Stefan Avdjiev

Bank for International Settlements (BIS)

Centralbahnplatz 2

Basel, Basel-Stadt 4002

Switzerland

  • Bank for International Settlements (BIS)

SCHOLARLY PAPERS

34

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236

Scholarly Papers (34)

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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 1,012 (31,606)
Citation 38

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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, SNB and Bank for International Settlements (BIS)
Downloads 395 (105,556)
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 379 (110,654)
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, SNB and Bank for International Settlements (BIS)
Downloads 299 (142,898)
Citation 49

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exchange rates, bank leverage, cross-currency basis

5.

Coco Issuance and Bank Fragility

Downloads 285 (150,195)
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 University - Columbia Business School, Economics, Emory University Goizueta Business School and University of St. Gallen - I.VW-HSG
Downloads 239 (178,296)

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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 2022
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 University - Columbia Business School, Economics, Emory University Goizueta Business School and University of St. Gallen - I.VW-HSG
Downloads 44 (562,804)
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 University - Columbia Business School, Economics, Emory University Goizueta Business School and University of St. Gallen - I.VW-HSG
Downloads 2 (912,281)
Citation 4
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Contingent convertible capital securities; Bail-in

6.

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 277 (154,552)
Citation 6

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

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 225 (189,220)
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 161 (254,700)
Citation 2

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9.

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 Puey Ungphakorn Institute for Economic Research, Bank of Thailand
Downloads 147 (275,651)
Citation 2

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

10.

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 133 (296,279)
Citation 6

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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, 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 120 (319,748)
Citation 10

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capital flows, global liquidity, international currencies

12.

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 118 (325,415)
Citation 2

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13.

External Debt Composition and Domestic Credit Cycles

Downloads 116 (327,435)
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 (422,380)

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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 37 (601,196)
Citation 12

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credit cycles, external debt composition

14.

Gross Capital Flows by Banks, Corporates and Sovereigns

Downloads 103 (355,110)
Citation 6

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 41 (578,754)
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

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 (589,753)

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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

NBER Working Paper No. w23116
Number of pages: 98 Posted: 30 Jan 2017 Last Revised: 28 Feb 2022
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 23 (698,382)

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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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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 102 (357,387)
Citation 1

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

16.

The Shifting Drivers of Global Liquidity

Downloads 90 (386,858)
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 45 (557,645)

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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 30 (645,567)

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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 15 (768,579)
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

17.

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 90 (386,858)
Citation 3

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18.

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 86 (397,767)
Citation 1

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

19.

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 84 (403,303)
Citation 1

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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), SNB, Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 79 (417,901)
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 64 (467,680)
Citation 6

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

22.

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 60 (482,776)
Citation 1

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

23.

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 58 (490,540)

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

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 47 (537,396)

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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 44 (551,750)

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Liquidity, Cross-Border Banks, Monetary Policy Transmission

26.

Measuring Contagion Risk in International Banking

Downloads 39 (577,055)

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 39 (589,753)
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.

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 31 (622,704)
Citation 1

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

28.

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 29 (635,375)

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

29.

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 28 (642,027)
Citation 1

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

30.

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

Downloads 27 (648,742)
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), SNB, Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 27 (667,009)
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), SNB, 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

31.

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 University of California, Santa Cruz
Downloads 27 (648,742)
Citation 5

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Monetary policy spillovers, Capital flows, Bank lending

32.

Banks’ Market Capital and the International Risk Taking Channel of Us Monetary Policy

Number of pages: 48 Posted: 07 Jul 2022
Stefan Avdjiev and José María Serena
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 5 (839,123)

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bank capital, international risk taking channel, US monetary policy, international leveraged loans

33.

Financial Openness and Inequality

CEPR Discussion Paper No. DP17279
Number of pages: 42 Posted: 27 May 2022
Stefan Avdjiev and Tsvetana Spasova
Bank for International Settlements (BIS) and University of Applied Sciences and Arts Northwestern Switzerland (FHNW)
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External liabilities, Financial openness, Foreign Direct Investments, Gini-based inequality measures

34.

Bank Opacity - Patterns and Implications

CEPR Discussion Paper No. DP17024
Number of pages: 48 Posted: 29 Mar 2022
Stefan Avdjiev and Maximilian Jager
Bank for International Settlements (BIS) and University of Mannheim - Department of Economics
Downloads 0 (905,910)
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Asset Markets, Asymmetric information, bank opacity, credit risk, event study