Stefan Avdjiev

Bank for International Settlements (BIS)

Centralbahnplatz 2

Basel, Basel-Stadt 4002

Switzerland

SCHOLARLY PAPERS

30

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3,491

SSRN CITATIONS
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Top 3,443

in Total Papers Citations

108

CROSSREF CITATIONS

233

Scholarly Papers (30)

1.

CoCos: A Primer

BIS Quarterly Review September 2013
Number of pages: 14 Posted: 16 Sep 2013
Bank for International Settlements (BIS), University of St. Gallen - I.VW-HSG and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 818 (31,405)
Citation 39

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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
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 356 (89,894)
Citation 12

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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 281 (117,026)
Citation 3

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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
Bank for International Settlements (BIS), University of Chicago Booth School of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 258 (127,578)
Citation 20

Abstract:

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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 and Patrick McGuire
Bank for International Settlements (BIS), University of Oxford - Oxford Centre for Global History and Bank for International Settlements (BIS)
Downloads 202 (161,685)
Citation 3

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

6.
Downloads 179 (180,484)
Citation 3

Coco Issuance and Bank Fragility

BIS Working Paper No. 678
Number of pages: 77 Posted: 11 Dec 2017
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 161 (198,001)

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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
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 16 (604,635)

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CoCo Issuance and Bank Fragility

CEPR Discussion Paper No. DP12418
Number of pages: 77 Posted: 06 Nov 2017
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 (713,984)
Citation 1
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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 135 (228,349)
Citation 3

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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 133 (231,111)
Citation 2

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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 75 (342,744)

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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 24 (549,681)
Citation 3

Abstract:

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credit cycles, external debt composition

10.

Tracking the International Footprints of Global Firms

BIS Quarterly Review, March 2018
Number of pages: 20 Posted: 13 Mar 2018
Bank for International Settlements (BIS), Central Bank of Ireland, Trinity College (Dublin) - Department of Economics and Bank for International Settlements (BIS)
Downloads 94 (295,654)
Citation 5

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11.

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 and Hyun Song Shin
Bank for International Settlements (BIS), University of Oxford - Oxford Centre for Global History and Bank for International Settlements (BIS)
Downloads 94 (295,654)
Citation 6

Abstract:

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capital flows, global liquidity, international currencies

12.

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 80 (326,672)
Citation 1

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

13.
Downloads 78 (331,469)
Citation 14

The Shifting Drivers of Global Liquidity

BIS Working Paper No. 644
Number of pages: 50 Posted: 21 Jun 2017
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of Italy
Downloads 41 (458,938)

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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
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of Italy
Downloads 25 (543,179)

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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
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of Italy
Downloads 12 (634,081)

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The Shifting Drivers of Global Liquidity

CEPR Discussion Paper No. DP12127
Number of pages: 49 Posted: 10 Jul 2017
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of Italy
Downloads 0
Citation 3
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Capital Flows, Global liquidity, international bank lending, international bond flows

Gross Capital Flows by Banks, Corporates, and Sovereigns

World Bank Policy Research Working Paper No. 8514
Number of pages: 108 Posted: 28 Aug 2018
Bank for International Settlements (BIS), University of Maryland - Department of Economics, University of Maryland and World Bank - Development Research Group (DECRG)
Downloads 32 (501,989)

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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
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 23 (556,335)
Citation 2

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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: 111 Posted: 30 Jan 2017
Bank for International Settlements (BIS), University of Maryland, University of Maryland - Department of Economics and World Bank - Development Research Group (DECRG)
Downloads 19 (583,809)

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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
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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15.

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 72 (346,925)
Citation 1

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

16.

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 66 (363,604)
Citation 1

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17.

Enhanced Data to Analyse International Banking

BIS Quarterly Review September 2015
Number of pages: 16 Posted: 18 Sep 2015
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 65 (366,459)
Citation 2

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18.

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 (378,472)
Citation 6

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

19.

International Prudential Policy Spillovers: A Global Perspective

BIS Working Paper No. 589
Number of pages: 28 Posted: 28 Oct 2016
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 50 (415,035)
Citation 1

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International banking, macroprudential measures, spillovers

20.

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 49 (418,665)
Citation 1

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

21.

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 48 (422,331)

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

22.

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
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Federal Reserve Bank of New York and Bank of Italy
Downloads 33 (484,717)

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Liquidity, Cross-Border Banks, Monetary Policy Transmission

23.

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 29 (504,884)

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

BIS Working Paper No. 737
Number of pages: 43 Posted: 23 Aug 2018
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 26 (536,777)
Citation 4

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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
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

25.

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 24 (533,158)

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

26.

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 23 (539,140)

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Monetary policy spillovers, Capital flows, Bank lending

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 22 (563,164)
Citation 3

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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

28.

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 20 (557,737)

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

29.

Global and Domestic Financial Cycles: Variations on a Theme

BIS Working Paper No. 864
Number of pages: 32 Posted: 15 May 2020
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 14 (596,079)

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

30.

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

BIS Working Paper No. 853
Number of pages: 25 Posted: 15 Apr 2020
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 8 (636,754)

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