Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department

Chief Representative for Asia and the Pacific

IFC 2 Bldg, 78/F

Central

Hong Kong

Hong Kong

SCHOLARLY PAPERS

42

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CITATIONS
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231

Scholarly Papers (42)

1.

What Moves the Bond Market?

Economic Policy Review, Vol. 3, No. 4, December 1997
Number of pages: 20 Posted: 24 Sep 2007
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,476 (11,698)
Citation 84

Abstract:

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bonds, U.S. Treasury Market

2.

The Credit Spread Puzzle

BIS Quarterly Review, December 2003
Number of pages: 14 Posted: 29 Apr 2012
Jeffery D. Amato and Eli M. Remolona
Goldman Sachs International and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,074 (19,175)
Citation 65

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3.

The Price Impact of Rating Announcements: Which Announcements Matter?

BIS Working Paper No. 207
Number of pages: 31 Posted: 20 Sep 2007
Marian Micu, Eli M. Remolona and Philip D. Wooldridge
Swiss Re, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 1,060 (19,533)
Citation 29

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Credit default swaps, credit ratings, event study, market reaction

4.

A Ratings-Based Approach to Measuring Sovereign Risk

International Journal of Finance and Economics, 2008, vol. 13, no. 1, pp. 26-39
Number of pages: 26 Posted: 15 Feb 2007 Last Revised: 21 May 2015
Eli M. Remolona, Michela Scatigna and Eliza Wu
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and The University of Sydney - Business School
Downloads 1,017 (20,774)
Citation 15

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Sovereign credit ratings, country risk, expected loss, sovereign debt, emerging markets

5.

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 887 (25,407)
Citation 2

Abstract:

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6.

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
Nordea Group and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 820 (28,387)
Citation 18

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7.

The Pricing of Unexpected Credit Losses

BIS Working Paper No. 190
Number of pages: 46 Posted: 20 Sep 2007
Jeffery D. Amato and Eli M. Remolona
Goldman Sachs International and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 608 (42,501)
Citation 23

Abstract:

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credit spread puzzle, jump-at-default risk, Sharpe ratio, collateralised debt obligation

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

Number of pages: 21 Posted: 09 Mar 1999
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 598 (42,877)
Citation 226

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Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

Journal of Finance
Posted: 09 Mar 1999
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract:

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9.

The Term Structure of Announcement Effects

BIS Working Paper No. 71
Number of pages: 36 Posted: 13 Dec 2005
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 540 (49,559)
Citation 48

Abstract:

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Announcements, Term structure, Expectations

10.

Interpreting Sovereign Spreads

BIS Quarterly Review, March 2007
Number of pages: 13 Posted: 19 Jun 2012
Eli M. Remolona, Michela Scatigna and Eliza Wu
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and The University of Sydney - Business School
Downloads 473 (58,619)
Citation 20

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Local Currency Bond Markets and the Asian Bond Fund 2 Initiative

BIS Paper No. 63f
Number of pages: 27 Posted: 15 Feb 2012 Last Revised: 05 Oct 2013
Eric Chan, Michael K.F. Chui, Frank Packer and Eli M. Remolona
affiliation not provided to SSRN, Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 154 (189,175)
Citation 5

Abstract:

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Bond markets, yield curve, derivatives, market liquidity

12.

Market Returns and Mutual Fund Flows

Economic Policy Review, Vol. 3, No. 2, July 1997
Number of pages: 20 Posted: 19 Nov 2007
Eli M. Remolona, Paul Kleiman and Debbie Gruenstein Bocain
Bank for International Settlements (BIS) - Monetary and Economic Department, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 360 (81,169)
Citation 7

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instrumental variables, returns, flows

13.

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
Nordea Group and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 358 (81,709)

Abstract:

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Securitisation, Asia, liquidity, credit risk

14.

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
Nordea Group, Bruegel and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 335 (88,162)
Citation 17

Abstract:

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Corporate bond marrket, Asia

15.

Uncovering Inflation Expectations and Risk Premiums from Internationally Integrated Financial Markets

EFA 0209; Bank of Canada Working Paper No. 99-6
Number of pages: 39 Posted: 18 Nov 1999
Ben S. C. Fung, Scott Mitnick and Eli M. Remolona
Bank of Canada, Independent and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 285 (105,205)
Citation 8

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16.

Price Discovery in a Market Under Stress: The U.S. Treasury Market in Fall 1998

EFA 2003 Annual Conference Paper No. 558, FRB Chicago Working Paper No. 2005-06
Number of pages: 49 Posted: 06 Aug 2003
Craig Furfine and Eli M. Remolona
Kellogg School of Management - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 260 (115,846)
Citation 5

Abstract:

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price discovery, liquidity, depth, market makers, treasury

17.

