Jacob Gyntelberg

University of Copenhagen - Department of Economics

External Assessor

Øster Farimagsgade 5, Bygn 26

Copenhagen, 1353

Denmark

Jyske Bank A/S

http://https://www.jyskebank.dk

  • University of Copenhagen - Department of Economics

  • Jyske Bank A/S

SCHOLARLY PAPERS

26

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TOTAL CITATIONS
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Top 8,419

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99

Scholarly Papers (26)

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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, University of Copenhagen - Department of Economics and Bank for International Settlements (BIS)
Downloads 1,581 (24,180)
Citation 5

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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), University of Copenhagen - Department of Economics, 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 1,376 (29,779)
Citation 1

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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
University of Copenhagen - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 987 (48,081)
Citation 1

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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 University of Copenhagen - Department of Economics
Downloads 949 (50,748)
Citation 1

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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
University of Copenhagen - Department of Economics and Bank for International Settlements (BIS)
Downloads 677 (79,559)
Citation 6

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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
University of Copenhagen - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 596 (93,622)

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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, University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 510 (113,694)
Citation 33

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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
University of Copenhagen - Department of Economics, Bruegel and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 476 (123,491)
Citation 3

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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
University of Copenhagen - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 453 (131,032)
Citation 1

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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 University of Copenhagen - Department of Economics
Downloads 283 (220,202)

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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, University of Copenhagen - Department of Economics and affiliation not provided to SSRN
Downloads 275 (226,716)
Citation 1

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Non-deliverable forwards, currency markets, Asia, Australia

12.

The Asian Crisis: What Did Local Stock Markets Expect?

Downloads 263 (237,223)
Citation 1

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
University of Copenhagen - Department of Economics, Bruegel and Bank for International Settlements (BIS)
Downloads 156 (384,885)
Citation 1

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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, University of Copenhagen - Department of Economics and Bank for International Settlements (BIS)
Downloads 107 (519,883)

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

13.

Liquidity in Government Versus Covered Bond Markets

Downloads 224 (277,704)
Citation 10

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, University of Copenhagen - Department of Economics and Danish Central Bank
Downloads 113 (498,972)

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

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, University of Copenhagen - Department of Economics and affiliation not provided to SSRN
Downloads 111 (505,785)
Citation 10

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

14.

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

Downloads 216 (287,550)
Citation 8

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
University of Copenhagen - Department of Economics, Bank for International Settlements (BIS), University of Basel and Bank for International Settlements (BIS)
Downloads 130 (446,973)

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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
University of Copenhagen - Department of Economics, Bank for International Settlements (BIS), University of Basel and Bank for International Settlements (BIS)
Downloads 86 (602,652)
Citation 8

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

15.

A Primer on the Cost of Capital for Banks

Number of pages: 48 Posted: 26 Nov 2024
Jens Dick-Nielsen, Jacob Gyntelberg and Christoffer Thimsen
Copenhagen Business School - Department of Finance, University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 208 (297,892)

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Bank regulation, Cost of capital, Capital requirements, Modigliani-Miller, Conservation of Risk

16.

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
University of Copenhagen - Department of Economics, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 206 (300,567)
Citation 10

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

17.

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
University of Copenhagen - Department of Economics and Bank for International Settlements (BIS)
Downloads 205 (301,931)

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18.

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
University of Copenhagen - Department of Economics, Bank for International Settlements (BIS), University of Basel and Bank for International Settlements (BIS)
Downloads 203 (304,750)
Citation 3

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

19.

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
University of Copenhagen - Department of Economics, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 164 (368,850)
Citation 7

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

20.

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 University of Copenhagen - Department of Economics
Downloads 150 (397,717)
Citation 1

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

21.

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
University of Copenhagen - Department of Economics, Bank for International Settlements (BIS) and Bank for International Settlements, Committee on the Global Financial System (CGFS)
Downloads 138 (424,937)
Citation 1

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22.

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
University of Copenhagen - Department of Economics, Swiss National Bank and affiliation not provided to SSRN
Downloads 126 (456,395)
Citation 1

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

23.

The Danish Mortgage Market

BIS Quarterly Review, March 2004
Number of pages: 16 Posted: 06 May 2012
Jacob Gyntelberg, Allen Frankel and Mattias Persson
University of Copenhagen - Department of Economics, Bank for International Settlements (BIS) and Sveriges Riksbank
Downloads 122 (467,929)
Citation 2

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Danish mortgage market, housing finance, callable mortgage bonds

24.

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
University of Copenhagen - Department of Economics and University of Copenhagen
Downloads 98 (548,708)
Citation 2

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

25.

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
University of Copenhagen - Department of Economics, Swiss National Bank and affiliation not provided to SSRN
Downloads 70 (667,054)
Citation 1

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

26.

A Short Rate Model With Cycles

Number of pages: 14 Posted: 26 Nov 2024
Jacob Gyntelberg and Frank Hansen
University of Copenhagen - Department of Economics and University of Copenhagen - Copenhagen University
Downloads 30 (945,282)

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