Ilhyock Shim

Bank for International Settlements (BIS)

78F, Two International Finance Centre

8 Finance Street, Central

Hong Kong, n/a n/a

Hong Kong

http://www.bis.org/author/ilhyock_shim.htm

SCHOLARLY PAPERS

37

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5,488

CITATIONS
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75

Scholarly Papers (37)

1.

What Can (Macro-) Prudential Policy do to Support Monetary Policy?

BIS Working Paper No. 242
Number of pages: 44 Posted: 16 Apr 2008
Claudio E. V. Borio and Ilhyock Shim
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 1,058 (19,495)
Citation 72

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financial stability, price stability, financial imbalances, macroprudential, financial regulation and supervision, monetary policy

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
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), Nordea Group, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, 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, Federal Reserve Board - Division of Monetary Affairs, 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 884 (25,397)
Citation 2

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3.

The Real Effects of Household Debt in the Short and Long Run

BIS Working Paper No. 607
Number of pages: 42 Posted: 27 Jan 2017
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 458 (60,719)
Citation 11

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household debt, consumption, cross-sectional autoregressive distributed lag model, output growth, threshold effect

The Impact of CDS Trading on the Bond Market: Evidence from Asia

Number of pages: 42 Posted: 04 Aug 2010 Last Revised: 17 Nov 2010
Ilhyock Shim and Haibin Zhu
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 126 (221,804)
Citation 3

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Credit default swaps, bond spreads, bond liquidity, CDS index, Asia

The Impact of CDS Trading on the Bond Market: Evidence from Asia

BIS Working Paper No. 332
Number of pages: 44 Posted: 03 Dec 2010
Ilhyock Shim and Haibin Zhu
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 113 (240,793)
Citation 10

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credit default swaps, bond spreads, bond liquidity, CDS index, Asia

5.

Sovereign Yields and the Risk-Taking Channel of Currency Appreciation

BIS Working Paper No. 538
Number of pages: 47 Posted: 19 Jan 2016
Boris Hofmann, Ilhyock Shim and Hyun Song Shin
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 203 (147,241)
Citation 35

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bond spread, capital flow, credit risk, emerging market, exchange rate

6.

Dynamic Prudential Regulation: Is Prompt Corrective Action Optimal?

BIS Working Paper No. 206
Number of pages: 64 Posted: 20 Sep 2007
Ilhyock Shim
Bank for International Settlements (BIS)
Downloads 199 (149,903)
Citation 22

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Bank Capital Regulation, Prompt Corrective Action, Risk-based Deposit Insurance Premium, Dynamic Contracts, Mechanism Design

7.

Corporate Credit Guarantees in Asia

BIS Quarterly Review, December 2006
Number of pages: 14 Posted: 18 Jun 2012
Ilhyock Shim
Bank for International Settlements (BIS)
Downloads 193 (154,381)
Citation 2

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8.

Credit Derivatives and Structured Credit: The Nascent Markets of Asia and the Pacific

BIS Quarterly Review, June 2008
Number of pages: 9 Posted: 15 Jul 2012
Eli M. Remolona and Ilhyock Shim
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 150 (192,262)
Citation 10

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9.
Downloads 149 (193,368)
Citation 1

A Model of the IMF as a Coinsurance Arrangement

BIS Working Paper No. 170, IMF Working Paper No. 04/219
Number of pages: 45 Posted: 20 Sep 2007
Ralph Chami, Sunil Sharma and Ilhyock Shim
International Monetary Fund (IMF), George Washington University - Elliott School of International Affairs and Bank for International Settlements (BIS)
Downloads 92 (277,390)
Citation 1

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IMF, moral hazard, coinsurance, samartian's dilemma, last word

A Model of the IMF as a Coinsurance Arrangement

IMF Working Paper No. 04/219
Number of pages: 45 Posted: 09 Feb 2006
Ralph Chami, Sunil Sharma and Ilhyock Shim
International Monetary Fund (IMF), George Washington University - Elliott School of International Affairs and Bank for International Settlements (BIS)
Downloads 35 (447,404)

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IMF, coinsurance arrangement, conditionality, moral hazard, Samaritan`s dilemma, King Lear`s dilemma

