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Jacob Gyntelberg

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.

    Cited by:

    1. Kristyna Ters & Jörg Urban, 2018. "Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model," BIS Working Papers 689, Bank for International Settlements.
    2. Ters, Kristyna & Urban, Jörg, 2020. "Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model," Journal of Financial Markets, Elsevier, vol. 47(C).
    3. Nicoló Andrea Caserini & Paolo Pagnottoni, 2022. "Effective transfer entropy to measure information flows in credit markets," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 729-757, October.
    4. Zubair Ali Raja & William J. Procasky & Renee Oyotode-Adebile, 2020. "The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(3), pages 296-325, December.
    5. Corvino, Raffaele & Ruggiero, Francesco, 2021. "The relative pricing of sovereign credit risk after the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 112(C).
    6. Nissinen, Juuso & Sihvonen, Markus, 2022. "Bond convenience curves and funding costs," Bank of Finland Research Discussion Papers 11/2022, Bank of Finland.
    7. Iñaki Aldasoro & Torsten Ehlers, 2018. "The credit default swap market: what a difference a decade makes," BIS Quarterly Review, Bank for International Settlements, June.

  2. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2013. "Intraday dynamics of euro area sovereign CDS and bonds," BIS Working Papers 423, Bank for International Settlements.

    Cited by:

    1. Matthew Greenwood‐Nimmo & Viet Hoang Nguyen & Eliza Wu, 2021. "On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks," The Economic Record, The Economic Society of Australia, vol. 97(317), pages 285-309, June.
    2. Evgenia Grigoryeva, 2021. "Determinants of Russia’s Sovereign Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(4), pages 74-97, December.
    3. Kristyna Ters & Jörg Urban, 2018. "Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model," BIS Working Papers 689, Bank for International Settlements.
    4. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
    5. Jitmaneeroj, Boonlert, 2018. "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, vol. 46(C), pages 324-341.
    6. Rahmi Erdem Aktug, 2015. "Empirical dynamics of emerging financial markets during the global mortgage crisis," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(1), pages 17-36, March.
    7. Lando, David & Klinger, Sven, 2018. "Safe Haven CDS Premiums," CEPR Discussion Papers 12694, C.E.P.R. Discussion Papers.
    8. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Department of Economics.
    9. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
    10. Ters, Kristyna & Urban, Jörg, 2020. "Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model," Journal of Financial Markets, Elsevier, vol. 47(C).
    11. Peat, Maurice & Svec, Jiri & Wang, Jue, 2015. "The effects of fiscal opacity on sovereign credit spreads," Emerging Markets Review, Elsevier, vol. 24(C), pages 34-45.
    12. Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.
    13. Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
    14. Nicoló Andrea Caserini & Paolo Pagnottoni, 2022. "Effective transfer entropy to measure information flows in credit markets," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 729-757, October.
    15. Ters, Kristyna & Urban, Jörg, 2018. "Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 123-142.
    16. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.
    17. Moisă Altăr & Alexandru-Adrian Cramer & Adam-Nelu Altăr-Samuel, 2015. "Sovereign Financial Asset Market Linkages across Europe During the Euro Zone Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 29-49, December.
    18. Sophie Moinas & Minh Nguyen & Giorgio Valente, 2018. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," EconPol Working Paper 13, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    19. Massimo Ferrari & Kristyna Ters, 2017. "The benefits of using large high frequency financial datasets for empirical analyses: Two applied cases," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.
    20. Rebekka Gätjen & Melanie Schienle, 2015. "Measuring Connectedness of Euro Area Sovereign Risk," SFB 649 Discussion Papers SFB649DP2015-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    21. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    22. Deininger, Sebastian & Maringer, Dietmar, 2017. "Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector," Working papers 2017/07, Faculty of Business and Economics - University of Basel.
    23. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    24. Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
    25. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.
    26. Belyakov, Igor (Беляков, Игорь), 2017. "On the Determinants of Sovereign Eurobond Spreads in Russia [О Факторах, Определяющих Спрэды Суверенных Еврооблигаций России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 200-225, February.
    27. Gorkem Bostanci & Kamil Yilmaz, 2015. "How Connected is the Global Sovereign Credit Risk Network?," Koç University-TUSIAD Economic Research Forum Working Papers 1515, Koc University-TUSIAD Economic Research Forum.
    28. Lubos Komarek & Kristyna Ters, 2016. "Intraday dynamics of euro area sovereign credit risk contagion," BIS Working Papers 573, Bank for International Settlements.
    29. Saker Sabkha & Christian de Peretti & Dorra Mezzez Hmaied, 2019. "International risk spillover in the sovereign credit markets: An empirical analysis," Post-Print hal-01652526, HAL.
    30. Nissinen, Juuso & Sihvonen, Markus, 2022. "Bond convenience curves and funding costs," Bank of Finland Research Discussion Papers 11/2022, Bank of Finland.
    31. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2020. "Systemic risk and financial stability dynamics during the Eurozone debt crisis," Journal of Financial Stability, Elsevier, vol. 47(C).

