Jacob Gyntelberg

European Banking Authority

20 avenue André Prothin CS 30154

92927 Paris, La Défense CEDEX E14 5AA

France

University of Copenhagen - Department of Economics

External Assessor

Øster Farimagsgade 5, Bygn 26

Copenhagen, 1353

Denmark

  • European Banking Authority

  • University of Copenhagen - Department of Economics

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 8,227

SSRN RANKINGS

Top 8,227

in Total Papers Downloads

9,753

SSRN CITATIONS
Rank 7,772

SSRN RANKINGS

Top 7,772

in Total Papers Citations

37

CROSSREF CITATIONS

169

Scholarly Papers (24)

Actions:
Email selected abstracts
1.

Central Counterparties for Over-the-Counter Derivatives

BIS Quarterly Review, September 2009
Number of pages: 14 Posted: 02 Aug 2012
Stephen G. Cecchetti, Stephen G. Cecchetti, Jacob Gyntelberg and Marc Hollanders
National Bureau of Economic Research (NBER)Brandeis International Business School, European Banking Authority and Bank for International Settlements (BIS)
Downloads 1,558 (20,831)
Citation 5

Abstract:

Loading...

2.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
Jaime Caruana, Andrew J. Filardo, Jason George, Anella Munro, Mico Loretan, Guonan Ma, Ilhyock Shim, Philip D. Wooldridge, James Yetman, Haibin Zhu, Jacob Gyntelberg, Eric Ho Pan Chan, Hans Genberg, Eli M. Remolona, Suresh M. Sundaresan, Susan Black, Joseph Yam, Charles M. Engel, Michael B. Devereux, Charles Goodhart, Don H. Kim, Eloisa T. Glindro, Jessica Szeto, Masaaki Shirakawa, Tarisa Watanagase, Zeti Akhtar Aziz and Amando Tetangco Jr
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), European Banking Authority, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia University - Columbia Business School, Finance, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Board of Governors of the Federal Reserve System, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas
Downloads 1,316 (26,794)
Citation 1

Abstract:

Loading...

3.

Risk in Carry Trades: A Look at Target Currencies in Asia and the Pacific

BIS Quarterly Review, December 2007
Number of pages: 10 Posted: 07 Jul 2012
Jacob Gyntelberg and Eli M. Remolona
European Banking Authority and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 965 (41,905)
Citation 1

Abstract:

Loading...

4.

CDS Index Tranches and the Pricing of Credit Risk Correlations

BIS Quarterly Review, March 2005
Number of pages: 16 Posted: 20 May 2012
Jeffery D. Amato and Jacob Gyntelberg
Goldman Sachs International and European Banking Authority
Downloads 883 (47,346)
Citation 1

Abstract:

Loading...

CDS Index Tranches, asset pricing, credit risk correlation

5.

Interbank Rate Fixings during the Recent Turmoil

BIS Quarterly Review, March 2008
Number of pages: 14 Posted: 10 Jul 2012
Jacob Gyntelberg and Philip D. Wooldridge
European Banking Authority and Bank for International Settlements (BIS)
Downloads 655 (70,496)
Citation 5

Abstract:

Loading...

6.

FX Strategies in Periods of Distress

BIS Quarterly Review, December 2011
Number of pages: 12 Posted: 05 Sep 2012
Jacob Gyntelberg and Andreas Schrimpf
European Banking Authority and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 569 (84,022)

Abstract:

Loading...

7.

The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts

Journal of Finance, Forthcoming
Number of pages: 95 Posted: 16 Apr 2019 Last Revised: 22 Oct 2021
Jens Dick-Nielsen, Jacob Gyntelberg and Christoffer Thimsen
Copenhagen Business School - Department of Finance, European Banking Authority and Aarhus University - Department of Economics and Business Economics
Downloads 496 (99,564)
Citation 13

Abstract:

Loading...

Bank funding; Cost of equity; Total cost of capital; Capital requirements; Government subsidies.

8.

Corporate Bond Markets in Asia

BIS Quarterly Review, December 2005
Number of pages: 11 Posted: 31 May 2012
Jacob Gyntelberg, Guonan Ma and Eli M. Remolona
European Banking Authority, Bruegel and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 460 (109,028)
Citation 3

Abstract:

Loading...

