Zijun Liu

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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1.

Credit Rating and Competition

22nd Australasian Finance and Banking Conference 2009, AFA 2011 Denver Meetings Paper
Number of pages: 44 Posted: 21 Mar 2010 Last Revised: 02 Aug 2012
Nelson Camanho, Pragyan Deb and Zijun Liu
School of Economics and Finance, Queen Mary University of London, International Monetary Fund (IMF) and Bank of England
Downloads 838 (29,068)
Citation 11

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Rating agencies, competition, reputation, repeated games, financial regulation

2.

Banking Sector Interconnectedness: What is it, How Can We Measure it and Why Does it Matter?

Bank of England Quarterly Bulletin 2015 Q2
Number of pages: 9 Posted: 20 Jun 2015
Zijun Liu, Stephanie Quiet and Benedict Roth
Bank of England, Bank of England and Bank of England
Downloads 162 (189,936)

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3.

A Counterparty Risk Study of UK Banking Systems

Number of pages: 45 Posted: 29 Apr 2015
Annika Birch, Zijun Liu and Tomaso Aste
University College London, Bank of England and University College London
Downloads 121 (240,067)
Citation 2

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Systemic risk, counterparty risk, complex system, data analysis, interbank networks

4.

How Trade Matching Forms in the Credit Default Swap Market

Number of pages: 43 Posted: 25 Sep 2015 Last Revised: 09 Feb 2019
Jun Sung Kim, Gerardo Ferrara, Bonsoo Koo and Zijun Liu
Monash University - Department of Econometrics & Business Statistics, Bank of England, Monash Business School and Bank of England
Downloads 116 (247,819)

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Credit default swap; Matching; Network formation; Financial network

5.

A Rational Bubbles Model and Application in Sub-Prime Mortgage Crisis

Number of pages: 50 Posted: 04 Aug 2009
Zijun Liu and Yiyi Wang
Bank of England and London School of Economics & Political Science (LSE)
Downloads 107 (262,265)

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bubbles, Ponzi Scheme, sub-prime mortgage

6.

An Agent-Based Model of Dynamics in Corporate Bond Trading

Bank of England Working Paper No. 592
Number of pages: 21 Posted: 20 Apr 2016
Karen Braun-Munzinger, Zijun Liu and Arthur Turrell
Bank of England, Bank of England and Bank of England
Downloads 92 (290,079)
Citation 13

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Agent-Based Model, Corporate Bond Market, Trading Strategies

7.

Systemic Illiquidity in the Interbank Network

Staff Working Paper No. 586
Number of pages: 41 Posted: 12 Apr 2016 Last Revised: 15 Aug 2017
Gerardo Ferrara, Sam Langfield, Zijun Liu and Tomohiro Ota
Bank of England, European Central Bank, Bank of England and Bank of England
Downloads 64 (357,721)
Citation 6

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Interbank network, systemic risk, liquidity regulation, macroprudential policy

8.

The Role of Collateral in Supporting Liquidity

Bank of England Working Paper No. 609
Number of pages: 21 Posted: 23 Aug 2016
Zijun Liu, Joseph Noss and Yuliya Baranova
Bank of England, Bank of England and Bank of England
Downloads 57 (378,989)

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Collateral, securities financing transactions, derivatives, regulation, liquidity

9.

What Drives Repo Haircuts? Evidence from the UK Market

Number of pages: 50 Posted: 22 Aug 2019
Christian Julliard, Zijun Liu, Seyed Esmaeil Seyedan, Karamfil Todorov and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Pacific Investment Management Company (PIMCO), London School of Economics & Political Science, Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 56 (382,224)

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repurchase agreement, systemic risk, repo market, margin, haircut, network analysis

10.

Competition, Premature Trading and Excess Volatility

Number of pages: 51 Posted: 15 Mar 2012 Last Revised: 26 Dec 2013
Pragyan Deb, Bonsoo Koo and Zijun Liu
International Monetary Fund (IMF), Monash Business School and Bank of England
Downloads 48 (409,109)

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Premature trading, Competition, Unverified Information, Excess Volatility

11.

Dealer Intermediation, Market Liquidity and the Impact of Regulatory Reform

Bank of England Working Paper No. 665
Number of pages: 28 Posted: 19 Jul 2017
Zijun Liu, Yuliya Baranova and Tamarah Shakir
Bank of England, Bank of England and Bank of England - Monetary Analysis
Downloads 42 (431,704)

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Regulation, market liquidity, dealer intermediation, corporate bonds, cost-benefit analysis

12.

Mapping the UK Interbank System

Bank of England Working Paper No. 516
Number of pages: 39 Posted: 29 Nov 2014
Sam Langfield, Zijun Liu and Tomohiro Ota
European Central Bank, Bank of England and Bank of England
Downloads 28 (494,583)
Citation 13

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Interbank markets, core-periphery, intermediation, financial networks, market microstructure

13.

Investor Cash Flow and Mutual Fund Behavior

The Manchester School, Vol. 83, Issue 1, pp. 56-71, 2015
Number of pages: 16 Posted: 27 Dec 2014
Xiangbo Liu, Zijun Liu and Zhigang Qiu
Renmin University of China, Bank of England and Hanqing Advanced Institute of Economics and Finance, Renmin University of China
Downloads 0 (691,280)
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Other Papers (1)

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1.

Credit Default Swaps - Default Risk, Counter-Party Risk and Systemic Risk

Posted: 05 Mar 2010 Last Revised: 03 Oct 2010
Zijun Liu
Bank of England

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Credit Default Swaps, Systemic Risk, Financial Crisis