Filip Zikes

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

12

DOWNLOADS

1,252

SSRN CITATIONS
Rank 24,872

SSRN RANKINGS

Top 24,872

in Total Papers Citations

22

CROSSREF CITATIONS

19

Scholarly Papers (12)

1.
Downloads 274 (179,333)
Citation 4

Identifying Contagion in a Banking Network

Bank of England Working Paper No. 642
Number of pages: 33 Posted: 24 Jan 2017
University of Oxford - Said Business School, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 104 (411,666)
Citation 2

Abstract:

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contagion, counterparty risk, credit default swaps, networks

Identifying Contagion in a Banking Network

FEDS Working Paper No. 2017-082
Number of pages: 37 Posted: 07 Sep 2017
University of Oxford - Said Business School, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 95 (438,246)

Abstract:

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Contagion, Counterparty risk, Credit default swaps, Networks

Identifying Contagion in a Banking Network

Saïd Business School WP 2016-37
Number of pages: 37 Posted: 16 Jun 2017
University of Oxford - Said Business School, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 75 (507,515)
Citation 3

Abstract:

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Contagion, Counterparty Risk, Credit Default Swaps, Networks

2.

Systemic Risk in Derivatives Markets: A Pilot Study Using CDS Data

Bank of England Financial Stability Paper No. 38
Number of pages: 22 Posted: 15 Jul 2016
Robleh Ali, Nicholas Vause and Filip Zikes
Bank of England, Bank of England and Board of Governors of the Federal Reserve System
Downloads 198 (244,926)
Citation 9

Abstract:

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systemic risk, derivatives, CDS data

3.

Liquidity Determinants in the UK Gilt Market

Bank of England Working Paper No. 600
Number of pages: 47 Posted: 07 May 2016
Evangelos Benos and Filip Zikes
Bank of England and Board of Governors of the Federal Reserve System
Downloads 146 (318,030)
Citation 5

Abstract:

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Gilt market, market liquidity, funding liquidity, inter-dealer trading, competition

4.

When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence From Equity and Foreign Exchange Markets

The Review of Financial Studies
Number of pages: 88 Posted: 20 Dec 2021 Last Revised: 22 Dec 2022
Mohammad R. Jahan-Parvar and Filip Zikes
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 127 (354,246)

Abstract:

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Liquidity, effective spreads, transaction costs

5.

Funding Constraints and Liquidity in Two-Tiered OTC Markets

Journal of Financial Markets, Forthcoming
Number of pages: 42 Posted: 13 Dec 2017 Last Revised: 14 Dec 2017
Evangelos Benos and Filip Zikes
Bank of England and Board of Governors of the Federal Reserve System
Downloads 106 (403,669)
Citation 5

Abstract:

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gilt market, liquidity, inter-dealer trading

6.

When Do Low-Frequency Measures Really Measure Transaction Costs?

FEDS Working Paper No. 2019-051
Number of pages: 70 Posted: 17 Jul 2019
Mohammad R. Jahan-Parvar and Filip Zikes
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 104 (409,084)

Abstract:

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Liquidity Risk, Transaction Costs, Volatility

7.

Banks as Regulated Traders

FEDS Working Paper No. 2019-005R1
Number of pages: 85 Posted: 11 Feb 2019 Last Revised: 18 Aug 2021
Antonio Falato, Diana Iercosan and Filip Zikes
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 86 (462,902)
Citation 1

Abstract:

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Bank trading, Regulation, risk exposures, Systemic risk

8.

The Evolution of Price Discovery in an Electronic Market

FEDS Working Paper No. 2020-51
Number of pages: 41 Posted: 25 Jun 2020
Alain Chaboud, Erik Hjalmarsson and Filip Zikes
Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 73 (509,141)
Citation 6

Abstract:

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9.

Measuring Transaction Costs in the Absence of Timestamps

FEDS Working Paper No. 2017-045
Number of pages: 48 Posted: 18 Apr 2017
Filip Zikes
Board of Governors of the Federal Reserve System
Downloads 49 (618,252)

Abstract:

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Effective spread, Simulated method of moments, Time-varying estimation, Transaction costs

10.

Liquidity Provision and Co-Insurance in Bank Syndicates

Number of pages: 59 Posted: 18 Nov 2021 Last Revised: 16 Sep 2022
Independent, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 45 (640,249)

Abstract:

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G21, G18, L14

11.

Liquidity Provision and Co-Insurance in Bank Syndicates

FEDS Working Paper No. 2021-60
Number of pages: 59 Posted: 29 Sep 2021
Independent, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 44 (646,120)

Abstract:

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Liquidity insurance, Liquidity regulation, Interbank networks, Syndicated credit lines

12.

Household and Business Debt: A Fire-Sale Risk Analysis

FEDS Notes No. 2021-02-01-1
Posted: 09 Feb 2021
Board of Governors of the Federal Reserve System, Independent, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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