A Model of the Imf as a Coinsurance Arrangement

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 2, 2008-14
Number of pages: 43 Posted: 18 Dec 2010
Ralph Chami, Sunil Sharma and Ilhyock Shim
International Monetary Fund (IMF), George Washington University - Elliott School of International Affairs and Bank for International Settlements (BIS)
Downloads 12 (581,846)

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IMF, coinsurance arrangement, moral hazard, Samaritan?s dilemma, King Lear?s dilemma

A Model of the Imf as a Coinsurance Arrangement

Economics Discussion Paper No. 2007-26
Number of pages: 46 Posted: 29 Nov 2010
Ralph Chami, Sunil Sharma and Ilhyock Shim
International Monetary Fund (IMF), George Washington University - Elliott School of International Affairs and Bank for International Settlements (BIS)
Downloads 10 (595,277)

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IMF, coinsurance arrangement, moral hazard, Samaritan´s dilemma, King Lear´s dilemma

10.

Forbearance and Prompt Corrective Action

BIS Working Paper No. 177
Number of pages: 27 Posted: 20 Sep 2007
Narayana Kocherlakota and Ilhyock Shim
University of Minnesota - Twin Cities - Department of Economics and Bank for International Settlements (BIS)
Downloads 146 (196,528)
Citation 18

Abstract:

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risky collateral, limited enforcement, banking regulation, optimal social contract

11.

Asset Managers in Emerging Market Economies

BIS Quarterly Review September 2014
Number of pages: 16 Posted: 01 Oct 2014
Ken Miyajima and Ilhyock Shim
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 139 (204,484)
Citation 11

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12.

Development of Asia-Pacific Corporate Bond and Securitisation Markets

BIS Paper No. 63c
Number of pages: 10 Posted: 15 Feb 2012
Ilhyock Shim
Bank for International Settlements (BIS)
Downloads 137 (206,894)

Abstract:

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local currency bonds, corporate bonds, off-shore bond markets, credit derivatives, structured credits

13.

Policy Responses to Dislocations in the FX Swap Market: The Experience of Korea

BIS Quarterly Review, June 2010
Number of pages: 11 Posted: 13 Aug 2012
Naohiko Baba and Ilhyock Shim
Bank of Japan - Financial Markets Department and Bank for International Settlements (BIS)
Downloads 134 (210,581)
Citation 25

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14.
Downloads 128 (218,340)
Citation 7

Distress Selling and Asset Market Feedback

BIS Working Paper No. 229
Number of pages: 55 Posted: 25 Sep 2007
Ilhyock Shim and Goetz von Peter
Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 117 (234,673)
Citation 6

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Financial distress, distress selling, asset market feedback, banking crises, financial instability

Distress Selling and Asset Market Feedback

Financial Markets, Institutions & Instruments, Vol. 16, Issue 5, pp. 243-291, December 2007
Number of pages: 49 Posted: 27 Nov 2007
Ilhyock Shim and Goetz von Peter
Bank for International Settlements (BIS) and Bank for International Settlements - Research and Policy Analysis
Downloads 11 (588,601)
Citation 2
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15.

Investor Redemptions and Fund Manager Sales of Emerging Market Bonds: How are They Related?

BIS Working Paper No. 509
Number of pages: 52 Posted: 25 Aug 2015
Jimmy Shek, Ilhyock Shim and Hyun Song Shin
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 120 (229,261)
Citation 14

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Emerging market, sudden stop, financial crisis, global liquidity reversal, investor redemption

16.

Comparative Assessment of Macroprudential Policies

BIS Working Paper No. 502
Number of pages: 56 Posted: 12 Jun 2015
Valentina Bruno, Ilhyock Shim and Hyun Song Shin
American University - Department of Finance and Real Estate, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 117 (233,583)
Citation 37

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macroprudential policy, capital flow management policy, interest rate policy, complementarity, Asia-Pacific

17.

Redemption Risk and Cash Hoarding by Asset Managers

BIS Working Paper No. 608
Number of pages: 47 Posted: 01 Feb 2017
Stephen Morris, Ilhyock Shim and Hyun Song Shin
Princeton University - Department of Economics, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 110 (244,141)
Citation 6

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asset manager, bond market liquidity, cash hoarding, global game, investor redemption, strategic complementarity

18.