Information Flows During the Asian Crisis: Evidence from Closed-End Funds

EFMA 2001 Lugano Meetings, BIS Working Paper No. 97
Number of pages: 58 Posted: 13 Dec 2005
Benjamin H. Cohen and Eli M. Remolona
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 250 (120,673)
Citation 10

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A Three-Factor Econometric Model of the U.S. Term Structure

FRB of New York Staff Report No. 19
Number of pages: 54 Posted: 17 Nov 2006
Eli M. Remolona
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 226 (133,052)

Abstract:

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term structure, pricing kernel, affine yields, mean reversion, time-varying mean, Kalman filter

A Three-Factor Econometric Model of the U.S. Term Structure

Federal Reserve Bank of New York Staff Report No. 19
Posted: 22 Feb 1998
Frank F. Gong and Eli M. Remolona
Bank of America - Bank of America, Hong Kong and Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract:

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19.

The Changing Shape of Fixed Income Markets

BIS Working Paper No. 104
Number of pages: 51 Posted: 13 Dec 2005
Eli M. Remolona and Philip D. Wooldridge
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 208 (144,494)
Citation 1

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20.

Why Do Firms Issue Abroad? Lessons from Onshore and Offshore Corporate Bond Finance in Asian Emerging Markets

BIS Working Paper No. 401
Number of pages: 51 Posted: 12 Apr 2013
Paul Mizen, Frank Packer, Eli M. Remolona and Serafeim Tsoukas
University of Nottingham, Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and University of Glasgow
Downloads 173 (170,968)
Citation 7

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bond financing, offshore markets, derivatives, capital structure, emerging markets, market depth, Asian bond markets

Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements

FRB of New York Staff Report No. 27
Number of pages: 55 Posted: 11 Nov 2006
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 169 (174,679)
Citation 10

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Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements

Federal Reserve Bank of New York Staff Reports Number 27
Posted: 14 Jan 1998
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract:

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22.

What Was the Market's View of U.K. Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

FRB of New York Staff Report No. 57
Number of pages: 45 Posted: 15 Oct 2006
Eli M. Remolona, Michael Wickens and Frank F. Gong
Bank for International Settlements (BIS) - Monetary and Economic Department, University of Cardiff; Centre for Economic Policy Research (CEPR) and Bank of America - Bank of America, Hong Kong
Downloads 155 (187,787)
Citation 16

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inflation risk, expected inflation, indexed bonds, affine yields and monetary policy

23.

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 151 (191,999)
Citation 10

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24.

Going Regional: How to Deepen ASEAN’s Financial Markets

Asian Development Bank Economics Working Paper Series No. 300
Number of pages: 53 Posted: 03 Apr 2012
Maria Socorro Gochoco‐Bautista and Eli M. Remolona
University of the Philippines, School of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 150 (193,045)
Citation 2

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asean, capital controls, capital flows, cross border capital flows, capital markets, international capital, regional cooperation, financial markets, financial market development, financial systems, bonds, bond markets, corporate bonds, banking systems

25.

What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market

HKIMR Working Paper No.07/2014
Number of pages: 32 Posted: 11 Apr 2014
Elena Kalotychou, Eli M. Remolona and Eliza Wu
Cass Business School, City, University of London, Bank for International Settlements (BIS) - Monetary and Economic Department and The University of Sydney - Business School
Downloads 127 (220,519)
Citation 2

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Systemic Risk, Credit Event, Sovereign Risk, Contagion, Spillover, Credit Default Swap, Debt Crisis, Subprime Crisis, Global Factor

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

BIS Working Paper No. 527
Number of pages: 54 Posted: 16 Nov 2015
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 66 (339,691)

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Bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 70 Posted: 03 Feb 2016
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 40 (427,734)
Citation 5

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bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

27.

Time Varying Exposures and Leverage in Hedge Funds

BIS Quarterly Review, March 2005
Number of pages: 14 Posted: 19 Oct 2009 Last Revised: 09 Mar 2012
Patrick McGuire, Eli M. Remolona and Kostas Tsatsaronis
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 96 (268,877)
Citation 25

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hedge funds, leverage, style analysis

28.

The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market

BIS Quarterly Review, June 2004
Number of pages: 12 Posted: 07 May 2012 Last Revised: 29 Sep 2013
Marian Micu, Eli M. Remolona and Philip D. Wooldridge
Swiss Re, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 86 (288,375)
Citation 17

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29.

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 (290,472)
Citation 3

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30.

