Andrej Sokol

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

261

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

Gauging the Globe: The Bank's Approach to Nowcasting World GDP

Bank of England Quarterly Bulletin 2018 Q3
Number of pages: 10 Posted: 05 Dec 2018
Gene Kindberg-Hanlon and Andrej Sokol
World Bank and Bank of England
Downloads 60 (395,483)

Abstract:

Loading...

2.

Financial Shocks, Credit Spreads and the International Credit Channel

Bank of England Working Paper No. 693
Number of pages: 40 Posted: 17 Nov 2017
Ambrogio Cesa-Bianchi and Andrej Sokol
Bank of England and Bank of England
Downloads 41 (466,041)
Citation 2

Abstract:

Loading...

SVAR, Credit Channel, International Transmission, External Instruments, Sign Restrictions

3.

Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks

Bank of England Working Paper No. 822, September 2019
Number of pages: 30 Posted: 17 Sep 2019
Fernando Eguren Martin and Andrej Sokol
Bank of England and Bank of England
Downloads 40 (470,438)
Citation 1

Abstract:

Loading...

exchange rates, tail risks, financial conditions indices, global financial cycle, quantile regression

4.

A Bayesian VAR Benchmark for COMPASS

Bank of England Working Paper No. 583
Number of pages: 20 Posted: 25 Jan 2016
Silvia Domit, Francesca Monti and Andrej Sokol
Bank of England - Monetary Analysis, Bank of England and Bank of England
Downloads 33 (502,580)
Citation 2

Abstract:

Loading...

Forecasting, Bayesian VARs, macro-modelling

5.

Nowcasting with Large Bayesian Vector Autoregressions

ECB Working Paper No. 20202453
Number of pages: 30 Posted: 13 Aug 2020
European Central Bank, Centre for Economic Policy Research (CEPR), European Central Bank (ECB), Bank of England and European Central Bank
Downloads 31 (512,618)

Abstract:

Loading...

Big Data, business cycles, forecasting, mixed frequencies, real time, scenario analysis

6.

Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks

ECB Working Paper No. 2387
Number of pages: 29 Posted: 07 Apr 2020
Andrej Sokol and Fernando Eguren-Martin
Bank of England and affiliation not provided to SSRN
Downloads 28 (528,836)

Abstract:

Loading...

exchange rates, financial conditions indices, global financial cycle, quantile regression, tail risks

7.

Towards a New Monetary Theory of Exchange Rate Determination

Bank of England Working Paper No. 817, August 2019
Number of pages: 57 Posted: 30 Aug 2019
Bank of England, Bank of England, Bank of England and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 28 (528,836)
Citation 1

Abstract:

Loading...

bank lending, money creation, money demand, endogenous money, uncovered interest parity, exchange rate determination, international capital flows, gross capital flows