Database for Policy Actions on Housing Markets

BIS Quarterly Review, September 2013
Number of pages: 13 Posted: 28 Apr 2014
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 110 (244,141)
Citation 30

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19.

The Rise of Regional Banking in Asia and the Pacific

BIS Quarterly Review September 2015
Number of pages: 16 Posted: 18 Sep 2015
Eli M. Remolona and Ilhyock Shim
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 85 (289,320)
Citation 3

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20.

The Beneficial Aspect of FX Volatility for Market Liquidity

BIS Working Paper No. 629
Number of pages: 39 Posted: 29 Apr 2017
Jakree Koosakul and Ilhyock Shim
Bank of Thailand - Financial Markets Department and Bank for International Settlements (BIS)
Downloads 78 (304,542)

Abstract:

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asset price volatility, foreign exchange market, investor type, market liquidity, nonlinear effect

21.

Volatility Contagion Across the Equity Markets of Developed and Emerging Market Economies

ADBI Working Paper 590
Number of pages: 24 Posted: 13 Sep 2016 Last Revised: 08 Feb 2017
Masazumi Hattori, Ilhyock Shim and Yoshi Sugihara
Hitotsubashi University, Bank for International Settlements (BIS) and Bank of Japan
Downloads 73 (316,523)

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equity market, equity fund flow, cross-equity market, spillover effects, global financial crisis, financial market volatility, variance risk premium, emerging market economies, eurozone, interest rate, nonparametric analysis, ordinary least squares, OLS, univariate, market correlation, regression an

22.

Exchange Rate Appreciations and Corporate Risk Taking

BIS Working Paper No. 710
Number of pages: 41 Posted: 28 Mar 2018
Sebnem Kalemli-Ozcan, Xiaoxi Liu and Ilhyock Shim
University of Maryland - Department of Economics, The Chinese University of Hong Kong (CUHK) and Bank for International Settlements (BIS)
Downloads 70 (326,348)
Citation 1

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capital flows, exchange rates, FX borrowing, firm heterogeneity, firm leverage

23.

Effectiveness of Macroprudential and Capital Flow Measures in Asia and the Pacific

BIS Paper No. 82k
Number of pages: 8 Posted: 19 Oct 2015
Valentina Bruno, Ilhyock Shim and Hyun Song Shin
American University - Department of Finance and Real Estate, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 65 (336,852)

Abstract:

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banking inflow, bond inflow, domestic macroprudential measure, capital flow measure

24.

Dislocations in the Won-Dollar Swap Markets During the Crisis of 2007-09

BIS Working Paper No. 344
Number of pages: 36 Posted: 08 Jun 2011
Ilhyock Shim and Naohiko Baba
Bank for International Settlements (BIS) and Bank of Japan - Financial Markets Department
Downloads 62 (345,039)
Citation 7

Abstract:

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FX swap, cross-currency swap, regime switching, EGARCH model, foreign reserves

25.
Downloads 61 (347,835)
Citation 2

The Macroeconomic Effects of Macroprudential Policy

BIS Working Paper No. 740
Number of pages: 50 Posted: 13 Sep 2018
Björn Richter, Moritz Schularick and Ilhyock Shim
University of Bonn - Department of Economics, University of Bonn - Department of Economics and Bank for International Settlements (BIS)
Downloads 38 (434,368)

Abstract:

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macroprudential policy, loan-to-value ratios, local projections, narrative approach

The Macroeconomic Effects of Macroprudential Policy

HKIMR Working Paper No.18/2018, August, 2018
Number of pages: 48 Posted: 04 Sep 2018
Björn Richter, Moritz Schularick and Ilhyock Shim
University of Bonn - Department of Economics, University of Bonn - Department of Economics and Bank for International Settlements (BIS)
Downloads 23 (511,118)
Citation 3

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macroprudential policy, loan-to-value ratios, local projections, narrative approach

26.

Bond Risk Premia and the Exchange Rate

BIS Working Paper No. 775
Number of pages: 35 Posted: 19 Mar 2019
Boris Hofmann, Ilhyock Shim and Hyun Song Shin
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 52 (375,207)

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Bond Spread, Capital Flow, Credit Risk, Emerging Market, Exchange Rate

27.