Corporate bond marrket, Asia

9.

Securitisation in Asia and the Pacific: Implications for Liquidity and Credit Risks

BIS Quarterly Review, June 2006
Number of pages: 12 Posted: 08 Jun 2012
Jacob Gyntelberg and Eli M. Remolona
European Banking Authority and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 439 (115,128)
Citation 1

Abstract:

Loading...

Securitisation, Asia, liquidity, credit risk

10.

The Role of Government-Supported Housing Finance Agencies in Asia

BIS Quarterly Review, December 2006
Number of pages: 13 Posted: 17 Jun 2012
Eric Ho Pan Chan, Michael Richard Llywelyn Davies and Jacob Gyntelberg
Bank for International Settlements (BIS), Bank for International Settlements, Committee on the Global Financial System (CGFS) and European Banking Authority
Downloads 271 (194,623)

Abstract:

Loading...

11.

Forward Currency Markets in Asia: Lessons from the Australian Experience

BIS Quarterly Review, September 2006
Number of pages: 12 Posted: 11 Jun 2012
Guy Debelle, Jacob Gyntelberg and Michael Plumb
Reserve Bank of Australia, European Banking Authority and affiliation not provided to SSRN
Downloads 263 (200,558)
Citation 1

Abstract:

Loading...

Non-deliverable forwards, currency markets, Asia, Australia

12.

The OTC Interest Rate Derivatives Market in 2013

BIS Quarterly Review, December 2013
Number of pages: 14 Posted: 28 Apr 2014
Jacob Gyntelberg and Christian Upper
European Banking Authority and Bank for International Settlements (BIS)
Downloads 196 (265,127)

Abstract:

Loading...

13.

The Asian Crisis: What Did Local Stock Markets Expect?

Downloads 190 (272,717)
Citation 2

The Asian Crisis: What Did Local Stock Markets Expect?

BIS Working Paper No. 261
Number of pages: 21 Posted: 27 Jan 2009
Jacob Gyntelberg, Alicia García-Herrero and Andrea Tesei
European Banking Authority, Bruegel and Bank for International Settlements (BIS)
Downloads 110 (424,934)
Citation 1

Abstract:

Loading...

Asian crisis, currency crisis, information content of local equity prices

The Asian Crisis: What Did Local Stock Markets Expect?

BIS Working Papers No. 261, BBVA Working Paper No. 0807
Number of pages: 17 Posted: 07 Sep 2009
Alicia García-Herrero, Jacob Gyntelberg and Andrea Tesei
Bruegel, European Banking Authority and Bank for International Settlements (BIS)
Downloads 80 (525,706)

Abstract:

Loading...

Asian crisis, currency crisis, information content of local equity market prices

14.

Liquidity in Government Versus Covered Bond Markets

Downloads 188 (275,293)
Citation 4

Liquidity in Government Versus Covered Bond Markets

BIS Working Paper No. 392
Number of pages: 29 Posted: 21 Dec 2012
Jens Dick-Nielsen, Jacob Gyntelberg and Thomas Sangill
Copenhagen Business School - Department of Finance, European Banking Authority and affiliation not provided to SSRN
Downloads 94 (474,744)
Citation 10

Abstract:

Loading...

Bond Market Liquidity, Government Bonds, Covered Bonds, Price Impact

Liquidity in Government Versus Covered Bond Markets

BIS Working Paper No. 392
Number of pages: 30 Posted: 05 Jan 2013
Jens Dick-Nielsen, Jacob Gyntelberg and Thomas Sangill
Copenhagen Business School - Department of Finance, European Banking Authority and Danish Central Bank
Downloads 94 (474,744)

Abstract:

Loading...

Bond Market Liquidity, Government Bonds, Covered Bonds, Price Impact

15.

Intraday Dynamics of Euro Area Sovereign CDS and Bonds

BIS Working Paper No. 423
Number of pages: 87 Posted: 27 Feb 2014
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 186 (277,858)
Citation 2

Abstract:

Loading...

Sovereign credit risk, credit default swaps, price discovery, intraday

16.

