Egon Zakrajsek

Bank for International Settlements (BIS)

Centralbahnplatz 2

Basel, Basel-Stadt 4002

Switzerland

SCHOLARLY PAPERS

35

DOWNLOADS
Rank 14,221

SSRN RANKINGS

Top 14,221

in Total Papers Downloads

4,398

SSRN CITATIONS
Rank 452

SSRN RANKINGS

Top 452

in Total Papers Citations

1,032

CROSSREF CITATIONS

1,076

Scholarly Papers (35)

1.

Capital Requirements, Business Loans, and Business Cycles: An Empirical Analysis of the Standardized Approach in the New Basel Capital Accord

Number of pages: 48 Posted: 14 Dec 2001
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 578 (59,618)
Citation 4

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New Basel Capital Accord, standardized approach, C&I loans, business cycles

2.

Interest Rate Risk and Bank Equity Valuations

FEDS Working Paper No. 2012-26
Number of pages: 47 Posted: 09 May 2012
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 504 (70,820)
Citation 47

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FOMC announcements, interest rate surprises, maturity transformation, bank profitability

3.
Downloads 294 (131,000)
Citation 55

Changes in Bank Lending Standards and the Macroeconomy

Number of pages: 38 Posted: 10 Feb 2011 Last Revised: 27 Apr 2012
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 198 (192,672)
Citation 22

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bank credit channel, broad credit channel, financial accelerator, loan supply shocks

Changes in Bank Lending Standards and the Macroeconomy

FEDS Working Paper No. 2012-24
Number of pages: 41 Posted: 09 May 2012
Board of Governors of the Federal Reserve System, Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 96 (340,722)
Citation 31

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Credit supply shocks, bank credit policies, financial accelerator

4.

Inventory Dynamics and Business Cycles: What Has Changed?

FEDS Working Paper No. 2003-26, FRB of New York Staff Report No. 156
Number of pages: 43 Posted: 02 Sep 2003
Egon Zakrajsek and Jonathan McCarthy
Bank for International Settlements (BIS) and Federal Reserve Bank of New York - Research Department
Downloads 291 (132,427)
Citation 14

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Inventories, inventory management, business cycles, GDP volatility

5.

Purchasing Power Parity: Three Stakes Through the Heart of the Unit Root Null

FRB of New York Staff Report Working Paper No. 80
Number of pages: 45 Posted: 27 Sep 1999
Matthew Higgins and Egon Zakrajsek
Independent and Bank for International Settlements (BIS)
Downloads 278 (138,813)
Citation 19

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6.

The Magnitude and Cyclical Behavior of Financial Market Frictions

Number of pages: 39 Posted: 28 Jan 2005
Andrew T. Levin, Fabio M. Natalucci and Egon Zakrajsek
affiliation not provided to SSRN, U.S. Federal Reserve Board - Division of Monetary Affairs and Bank for International Settlements (BIS)
Downloads 251 (153,922)
Citation 60

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External finance premium, bankruptcy costs, financial accelerator

7.
Downloads 234 (164,751)
Citation 48

Credit-Market Sentiment and the Business Cycle

FEDS Working Paper No. 2015-028r1, http://dx.doi.org/10.17016/FEDS.2015.028r1
Number of pages: 57 Posted: 24 May 2015
David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Harvard University - Department of Economics and Bank for International Settlements (BIS)
Downloads 130 (274,777)

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business cycles, credit-market sentiment, financial stability

Credit-Market Sentiment and the Business Cycle

FEDS Working Paper No. 2015-28
Number of pages: 57 Posted: 11 Jan 2017
David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Harvard University - Department of Economics and Bank for International Settlements (BIS)
Downloads 85 (368,158)
Citation 1

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Business cycles, Credit-market sentiment, Financial stability

Credit-Market Sentiment and the Business Cycle

NBER Working Paper No. w21879
Number of pages: 46 Posted: 20 Jan 2016 Last Revised: 14 Oct 2021
David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Harvard University - Department of Economics and Bank for International Settlements (BIS)
Downloads 19 (671,266)
Citation 31

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The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF

Number of pages: 37 Posted: 09 Sep 2020
Simon Gilchrist, Bin Wei, Zhanwei Yue and Egon Zakrajsek
New York University (NYU), Federal Reserve Bank of Atlanta, Emory University and Bank for International Settlements (BIS)
Downloads 131 (273,215)
Citation 3

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COVID-19, credit market support facilities, regression discontinuity, diff-in-diff, event study, purchase effects