Household Credit in Asia-Pacific

BIS Paper No. 91e
Number of pages: 16 Posted: 29 Apr 2017
Moritz Schularick and Ilhyock Shim
University of Bonn - Department of Economics and Bank for International Settlements (BIS)
Downloads 45 (398,879)

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Credit growth, financial stability, monetary policy, macroprudential policy

28.

Can Non-Interest Rate Policies Stabilise Housing Markets? Evidence from a Panel of 57 Economies

BIS Working Paper No. 433
Number of pages: 43 Posted: 27 Feb 2014
Kenneth N. Kuttner and Ilhyock Shim
Williams College and Bank for International Settlements (BIS)
Downloads 44 (402,419)
Citation 34

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House prices, housing credit, financial stability, macroprudential policy

29.

Correlations Across Asia-Pacific Bond Markets and the Impact of Capital Flow Measures

BIS Working Paper No. 472
Number of pages: 111 Posted: 09 Dec 2014
Pornpinun Chantapacdepong and Ilhyock Shim
Bank of Thailand - Monetary Policy Group and Bank for International Settlements (BIS)
Downloads 42 (409,742)
Citation 3

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Bond flow, bond return, cross-market correlation, capital flow measure

30.

Financial Development and the Effectiveness of Macroprudential Measures

BIS Paper No. 86o
Number of pages: 14 Posted: 05 Oct 2016
Government of the Republic of Turkey - Central Bank of the Republic of Turkey, University of London - Imperial College, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 30 (459,258)

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31.

Cross-Stock Market Spillovers Through Variance Risk Premiums and Equity Flows

BIS Working Paper No. 702
Number of pages: 60 Posted: 14 Feb 2018
Masazumi Hattori, Ilhyock Shim and Yoshi Sugihara
Hitotsubashi University, Bank for International Settlements (BIS) and Bank of Japan
Downloads 29 (464,017)

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cross-stock market correlation, emerging market economy, equity fund flow, variance risk premium

32.

Foreword to: Financial Systems and the Real Economy

BIS Paper No. 91 (Foreword)
Number of pages: 4 Posted: 29 Apr 2017
Ilhyock Shim
Bank for International Settlements (BIS)
Downloads 25 (484,620)

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33.

Discussant Remarks on Andrew Felton and Joseph B Nichols' Paper 'Commercial Real Estate Loan Performance at Failed US Banks'

BIS Paper No. 64e
Number of pages: 4 Posted: 19 Jun 2012
Ilhyock Shim
Bank for International Settlements (BIS)
Downloads 18 (524,217)

Abstract:

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34.

Can Non-Interest Rate Policies Stabilize Housing Markets? Evidence from a Panel of 57 Economies

NBER Working Paper No. w19723
Number of pages: 57 Posted: 13 Dec 2013
Kenneth N. Kuttner and Ilhyock Shim
Williams College and Bank for International Settlements (BIS)
Downloads 11 (565,295)
Citation 30

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35.

The Role of Different Institutional Investors in Asia-Pacific Bond Markets during the Taper Tantrum

BIS Paper No. 102m
Number of pages: 30 Posted: 22 May 2019
Johnson College of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 10 (571,393)

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Asia-Pacific, asset managers, fixed income investment, institutional investors, taper tantrum

36.

Financial Stress in Lender Countries and Capital Outflows from Emerging Market Economies

BIS Working Paper No. 745
Number of pages: 45 Posted: 30 Oct 2018
Ilhyock Shim and Kwanho Shin
Bank for International Settlements (BIS) and Korea University
Downloads 8 (583,611)

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capital outflows, cross-border claims, emerging market economies, financial stress, local claims

The Costs of Macroprudential Policy

NBER Working Paper No. w24989
Number of pages: 47 Posted: 17 Sep 2018
Björn Richter, Moritz Schularick and Ilhyock Shim
University of Bonn - Department of Economics, University of Bonn - Department of Economics and Bank for International Settlements (BIS)
Downloads 5 (629,656)
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The Costs of Macroprudential Policy

CEPR Discussion Paper No. DP13124
Number of pages: 50 Posted: 21 Aug 2018
Björn Richter, Moritz Schularick and Ilhyock Shim
University of Bonn - Department of Economics, University of Bonn - Department of Economics and Bank for International Settlements (BIS)
Downloads 1 (671,314)
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loan-to-value ratios, local projections, macroprudential policy, narrative approach