  3. Jens Dick-Nielsen & Jacob Gyntelberg & Thomas Sangill, 2012. "Liquidity in Government versus Covered Bond Markets," BIS Working Papers 392, Bank for International Settlements.

    Cited by:

    1. Clemens Bonner, 2016. "Preferential Regulatory Treatment and Banks' Demand for Government Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1195-1221, September.
    2. Bank for International Settlements, 2014. "Market-making and proprietary trading: industry trends, drivers and policy implications," CGFS Papers, Bank for International Settlements, number 52, december.
    3. Knezevic, David & Krüger, Niclas & Nordström, Martin, 2019. "A Guarantee – Does the Obligee Agree? A Risk Premium Decomposition of Sub-Sovereign Bond Spreads," Working Papers 2019:12, Örebro University, School of Business.
    4. Gianluca Gucciardi, 2022. "Measuring the relative development and integration of EU countries’ capital markets using composite indicators and cluster analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(4), pages 1043-1083, November.
    5. Bonner, Clemens, 2015. "Preferential Regulatory Treatment and Banks' Demand for Government Bonds," Other publications TiSEM 049e0e5e-f57b-4ef8-ab8b-b, Tilburg University, School of Economics and Management.
    6. Weigerding, Michael, 2023. "Long-term liquidity effects of large-scale asset purchase programs: Evidence from the euro covered bond market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 244-264.
    7. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.

  4. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.

    Cited by:

    1. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    2. Eric Girardin & Fatemeh Salimi Namin, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Post-Print hal-02314156, HAL.
    3. Ingomar Krohn & Vladyslav Sushko & Witit Synsatayakul, 2023. "Foreign investor feedback trading in an emerging financial market," BIS Working Papers 1154, Bank for International Settlements.
    4. Gurnain Pasricha & Matteo Falagiarda & Martin Bijsterbosch & Joshua Aizenman, 2015. "Domestic and Multilateral Effects of Capital Controls in Emerging Markets," NBER Working Papers 20822, National Bureau of Economic Research, Inc.
    5. Stoupos, Nikolaos & Nikas, Christos & Kiohos, Apostolos, 2023. "Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets," Emerging Markets Review, Elsevier, vol. 54(C).
    6. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    7. Nasha Ananchotikul & Longmei Zhang, 2016. "Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets," PIER Discussion Papers 36, Puey Ungphakorn Institute for Economic Research.
    8. Nasha Ananchotikul & Ms. Longmei Zhang, 2014. "Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets," IMF Working Papers 2014/156, International Monetary Fund.
    9. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    10. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).

  5. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand," IMF Working Papers 2012/214, International Monetary Fund.

    Cited by:

    1. Ingomar Krohn & Vladyslav Sushko & Witit Synsatayakul, 2023. "Foreign investor feedback trading in an emerging financial market," BIS Working Papers 1154, Bank for International Settlements.

  6. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "International portfolio rebalancing and exchange rate fluctuations in Thailand," BIS Working Papers 287, Bank for International Settlements.