Opening Markets Through a Regional Bond Fund: Lessons from ABF2

BIS Quarterly Review, June 2005
Number of pages: 12 Posted: 24 May 2012 Last Revised: 29 Sep 2013
Guonan Ma and Eli M. Remolona
Bruegel and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 85 (290,472)
Citation 10

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31.

Changes in Market Functioning and Central Bank Policy: An Overview of the Issues

BIS Working Paper No. 120
Number of pages: 34 Posted: 13 Dec 2005
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 83 (294,682)
Citation 5

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32.

The Anatomy of Sovereign Credit Contagion

Number of pages: 44 Posted: 14 Jul 2015
Elena Kalotychou, Eli M. Remolona and Eliza Wu
Cass Business School, City, University of London, Bank for International Settlements (BIS) - Monetary and Economic Department and The University of Sydney - Business School
Downloads 60 (352,145)

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sovereign risk, credit event, contagion, spillover, credit default swap, debt crisis, global factor

33.

Managing Expectations by Words and Deeds: Monetary Policy in Asia and the Pacific

BBVA Working Papers No. 0805 , BIS Working Papers No. 47
Number of pages: 35 Posted: 20 Aug 2009
Alicia García-Herrero and Eli M. Remolona
Natixis and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 55 (367,339)
Citation 9

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34.

ADB Forum on the Use of Capital Controls

Asian Development Review, Vol. 29, No. 1, pp. 82-88, 2012
Number of pages: 47 Posted: 12 Jul 2012
International Monetary Fund (IMF), University of the Philippines, School of Economics, Asian Development Bank, University of California, Santa Cruz - Department of Economics, Thailand Development Research Institute, Bank for International Settlements (BIS) - Monetary and Economic Department and Asian Development Bank Institute
Downloads 53 (373,523)
Citation 31

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agriculture, wages, migrants, income, urban migrants, rural–urban migration, rural households, urban–rural divide, employment quality, education quality, urbanization, industrialization, effect of migration, special economic zones, foreign direct investment, productivity growth, nonfarm employment

35.

Expectations and Risk Premia at 8:30am: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

Number of pages: 51 Posted: 27 Dec 2017
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 34 (443,335)

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affine models, bond excess returns, economic announcements, term structure of interest rates

36.

How Do Global Investors Differentiate between Sovereign Risks? The New Normal versus the Old

BIS Working Paper No. 541
Number of pages: 23 Posted: 26 Jan 2016
Marlene Amstad, Eli M. Remolona and Jimmy Shek
The Chinese University of Hong Kong, Shenzhen, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 32 (451,959)
Citation 2

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Emerging market, CDS, sovereign risk, risk factor, new normal, taper tantrum

37.

Do Small Bank Deposits Run More than Large Ones? Three Event Studies of Contagion and Financial Inclusion

BIS Working Paper No. 724
Number of pages: 32 Posted: 22 May 2018
Dante Canlas, Johnny Noe RAVALO and Eli M. Remolona
University of the Philippines, Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 30 (461,328)

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Financial inclusion, financial stability, contagion, bank run, event study, selection bias

38.

Reaching for Yield: Selected Issues for Reserve Managers

BIS Quarterly Review, September 2003
Number of pages: 10 Posted: 27 Apr 2012 Last Revised: 29 Sep 2013
Eli M. Remolona and Martijn Schrijvers
Bank for International Settlements (BIS) - Monetary and Economic Department and Independent
Downloads 30 (461,328)
Citation 4

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39.

Common Lenders in Emerging Asia: Their Changing Roles in Three Crises

BIS Quarterly Review, March 2018
Number of pages: 12 Posted: 13 Mar 2018
Cathérine Koch and Eli M. Remolona
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 16 (538,037)
Citation 2

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40.

The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion

Journal of Fixed Income, Vol. Spring, 2008, https://doi.org/10.3905/jfi.2008.705542
Posted: 22 May 2019
Eli M. Remolona, Michela Scatigna and Eliza Wu
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and The University of Sydney - Business School

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sovereign risk, default risk premia, risk aversion, credit default swaps, emerging market debt

41.

Attracting Foreign Participation in Asian Local Currency Bond Markets: The Case of the Asian Bond Fund 2 Initiative

Pacific Economic Review, Vol. 17, Issue 3, pp. 415-433, 2012
Number of pages: 19 Posted: 23 Aug 2012
Frank Packer and Eli M. Remolona
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 0 (661,222)
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42.

What Was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

CEPR Discussion Paper No. 2022
Posted: 31 Dec 1998
Frank F. Gong, Michael Wickens and Eli M. Remolona
Bank of America - Bank of America, Hong Kong, University of Cardiff; Centre for Economic Policy Research (CEPR) and Bank for International Settlements (BIS) - Monetary and Economic Department

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