Stefan Avdjiev

Bank for International Settlements (BIS)

Centralbahnplatz 2

Basel, Basel-Stadt 4002

Switzerland

  • Bank for International Settlements (BIS)

SCHOLARLY PAPERS

31

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Scholarly Papers (31)

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1.

CoCos: A Primer

BIS Quarterly Review September 2013
Number of pages: 14 Posted: 16 Sep 2013
Stefan Avdjiev, Anastasia V. Kartasheva and Bilyana Bogdanova
Bank for International Settlements (BIS), University of St. Gallen - I.VW-HSG and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 950 (30,606)
Citation 35

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CoCo bonds, regulatory capital requirements, pricing, demand and supply

2.

The Dollar Exchange Rate as a Global Risk Factor: Evidence from Investment

BIS Working Paper No. 695
Number of pages: 43 Posted: 31 Jan 2018
Stefan Avdjiev, Valentina Bruno, Catherine Casanova and Hyun Song Shin
Bank for International Settlements (BIS), American University - Department of Finance and Real Estate, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 383 (98,002)
Citation 15

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financial channel, exchange rates, cross-border bank lending, real investment

3.

Non-Financial Corporations from Emerging Market Economies and Capital Flows

BIS Quarterly Review December 2014
Number of pages: 11 Posted: 11 Dec 2014
Stefan Avdjiev, Michael K.F. Chui and Hyun Song Shin
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 334 (114,275)
Citation 6

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4.

The Dollar, Bank Leverage and the Deviation from Covered Interest Parity

BIS Working Paper No. 592
Number of pages: 43 Posted: 16 Nov 2016
Stefan Avdjiev, Wenxin Du, Catherine Casanova and Hyun Song Shin
Bank for International Settlements (BIS), University of Chicago Booth School of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 276 (139,878)
Citation 49

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exchange rates, bank leverage, cross-currency basis

5.

Rapid Credit Growth and International Credit: Challenges for Asia

BIS Working Paper No. 377
Number of pages: 28 Posted: 19 Apr 2012
Stefan Avdjiev, Robert N. McCauley, Robert N. McCauley and Patrick McGuire
Bank for International Settlements (BIS), University of Oxford - Oxford Centre for Global HistoryBoston University, Global Development Policy Center and Bank for International Settlements (BIS)
Downloads 245 (157,596)
Citation 6

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international credit, credit booms, cross-border lending, emerging markets

6.

Coco Issuance and Bank Fragility

Downloads 236 (163,389)
Citation 9

Coco Issuance and Bank Fragility

BIS Working Paper No. 678
Number of pages: 77 Posted: 11 Dec 2017
Stefan Avdjiev, Bilyana Bogdanova, Patrick Bolton, Wei Jiang and Anastasia V. Kartasheva
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Department of Economics, Columbia Business School - Finance and Economics and University of St. Gallen - I.VW-HSG
Downloads 209 (183,193)

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CoCos, Contingent Convertible Capital, Bank Capital Regulation, Basel III

Coco Issuance and Bank Fragility

NBER Working Paper No. w23999
Number of pages: 75 Posted: 13 Nov 2017 Last Revised: 30 Jul 2021
Stefan Avdjiev, Bilyana Bogdanova, Patrick Bolton, Wei Jiang and Anastasia V. Kartasheva
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Department of Economics, Columbia Business School - Finance and Economics and University of St. Gallen - I.VW-HSG
Downloads 25 (625,522)
Citation 2

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CoCo Issuance and Bank Fragility

CEPR Discussion Paper No. DP12418
Number of pages: 77 Posted: 06 Nov 2017
Stefan Avdjiev, Bilyana Bogdanova, Patrick Bolton, Wei Jiang and Anastasia V. Kartasheva
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Department of Economics, Columbia Business School - Finance and Economics and University of St. Gallen - I.VW-HSG
Downloads 2 (816,301)
Citation 4
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Contingent convertible capital securities; Bail-in

7.

Cross-Border Bank Lending During the Taper Tantrum: The Role of Emerging Market Fundamentals

BIS Quarterly Review September 2014
Number of pages: 12 Posted: 01 Oct 2014
Stefan Avdjiev and Előd Takáts
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 179 (210,809)
Citation 4

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8.

The Euro Area Crisis and Cross-Border Bank Lending to Emerging Markets

BIS Quarterly Review December 2012
Number of pages: 11 Posted: 10 Apr 2013
Stefan Avdjiev, Zsolt Kuti and Előd Takáts
Bank for International Settlements (BIS), Independent and Bank for International Settlements (BIS)
Downloads 150 (244,716)
Citation 2

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9.

