè Sala-Rios & Teresa Torres-Solé & Mariona Farré-Perdiguer, 2016. "Credit and business cycles’ relationship: evidence from Spain," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(3), pages 149-171, December.
    30. Amat Adarov, 2018. "Financial Cycles Around the World," wiiw Working Papers 145, The Vienna Institute for International Economic Studies, wiiw.
    31. Rünstler, Gerhard & Balfoussia, Hiona & Burlon, Lorenzo & Buss, Ginters & Comunale, Mariarosaria & De Backer, Bruno & Dewachter, Hans & Guarda, Paolo & Haavio, Markus & Hindrayanto, Irma & Iskrev, Nik, 2018. "Real and financial cycles in EU countries - Stylised facts and modelling implications," Occasional Paper Series 205, European Central Bank.
    32. Milan Christian de Wet, 2021. "Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 14(1), pages 69-79, June.
    33. Mateusz Pipień & Dobiesław Tymoczko, 2024. "Does the credit cycle exist? Policy recommendations based on empirical analyses of the Polish banking sector," Bank i Kredyt, Narodowy Bank Polski, vol. 55(1), pages 1-20.
    34. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2012. "Characterising the financial cycle: don't lose sight of the medium term!," BIS Working Papers 380, Bank for International Settlements.
    35. Paccagnini, Alessia, 2019. "Did financial factors matter during the Great Recession?," Economics Letters, Elsevier, vol. 174(C), pages 26-30.
    36. Fiorelli, Cristiana & Meliciani, Valentina, 2019. "Economic growth in the era of unconventional monetary instruments: A FAVAR approach," Journal of Macroeconomics, Elsevier, vol. 62(C).
    37. Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.
    38. Magdalena Petrovska & Elena Mucheva Mihajlovska, 2013. "Measures of Financial Stability in Macedonia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 2(3), pages 85-110.
    39. Mr. Andrew J Swiston, 2008. "A U.S. Financial Conditions Index: Putting Credit Where Credit is Due," IMF Working Papers 2008/161, International Monetary Fund.
    40. Kenneth N Kuttner, 2008. "Equity prices as leading indicators: the Asian experience," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial market developments and their implications for monetary policy, volume 39, pages 167-192, Bank for International Settlements.
    41. Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
    42. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Staff Working Papers 07-8, Bank of Canada.
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    44. Lenarčič, Črt, 2021. "Estimating business and financial cycles in Slovenia," MPRA Paper 109977, University Library of Munich, Germany.
    45. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 169-186, September.
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    47. Deng, Chuang & Zhao, Xiuyi & Xu, Man, 2022. "Financial cycle and the effect of monetary policy," Finance Research Letters, Elsevier, vol. 47(PA).
    48. Harendra Behera & Saurabh Sharma, 2022. "Characterizing India’s Financial Cycle," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(2), pages 152-183, June.
    49. Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
    50. Borg Ian & Micallef Brian, 2018. "Constructing a Financial Condition Index for a Small-Open Economy: The Case of Malta," Research in Applied Economics, Macrothink Institute, vol. 10(3), pages 89-105, September.
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Books

  1. Michael Chui & Tirupam Goel & Aaron Mehrotra & Kostas Tsatsaronis, 2022. "The monetary-fiscal policy nexus in the wake of the pandemic," BIS Papers, Bank for International Settlements, number 122.
    See citations under working paper version above.
  2. Claudio Borio & William Curt Hunter & George G. Kaufman & Kostas Tsatsaronis (ed.), 2004. "Market Discipline Across Countries and Industries," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262025752, December.

    Cited by:

    1. Koen Schoors & Konstantin Sonin, 2005. "Passive Creditors," William Davidson Institute Working Papers Series wp737, William Davidson Institute at the University of Michigan.
    2. Altunbas, Yener & Gambacorta, Leonardo & Marqués-Ibáñez, David, 2009. "Bank risk and monetary policy," Working Paper Series 1075, European Central Bank.
    3. Gropp, Reint E. & Kadareja, Arjan, 2007. "Stale information, shocks and volatility," ZEW Discussion Papers 07-012, ZEW - Leibniz Centre for European Economic Research.
    4. Petsch, Victoria, 2019. "The Necessity for Regulating the Insurance Market Considering the Implementation of the IDD," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2019), Rovinj, Croatia, in: Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Rovinj, Croatia, 12-14 September 2019, pages 179-186, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb.
    5. Marília Pinheiro Ohlson & Gerlando Augusto Sampaio Franco de Lima & Tony Takeda, 2021. "Deposit insurance and brokerage firms: impacts on the market discipline of the Brazilian banking industry," Working Papers Series 542, Central Bank of Brazil, Research Department.
    6. Scott E. Harrington, 2011. "Insurance Regulation and the Dodd-Frank Act," NFI Policy Briefs 2011-PB-01, Indiana State University, Scott College of Business, Networks Financial Institute.

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