Marek Raczko

Bank of England

Research Economist

Threadneedle Street

London EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

151

CITATIONS

2

Scholarly Papers (4)

1.
Downloads 76 (310,308)
Citation 1

Measuring Financial Cycle Time

BIS Working Paper No. 755
Number of pages: 32 Posted: 07 Jan 2019
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of England
Downloads 54 (376,068)

Abstract:

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financial cycles, continuous-time autoregressive models, time deformation, behavioural economics, endogenous risk-taking behaviour, central banking

Measuring Financial Cycle Time

Bank of England Working Paper No. 776
Number of pages: 30 Posted: 25 Jan 2019
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of England
Downloads 22 (519,545)
Citation 1

Abstract:

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Financial cycles, continuous-time autoregressive models, time deformation, behavioural economics, endogenous risk-taking behaviour, central banking.

2.

Volatility Contagion: New Evidence from Market Pricing of Volatility Risk

Bank of England Working Paper No. 552
Number of pages: 45 Posted: 02 Oct 2015 Last Revised: 09 Oct 2015
Marek Raczko
Bank of England
Downloads 32 (451,669)
Citation 1

Abstract:

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Financial contagion, variance risk premium, tail-risk, equity co-movement, volatility co-movement

3.

Overseas Unspanned Factors and Domestic Bond Returns

Bank of England Working Paper No. 618
Number of pages: 57 Posted: 21 Feb 2017
Andrew Meldrum, Marek Raczko and Peter Spencer
Board of Governors of the Federal Reserve System, Bank of England and University of York
Downloads 26 (481,064)

Abstract:

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return-forecasting regressions, dynamic term structure models

4.

The Information in the Joint Term Structures of Bond Yields

Bank of England Working Paper No. 772
Number of pages: 42 Posted: 21 Dec 2018
Andrew Meldrum, Marek Raczko and Peter Spencer
Board of Governors of the Federal Reserve System, Bank of England and University of York
Downloads 17 (531,975)

Abstract:

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Affine term structure model, international interest rate co-movement, real interest rates