The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the Smccf

NBER Working Paper No. w27809
Number of pages: 34 Posted: 14 Sep 2020 Last Revised: 27 Jun 2021
Simon Gilchrist, Bin Wei, Vivian Z. Yue and Egon Zakrajsek
New York University (NYU), Federal Reserve Bank of Atlanta, Emory University and Bank for International Settlements (BIS)
Downloads 42 (524,739)
Citation 1

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The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF

FRB Atlanta Working Paper No. 2020-18
Number of pages: 33 Posted: 20 Apr 2021
Simon Gilchrist, Bin Wei, Zhanwei Yue and Egon Zakrajsek
New York University (NYU), Federal Reserve Bank of Atlanta, Emory University and Bank for International Settlements (BIS)
Downloads 28 (604,588)

Abstract:

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COVID-19, credit market support facilities, regression discontinuity, diff-in-diff, event study, purchase effects

The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF

CEPR Discussion Paper No. DP15258
Number of pages: 36 Posted: 12 Sep 2020
Simon Gilchrist, Bin Wei, Zhanwei Yue and Egon Zakrajsek
New York University (NYU), Federal Reserve Bank of Atlanta, Emory University and Bank for International Settlements (BIS)
Downloads 1 (829,489)
Citation 4
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COVID-19, credit market support facilities, diff-in-diff, event study, purchase effects, Regression Discontinuity

Uncertainty, Financial Frictions, and Investment Dynamics

FEDS Working Paper No. 2014-69
Number of pages: 60 Posted: 01 Oct 2014
Simon Gilchrist, Jae Sim and Egon Zakrajsek
National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 125 (283,140)
Citation 6

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Time-varying volatility, asset specificity, capital liquidity shocks, costly external finance, firm heterogeneity, general equilibrium

Uncertainty, Financial Frictions, and Investment Dynamics

NBER Working Paper No. w20038
Number of pages: 60 Posted: 14 Apr 2014 Last Revised: 07 Oct 2021
Simon Gilchrist, Jae Sim and Egon Zakrajsek
National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 61 (443,859)
Citation 27

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10.
Downloads 168 (222,546)
Citation 91

Inflation Dynamics During the Financial Crisis

FEDS Working Paper No. 2015-012, http://dx.doi.org/10.17016/FEDS.2015.012
Number of pages: 53 Posted: 19 Apr 2015
National Bureau of Economic Research (NBER), Brandeis University, Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 157 (236,212)
Citation 3

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Deflation,Monetary policy,Prices, business fluctuations, cycles

Inflation Dynamics During the Financial Crisis

NBER Working Paper No. w22827
Number of pages: 61 Posted: 14 Nov 2016
National Bureau of Economic Research (NBER), Brandeis University, Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 11 (737,126)
Citation 49

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11.
Downloads 164 (227,072)
Citation 7

Us Monetary Policy and International Bond Markets

FEDS Working Paper No. 2018-014
Number of pages: 34 Posted: 18 Feb 2018 Last Revised: 29 Apr 2020
Simon Gilchrist, Vivian Z. Yue and Egon Zakrajsek
New York University (NYU), Emory University and Bank for International Settlements (BIS)
Downloads 157 (236,212)

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Conventional and unconventional US monetary policy, Financial spillovers, Sovereign yields and credit spreads

Us Monetary Policy and International Bond Markets

NBER Working Paper No. w26012
Number of pages: 35 Posted: 01 Jul 2019 Last Revised: 30 Jul 2021
Simon Gilchrist, Vivian Z. Yue and Egon Zakrajsek
New York University (NYU), Emory University and Bank for International Settlements (BIS)
Downloads 7 (771,325)
Citation 4

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12.

Microeconomic Inventory Adjustment: Evidence from U.S. Firm-Level Data

FRB of New York Staff Report No. 101
Number of pages: 39 Posted: 15 Sep 2000
Jonathan McCarthy and Egon Zakrajsek
Federal Reserve Bank of New York - Research Department and Bank for International Settlements (BIS)
Downloads 162 (229,485)
Citation 3

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inventories, (S,s) inventory policies, linear-quadratic model, business cycles

13.

Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach

International Journal of Forecasting, Forthcoming, FEDS Working Paper No. 2013-55
Number of pages: 44 Posted: 01 Nov 2013
Francisco Covas, Ben Rump and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 126 (280,260)
Citation 14

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Macroprudential regulation, stress tests, capital shortfalls, density forecasting, quantile autoregression, panel data

14.

