Johannes Breckenfelder

European Central Bank (ECB) - Financial Research

Economist

Sonnemannstrasse 20

D-60314 Frankfurt am Main

Germany

http://johannesbreckenfelder.eu/

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 17,808

SSRN RANKINGS

Top 17,808

in Total Papers Downloads

3,529

SSRN CITATIONS
Rank 9,680

SSRN RANKINGS

Top 9,680

in Total Papers Citations

57

CROSSREF CITATIONS

75

Scholarly Papers (9)

Competition among High-Frequency Traders, and Market Quality

NYU Stern Microstructure Meeting 2013
Number of pages: 53 Posted: 14 May 2013 Last Revised: 21 Apr 2020
Johannes Breckenfelder
European Central Bank (ECB) - Financial Research
Downloads 1,084 (24,666)
Citation 34

Abstract:

Loading...

high-frequency trading, competition, high-frequency trading strategies, tick size reform

Competition Among High-Frequency Traders, and Market Quality

ECB Working Paper No. 2290 (2019); ISBN 978-92-899-3552-4
Number of pages: 56 Posted: 12 Jun 2019
Johannes Breckenfelder
European Central Bank (ECB) - Financial Research
Downloads 123 (283,938)

Abstract:

Loading...

high-frequency trading, competition, high-frequency trading strategies, tick size reform

2.

The ECB's Asset Purchase Programme: An Early Assessment

ECB Working Paper No. 1956
Number of pages: 62 Posted: 19 Sep 2016
Federal Reserve Banks - Federal Reserve Bank of Boston, European Central Bank (ECB) - Financial Research, Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) - Directorate General Research and European Central Bank (ECB)
Downloads 665 (49,291)
Citation 22

Abstract:

Loading...

Unconventional Monetary Policy, Reanchoring Inflation Expectations, Transmission of Large-Scale Asset Purchases

3.
Downloads 572 ( 59,748)
Citation 7

Sovereign to Corporate Risk Spillovers

Journal of Money, Credit and Banking, Vol. 50 (5), 857-891
Number of pages: 61 Posted: 02 Jul 2012 Last Revised: 25 Apr 2019
Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler
McGill University, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 478 (74,021)

Abstract:

Loading...

bailout, contagion, credit risk, Greece, risk transmission

Sovereign to Corporate Risk Spillovers

ECB Working Paper No. 1878
Number of pages: 58 Posted: 18 Jan 2016
Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler
McGill University, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 94 (342,278)
Citation 6

Abstract:

Loading...

bailout, contagion, credit risk, Greece, risk transmission

4.

Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off

Number of pages: 46 Posted: 01 May 2011 Last Revised: 26 Jun 2012
Johannes Breckenfelder and Roméo Tédongap
European Central Bank (ECB) - Financial Research and ESSEC Business School
Downloads 452 (79,950)
Citation 3

Abstract:

Loading...

realized variance, realized semivariance, stock market return predictability, asymmetric realized volatility, variance risk premium, high-frequency data, equilibrium asset pricing

Bank to Sovereign Risk Spillovers Across Borders: Evidence from the ECB's Comprehensive Assessment

Journal of Empirical Finance, Vol. 49, 2018
Number of pages: 42 Posted: 29 May 2015 Last Revised: 25 Apr 2019
Johannes Breckenfelder and Bernd Schwaab
European Central Bank (ECB) - Financial Research and European Central Bank (ECB) - Directorate General Research
Downloads 272 (139,976)
Citation 4

Abstract:

Loading...

bank-sovereign nexus, risk spillovers, stress test, European Central Bank, Comprehensive Assessment

Bank to Sovereign Risk Spillovers Across Borders: Evidence from the ECB's Comprehensive Assessment

ECB Working Paper No. 2193
Number of pages: 46 Posted: 07 Nov 2018
Johannes Breckenfelder and Bernd Schwaab
European Central Bank (ECB) - Financial Research and European Central Bank (ECB) - Directorate General Research
Downloads 14 (705,926)
Citation 7

Abstract:

Loading...

bank-sovereign nexus, risk spillovers, stress test, European Central Bank, Comprehensive Assessment

6.

The (Re)allocation of Bank Risk

Columbia Business School Research Paper Forthcoming
Number of pages: 48 Posted: 24 Aug 2019
Geert Bekaert and Johannes Breckenfelder
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Financial Research
Downloads 163 (226,079)
Citation 3

Abstract:

Loading...

bank risk, security holdings, portfolio rebalancing

7.

Bank Balance Sheet Constraints and Bond Liquidity

Number of pages: 49 Posted: 11 Jun 2021 Last Revised: 13 Jun 2021
Johannes Breckenfelder and Victoria Ivashina
European Central Bank (ECB) - Financial Research and Harvard University
Downloads 98 (334,952)

Abstract:

Loading...

Bond liquidity; market-making; capital requirements; leverage ratio; mutual funds; COVID-19

8.

Do Non-Banks Need Access to the Lender of Last Resort? Evidence from Mutual Fund Runs

Number of pages: 40 Posted: 11 May 2021 Last Revised: 24 Aug 2021
Johannes Breckenfelder, Niklas Grimm and Marie Hoerova
European Central Bank (ECB) - Financial Research, European Central Bank, Financial Research Division and European Central Bank (ECB)
Downloads 85 (361,408)

Abstract:

Loading...

Mutual funds, COVID-19 liquidity crisis, lender of last resort, central bank liquidity provision, asset purchases

9.

Bank Balance Sheet Constraints and Bond Liquidity

ECB Working Paper No. 20212589
Number of pages: 53 Posted: 24 Sep 2021
Johannes Breckenfelder and Victoria Ivashina
European Central Bank (ECB) - Financial Research and Harvard University
Downloads 1

Abstract:

Loading...

Bond liquidity, capital requirements, COVID-19, leverage ratio, market-making, mutual funds