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

Downloads 185 (279,162)
Citation 5

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

BIS Working Paper No. 631
Number of pages: 45 Posted: 29 Apr 2017
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 107 (433,636)

Abstract:

Loading...

Sovereign credit risk, credit default swaps, price discovery, regime switch, intraday, arbitrage, transaction costs

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

Number of pages: 33 Posted: 09 Nov 2016
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 78 (533,875)
Citation 7

Abstract:

Loading...

sovereign credit risk, credit default swaps, price discovery, regime switch, intraday, arbitrage, transaction costs

17.

International Portfolio Rebalancing and Exchange Rate Fluctuations in Thailand

BIS Working Paper No. 287
Number of pages: 19 Posted: 27 Aug 2009
Jacob Gyntelberg, Mico Loretan, Tientip Subhanij and Eric Ho Pan Chan
European Banking Authority, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 185 (279,162)
Citation 10

Abstract:

Loading...

foreign exchange market, capital flows, Thailand, equity market, nonresident investors, portfolio rebalancing

18.

Private Information, Stock Markets, and Exchange Rates

BIS Working Paper No. 271
Number of pages: 29 Posted: 29 Jul 2009
Jacob Gyntelberg, Mico Loretan, Tientip Subhanij and Eric Ho Pan Chan
European Banking Authority, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 154 (326,808)
Citation 7

Abstract:

Loading...

Exchange rate models, market microstructure approach, asymmetric information, Thailand, generated regressors, impulse response functions, I(1) measurement error

19.

Safe and Liquid Mortgage Bonds: The Match Funding Principle

Number of pages: 66 Posted: 22 Dec 2015 Last Revised: 03 Nov 2016
Jens Dick-Nielsen and Jacob Gyntelberg
Copenhagen Business School - Department of Finance and European Banking Authority
Downloads 133 (367,145)
Citation 1

Abstract:

Loading...

Mortgage bonds, Covered bonds, Housing crisis, Market design, Banking regulation, Financial intermediation

20.

Housing Finance Agencies in Asia

BIS Working Paper No. 241
Number of pages: 54 Posted: 15 Apr 2008
Jacob Gyntelberg, Eric Ho Pan Chan and Michael Richard Llywelyn Davies
European Banking Authority, Bank for International Settlements (BIS) and Bank for International Settlements, Committee on the Global Financial System (CGFS)
Downloads 130 (373,538)

Abstract:

Loading...

21.

The Danish Mortgage Market

BIS Quarterly Review, March 2004
Number of pages: 16 Posted: 06 May 2012
Jacob Gyntelberg, Allen Frankel and Mattias Persson
European Banking Authority, Bank for International Settlements (BIS) and Sveriges Riksbank
Downloads 110 (422,632)
Citation 1

Abstract:

Loading...

Danish mortgage market, housing finance, callable mortgage bonds

22.

Subjective Expected Utility Theory with 'Small Worlds'

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 09-26
Number of pages: 27 Posted: 18 Dec 2009
Jacob Gyntelberg and Frank Hansen
European Banking Authority and University of Copenhagen
Downloads 84 (505,173)
Citation 2

Abstract:

Loading...

subjective expected utility, decision making under uncertainty, uncertainty aversion, Ellsberg paradox

23.

Private Information, Capital Flows, and Exchange Rates

IMF Working Paper No. 12/213
Number of pages: 29 Posted: 01 Nov 2012
Jacob Gyntelberg, Mico Loretan and Subhanij Tientip
European Banking Authority, Swiss National Bank and affiliation not provided to SSRN
Downloads 80 (520,022)
Citation 1

Abstract:

Loading...

Order Flow, Private Information, Exchange Rate Models, Market Microstructure, Capital Flows, Exchange Rates, Foreign Investment, Stock Markets, Economic Models

24.

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand

IMF Working Paper No. 12/214
Number of pages: 20 Posted: 01 Nov 2012
Jacob Gyntelberg, Mico Loretan and Subhanij Tientip
European Banking Authority, Swiss National Bank and affiliation not provided to SSRN
Downloads 57 (622,356)
Citation 1

Abstract:

Loading...

Capital Flows, Equity Market, Portfolio Rebalancing, Exchange Rates, Stock Markets, Exchange Rate Appreciation