Credit Spreads and Business Cycle Fluctuations

NBER Working Paper No. w17021
Number of pages: 37 Posted: 09 May 2011 Last Revised: 05 Jul 2021
Simon Gilchrist and Egon Zakrajsek
National Bureau of Economic Research (NBER) and Bank for International Settlements (BIS)
Downloads 112 (305,001)
Citation 215

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Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

FEDS Working Paper No. 2012-77
Number of pages: 52 Posted: 08 Jan 2013
Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER), Johns Hopkins University - Department of Economics and Bank for International Settlements (BIS)
Downloads 62 (440,152)
Citation 10

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Forecasting, real-time data, Bayesian Model Averaging, credit spreads

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

NBER Working Paper No. w16725
Number of pages: 41 Posted: 31 Jan 2011 Last Revised: 13 Sep 2021
Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER), Johns Hopkins University - Department of Economics and Bank for International Settlements (BIS)
Downloads 34 (567,477)
Citation 13

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Factor Supplies and Specialization in the World Economy

Federal Reserve Bank of New York Research Paper Series - Staff Report, No. 107
Number of pages: 51 Posted: 29 Sep 2006
James Harrigan and Egon Zakrajsek
University of Virginia - Department of Economics and Bank for International Settlements (BIS)
Downloads 61 (443,859)
Citation 2

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Factor Supplies and Specialization in the World Economy

NBER Working Paper No. w7848
Number of pages: 52 Posted: 13 Aug 2000 Last Revised: 13 Jun 2021
James Harrigan and Egon Zakrajsek
University of Virginia - Department of Economics and Bank for International Settlements (BIS)
Downloads 28 (604,588)

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17.

Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets

NBER Working Paper No. w14863
Number of pages: 50 Posted: 13 Apr 2009 Last Revised: 13 Aug 2021
Simon Gilchrist, Vladimir Yankov and Egon Zakrajsek
National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 87 (359,575)
Citation 38

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18.

Trade Exposure and the Evolution of Inflation Dynamics

FEDS Working Paper No. 2019-007
Number of pages: 46 Posted: 15 Feb 2019 Last Revised: 21 Feb 2019
Simon Gilchrist and Egon Zakrajsek
New York University (NYU) and Bank for International Settlements (BIS)
Downloads 78 (383,733)
Citation 2

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Inflation, Phillips curve, Trade share, Globalization

19.

Investment and the Cost of Capital: New Evidence from the Corporate Bond Market

NBER Working Paper No. w13174
Number of pages: 42 Posted: 27 Jun 2007 Last Revised: 02 Jul 2021
Simon Gilchrist and Egon Zakrajsek
National Bureau of Economic Research (NBER) and Bank for International Settlements (BIS)
Downloads 71 (404,542)
Citation 2

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The Macroeconomic Impact of Financial and Uncertainty Shocks

FRB International Finance Discussion Paper No. 1166
Number of pages: 44 Posted: 27 May 2016
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER) and Bank for International Settlements (BIS)
Downloads 46 (505,601)
Citation 43

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Time-varying uncertainty, Financial conditions, Structural vector autoregression, Optimization-based identification

The Macroeconomic Impact of Financial and Uncertainty Shocks

NBER Working Paper No. w22058
Number of pages: 43 Posted: 07 Mar 2016 Last Revised: 10 Oct 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER) and Bank for International Settlements (BIS)
Downloads 22 (647,992)
Citation 1

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21.

Microeconomic Inventory Adjustment and Aggregate Dynamics

BIS Working Paper No. 63, FRB of New York Staff Report No. 54
Number of pages: 53 Posted: 13 Dec 2005
Jonathan McCarthy and Egon Zakrajsek
Federal Reserve Bank of New York - Research Department and Bank for International Settlements (BIS)
Downloads 66 (420,590)
Citation 4

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Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

FEDS Working Paper No. 2014-39
Number of pages: 37 Posted: 07 Jun 2014
Simon Gilchrist, David Lopez-Salido and Egon Zakrajsek
National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 36 (556,098)

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Unconventional monetary policy, LSAPs, forward guidance, term premia, corporate bond yields, mortgage interest rates

Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

FEDS Working Paper No. 2014-03
Number of pages: 38 Posted: 05 Feb 2014
Simon Gilchrist, David Lopez-Salido and Egon Zakrajsek
National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 21 (655,651)
Citation 2

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Unconventional monetary policy, LSAPs, forward guidance, term premia, corporate bond yields, mortgage interest rates

Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

NBER Working Paper No. w20094
Number of pages: 37 Posted: 06 May 2014 Last Revised: 29 May 2021
Simon Gilchrist, David Lopez-Salido and Egon Zakrajsek
National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 6 (780,035)
Citation 29

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23.