Tracking the International Footprints of Global Firms

BIS Quarterly Review, March 2018
Number of pages: 20 Posted: 13 Mar 2018
Stefan Avdjiev, Mary Everett, Philip R. Lane and Hyun Song Shin
Bank for International Settlements (BIS), Central Bank of Ireland, Trinity College (Dublin) - Department of Economics and Bank for International Settlements (BIS)
Downloads 117 (295,735)
Citation 6

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10.

Breaking Free of the Triple Coincidence in International Finance

BIS Working Paper No. 524
Number of pages: 41 Posted: 21 Oct 2015
Stefan Avdjiev, Robert N. McCauley, Robert N. McCauley and Hyun Song Shin
Bank for International Settlements (BIS), University of Oxford - Oxford Centre for Global HistoryBoston University, Global Development Policy Center and Bank for International Settlements (BIS)
Downloads 117 (295,735)
Citation 10

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capital flows, global liquidity, international currencies

11.

External Debt Composition and Domestic Credit Cycles

Downloads 114 (301,190)
Citation 4

External Debt Composition and Domestic Credit Cycles

BIS Working Paper No. 627
Number of pages: 46 Posted: 29 Apr 2017
Stefan Avdjiev, Stephan Binder and Ricardo Sousa
Bank for International Settlements (BIS), Independent and Independent
Downloads 79 (384,824)

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credit cycles, external debt composition

External Debt Composition and Domestic Credit Cycles

European Stability Mechanism Working Paper No. 28, ISBN: 978-92-95085-49-7
Number of pages: 53 Posted: 19 Mar 2018
Stefan Avdjiev, Stephan Binder and Ricardo Sousa
Bank for International Settlements (BIS), Independent and European Stability Mechanism
Downloads 35 (561,741)
Citation 12

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credit cycles, external debt composition

12.

Gross Capital Flows by Banks, Corporates, and Sovereigns

Downloads 93 (344,931)
Citation 6

Gross Capital Flows by Banks, Corporates, and Sovereigns

World Bank Policy Research Working Paper No. 8514
Number of pages: 108 Posted: 28 Aug 2018
Stefan Avdjiev, Sebnem Kalemli-Ozcan, Bryan James Hardy and Luis Servén
Bank for International Settlements (BIS), University of Maryland - Department of Economics, University of Maryland and World Bank - Development Research Group (DECRG)
Downloads 39 (540,058)

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Financial Structures, Macroeconomic Management, Investment and Investment Climate, International Trade and Trade Rules, Capital Markets and Capital Flows, Capital Flows

Gross Capital Flows by Banks, Corporates and Sovereigns

BIS Working Paper No. 760
Number of pages: 113 Posted: 07 Jan 2019
Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Ozcan and Luis Servén
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Maryland - Department of Economics and World Bank - Development Research Group (DECRG)
Downloads 34 (567,477)
Citation 7

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quarterly capital flows, business cycles, external corporate and bank debt, sovereign debt, VIX, systemic risk, emerging markets

Gross Capital Flows by Banks, Corporates and Sovereigns

NBER Working Paper No. w23116
Number of pages: 98 Posted: 30 Jan 2017 Last Revised: 30 Aug 2021
Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Ozcan and Luis Servén
Bank for International Settlements (BIS), University of Maryland, University of Maryland - Department of Economics and World Bank - Development Research Group (DECRG)
Downloads 20 (663,335)

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Gross Capital Inflows to Banks, Corporates and Sovereigns

CEPR Discussion Paper No. DP11806
Number of pages: 109 Posted: 30 Jan 2017 Last Revised: 11 Jun 2018
Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Ozcan and Luis Servén
Bank for International Settlements (BIS), University of Maryland, University of Maryland - Department of Economics and World Bank - Development Research Group (DECRG)
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13.

Global and Domestic Financial Cycles: Variations on a Theme

BIS Working Paper No. 864
Number of pages: 32 Posted: 15 May 2020
Iñaki Aldasoro, Stefan Avdjiev, Claudio E. V. Borio and Piti Disyatat
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 91 (349,723)
Citation 2

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global financial cycle, financial cycle, business cycle, capital flows

14.

Monetary Policy Spillovers and Currency Networks in Cross-Border Bank Lending

BIS Working Paper No. 549
Number of pages: 36 Posted: 18 Mar 2016
Stefan Avdjiev and Előd Takáts
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 91 (349,723)
Citation 1

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Currency networks, cross-border banking flows, international monetary policy spillovers

15.

The Shifting Drivers of Global Liquidity

Downloads 85 (364,821)
Citation 21

The Shifting Drivers of Global Liquidity

BIS Working Paper No. 644
Number of pages: 50 Posted: 21 Jun 2017
Stefan Avdjiev, Leonardo Gambacorta, Linda S. Goldberg, Stefano Schiaffi and Stefano Schiaffi
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of ItalyBank of Italy
Downloads 43 (519,859)

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Global liquidity, international bank lending, international bond flows, capital flows

The Shifting Drivers of Global Liquidity

FRB of NY Staff Report No. 819
Number of pages: 49 Posted: 04 Jul 2017
Stefan Avdjiev, Leonardo Gambacorta, Linda S. Goldberg, Stefano Schiaffi and Stefano Schiaffi
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of ItalyBank of Italy
Downloads 28 (604,588)

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global liquidity, international bank lending, international bond flows, capital flows

The Shifting Drivers of Global Liquidity

NBER Working Paper No. w23565
Number of pages: 46 Posted: 10 Jul 2017 Last Revised: 23 May 2021
Stefan Avdjiev, Leonardo Gambacorta, Linda S. Goldberg, Stefano Schiaffi and Stefano Schiaffi
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of ItalyBank of Italy
Downloads 14 (711,602)
Citation 3

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The Shifting Drivers of Global Liquidity

CEPR Discussion Paper No. DP12127
Number of pages: 49 Posted: 10 Jul 2017
Stefan Avdjiev, Leonardo Gambacorta, Linda S. Goldberg, Stefano Schiaffi and Stefano Schiaffi
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of ItalyBank of Italy
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Citation 10
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Capital Flows, Global liquidity, international bank lending, international bond flows

16.

International Dimensions of Eme Corporate Debt

BIS Quarterly Review, June 2020
Number of pages: 13 Posted: 12 Jun 2020
Stefan Avdjiev, Patrick McGuire and Goetz von Peter
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 82 (372,734)
Citation 2

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17.

Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations

BIS Working Paper No. 323
Number of pages: 61 Posted: 30 Oct 2010 Last Revised: 03 Nov 2013
Stefan Avdjiev and Nathan S. Balke
Bank for International Settlements (BIS) and Southern Methodist University (SMU) - Department of Economics
Downloads 82 (372,734)
Citation 1

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Asset Pricing, Stochastic Volatility, Long-Run Risks, Bayesian MCMC Methods

18.

The ECB's QE and Euro Cross-Border Bank Lending

BIS Quarterly Review September 2016
Number of pages: 15 Posted: 05 Oct 2016
Stefan Avdjiev, Agne Subelyte and Előd Takáts
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 77 (386,650)
Citation 1

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19.

Enhanced Data to Analyse International Banking

BIS Quarterly Review September 2015
Number of pages: 16 Posted: 18 Sep 2015
Stefan Avdjiev, Patrick McGuire and Philip D. Wooldridge
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 73 (398,410)
Citation 3

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20.

International Prudential Policy Spillovers: A Global Perspective

BIS Working Paper No. 589
Number of pages: 28 Posted: 28 Oct 2016
Stefan Avdjiev, Catherine Casanova, Patrick McGuire and Goetz von Peter
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 67 (417,244)
Citation 4

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International banking, macroprudential measures, spillovers

21.

News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models

BIS Working Paper No. 358
Number of pages: 61 Posted: 19 Nov 2011 Last Revised: 15 May 2014
Stefan Avdjiev
Bank for International Settlements (BIS)
Downloads 61 (437,670)
Citation 6

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News Driven Business Cycles, Asset Prices, Estimated DSGE Models, Bayesian MCMC Methods

22.

Gauging Procyclicality and Financial Vulnerability in Asia Through the BIS Banking and Financial Statistics

BIS Working Paper No. 735
Number of pages: 35 Posted: 25 Jul 2018
Stefan Avdjiev, Bat-el Berger and Hyun Song Shin
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 57 (452,216)

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Asian Financial Crisis, international bank lending, procyclicality, financial stability

23.