Financial Heterogeneity and Monetary Union

FEDS Working Paper No. 2018-43
Number of pages: 58 Posted: 29 Jun 2018 Last Revised: 21 Feb 2019
New York University (NYU), Brandeis University, Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 62 (434,171)

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24.

Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs

FEDS Working Paper No. 2012-08
Number of pages: 21 Posted: 04 May 2012
Simon Gilchrist, Egon Zakrajsek and Jae Sim
National Bureau of Economic Research (NBER), Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 54 (463,400)
Citation 14

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Misallocation, financial market frictions, borrowing costs, firm-level evidence, total factor productivity, financial distortions, firms-specific borrowing costs

The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk

FEDS Working Paper No. 2013-56
Number of pages: 32 Posted: 04 Nov 2013
Simon Gilchrist and Egon Zakrajsek
National Bureau of Economic Research (NBER) and Bank for International Settlements (BIS)
Downloads 30 (591,441)

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credit default swap (CDS), default risk channel, LSAPs, quantitative easing, identification through heteroskedasticity

The Impact of the Federal Reserve&Apos;S Large-Scale Asset Purchase Programs on Corporate Credit Risk

NBER Working Paper No. w19337
Number of pages: 32 Posted: 17 Aug 2013 Last Revised: 03 May 2021
Simon Gilchrist and Egon Zakrajsek
National Bureau of Economic Research (NBER) and Bank for International Settlements (BIS)
Downloads 21 (655,651)
Citation 17

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26.

Trade Inventories

FRB of New York Staff Report No. 53
Number of pages: 47 Posted: 15 Oct 2006
Jonathan McCarthy and Egon Zakrajsek
Federal Reserve Bank of New York - Research Department and Bank for International Settlements (BIS)
Downloads 37 (538,445)

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27.

Misallocation and Financial Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs

NBER Working Paper No. w18550
Number of pages: 30 Posted: 20 Nov 2012 Last Revised: 09 Sep 2021
Simon Gilchrist, Jae Sim and Egon Zakrajsek
National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)
Downloads 13 (694,005)
Citation 1

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28.

Income Inequality and the Depth of Economic Downturns

Economics Letters (forthcoming)
Number of pages: 16 Posted: 26 May 2021
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 7 (741,114)

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consumption, income inequality, recessions, financial crises

29.

Inflation Dynamics During the Financial Crisis

FRB Atlanta CQER Working Paper No. 2015-4
Number of pages: 51 Posted: 09 Jul 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Bank for International Settlements (BIS)
Downloads 6 (749,149)
Citation 2

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30.

Uncertainty, Financial Frictions, and Investment Dynamics

FEDS Working Paper No. 2014-69
Posted: 09 Jul 2021
Simon Gilchrist, Jae W. Sim and Egon Zakrajsek
affiliation not provided to SSRN, affiliation not provided to SSRN and Bank for International Settlements (BIS)

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31.

Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs

FEDS Working Paper No. 2012-8
Posted: 09 Jul 2021
Simon Gilchrist, Jae W. Sim and Egon Zakrajsek
affiliation not provided to SSRN, affiliation not provided to SSRN and Bank for International Settlements (BIS)

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32.

Inflation Dynamics During the Financial Crisis

FEDS Working Paper No. 2015-12
Posted: 09 Jul 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Bank for International Settlements (BIS)

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33.

Updating the Recession Risk and the Excess Bond Premium

FEDS Notes No. 2016-10-06
Posted: 22 Oct 2016
Egon Zakrajsek, Kurt F. Lewis and Giovanni Favara
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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34.

Recession Risk and the Excess Bond Premium

FEDS Notes No. 2016-04-08
Posted: 17 Mar 2016
Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER), Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS)

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35.

Credit Risk and the Macroeconomy: Evidence from an Estimated DSGE Model

Posted: 21 Jun 2012
Simon Gilchrist, Alberto Ortiz and Egon Zakrajsek
National Bureau of Economic Research (NBER), Oberlin College and Bank for International Settlements (BIS)

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Credit spreads, financial accelerator, DSGE models, Bayesian estimation