Credit Growth, Monetary Policy, and Economic Activity in a Three-Regime TVAR Model

BIS Working Paper No. 449
Number of pages: 41 Posted: 23 Jun 2014
Stefan Avdjiev and Zheng Zeng
Bank for International Settlements (BIS) and Bowling Green State University, Department of Economics
Downloads 53 (467,296)
Citation 1

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threshold vector autoregression, regime switching, nonlinearity, business-cycle asymmetry, credit shock

24.

Following the Imprint of the ECB's Asset Purchase Programme on Global Bond and Deposit Flows

BIS Quarterly Review, March 2019
Number of pages: 13 Posted: 07 Mar 2019
Stefan Avdjiev, Mary Everett and Hyun Song Shin
Bank for International Settlements (BIS), Central Bank of Ireland and Bank for International Settlements (BIS)
Downloads 41 (518,986)

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25.

The Shifting Drivers of Global Liquidity (Presentation Slides)

Presentation at Conference on Systemic Risk and the Organization of the Financial System, Chapman University, May 12, 2017
Number of pages: 53 Posted: 05 Oct 2017
Stefan Avdjiev, Leonardo Gambacorta, Linda S. Goldberg, Stefano Schiaffi and Stefano Schiaffi
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of ItalyBank of Italy
Downloads 39 (528,615)

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Liquidity, Cross-Border Banks, Monetary Policy Transmission

26.

Measuring Contagion Risk in International Banking

Downloads 36 (543,584)

Measuring Contagion Risk in International Banking

BIS Working Paper No. 796
Number of pages: 40 Posted: 12 Aug 2019
Stefan Avdjiev, Paolo Giudici and Alessandro Spelta
Bank for International Settlements (BIS), University of Pavia and University of Pavia - Department of Economics and Management
Downloads 36 (556,098)
Citation 5

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international banking, contagion risk, multi-layer networks, tensor decompositions

Measuring Contagion Risk in International Banking

Posted: 04 Aug 2018
Stefan Avdjiev, Paolo Giudici and A. Spelta
Bank for International Settlements (BIS), University of Pavia and Independent

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Banking, Contagion Risk, Multi-Layer Networks, Tensor Decompositions

27.

What Drives Local Lending by Global Banks?

BIS Working Paper No. 746
Number of pages: 64 Posted: 30 Oct 2018
Stefan Avdjiev, Uluc Aysun and Ralf Hepp
Bank for International Settlements (BIS), University of Connecticut and Fordham University - Fordham College at Rose Hill
Downloads 27 (594,576)
Citation 1

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bankscope, G-SIB, bank-level data, global banks, BIS international banking statistics

28.

Transmission of Monetary Policy Through Global Banks: Whose Policy Matters?

Downloads 27 (594,576)
Citation 5

Transmission of Monetary Policy Through Global Banks: Whose Policy Matters?

BIS Working Paper No. 737
Number of pages: 43 Posted: 23 Aug 2018
Stefan Avdjiev, Catherine Casanova, Patrick McGuire and Goetz von Peter
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 27 (611,300)
Citation 5

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International banking, dollar lending, global funding currency, monetary policy transmission, international spillovers

Transmission of Monetary Policy Through Global Banks: Whose Policy Matters?

Journal of International Money and Finance, Vol 89, December 2018 DOI/10.1016/j.jimonfin.2018.08.013
Posted: 09 Apr 2019
Stefan Avdjiev, Catherine Casanova, Patrick McGuire and Goetz von Peter
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis

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International banking; Currencies; Monetary policy transmission; International spillovers

29.

U.S. Monetary Policy and Fluctuations of International Bank Lending

BIS Working Paper No. 730
Number of pages: 43 Posted: 22 Jun 2018
Stefan Avdjiev and Galina Hale
Bank for International Settlements (BIS) and Federal Reserve Bank of San Francisco
Downloads 27 (594,576)
Citation 5

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Monetary policy spillovers, Capital flows, Bank lending

30.

The Social Value of Policy Signals

BIS Working Paper No. 386
Number of pages: 37 Posted: 02 Oct 2012
Stefan Avdjiev, Patrick McGuire and Nikola A. Tarashev
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 26 (601,011)

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optimal disclosure, endogenous public signal, strategic complementarity, private information

31.

Home Sweet Host: Prudential and Monetary Policy Spillovers Through Global Banks

BIS Working Paper No. 853
Number of pages: 25 Posted: 15 Apr 2020
Stefan Avdjiev, Bryan Hardy, Patrick McGuire and Goetz von Peter
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 20 (642,218)
Citation 1

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international banking, prudential policy, international policy coordination and transmission, currencies, international spillovers