    Cited by:

    1. Martin Evans and Dagfinn Rime, 2010. "Micro Approaches to foreign Exchange Determination," Working Papers gueconwpa~10-10-04, Georgetown University, Department of Economics.
    2. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010. "Private information, stock markets, and exchange rates," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 186-210, Bank for International Settlements.
    3. Eiji Ogawa & Junko Shimizu, 2011. "Asian Monetary Unit (Amu) As A Surveillance Indicators For Regional Monetary Cooperation," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 67-83.
    4. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank.
    5. McCauley, Robert, 2013. "Risk-On/Risk-Off, Capital Flows, Leverage and Safe Assets," Journal of Financial Perspectives, EY Global FS Institute, vol. 1(2), pages 145-154.
    6. Jotikasthira, Chotibhak & Lundblad, Christian & Ramadorai, Tarun, 2013. "How do foreign investors impact domestic economic activity? Evidence from India and China," Journal of International Money and Finance, Elsevier, vol. 39(C), pages 89-110.
    7. Hans Jørgen Tranvåg & Dagfinn Rime, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper Series 12412, Department of Economics, Norwegian University of Science and Technology.
    8. Robert N. McCauley, 2010. "Managing Recent Hot Money Inflows in Asia," Chapters, in: Masahiro Kawai & Mario B. Lamberte (ed.), Managing Capital Flows, chapter 5, Edward Elgar Publishing.
    9. Seddha-udom, Thanaporn, 2014. "Daily Exchange Rate Determination: Short-Term Speculation And Longerterm Expectation," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(1-2), January.

  7. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.

    Cited by:

    1. Abhakorn, Pongrapeeporn & Tantisantiwong, Nongnuch, 2012. "A reexamination of capital controls’ effectiveness: Recent experience of Thailand," Journal of Asian Economics, Elsevier, vol. 23(1), pages 26-38.
    2. Linlin Ye, 2016. "Understanding the Impacts of Dark Pools on Price Discovery," Papers 1612.08486, arXiv.org.
    3. Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip, 2018. "Private information, capital flows, and exchange rates," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 40-55.
    4. Hyeyoen Kim & Doojin Ryu, 2013. "Forecasting Exchange Rate from Combination Taylor Rule Fundamental," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 81-92, September.
    5. Riane de Bruyn & Rangan Gupta & Renee van Eyden, 2013. "Forecasting The Rand-Dollar And Rand-Pound Exchange Rates Using Dynamic Model Averaging," Working Papers 201307, University of Pretoria, Department of Economics.
    6. Andrew Filardo & Jason George & Mico Loretan & Guonan Ma & Anella Munro & Ilhyock Shim & Philip Wooldridge & James Yetman & Haibin Zhu, 2010. "The international financial crisis: timeline, impact and policy responses in Asia and the Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 21-82, Bank for International Settlements.
    7. Panagiotis Papaioannnou & Lucia Russo & George Papaioannou & Constantinos Siettos, 2013. "Can social microblogging be used to forecast intraday exchange rates?," Papers 1310.5306, arXiv.org.
    8. Panagiotis Papaioannou & Lucia Russo & George Papaioannou & Constantinos Siettos, 2013. "Can social microblogging be used to forecast intraday exchange rates?," Netnomics, Springer, vol. 14(1), pages 47-68, November.
    9. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
    10. Danglun Luo & Qianwei Ying, 2014. "Political Connections and Bank Lines of Credit," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(03), pages 5-21, May.
    11. Kim, Don H. & Loretan, Mico & Remolona, Eli M., 2010. "Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market," Journal of Asian Economics, Elsevier, vol. 21(3), pages 314-326, June.
    12. German Rodriguez, 2008. "Survival models (in Russian)," Quantile, Quantile, issue 5, pages 1-27, September.

  8. Michael Davies & Jacob Gyntelberg & Eric Chan, 2007. "Housing finance agencies in Asia," BIS Working Papers 241, Bank for International Settlements.

    Cited by:

    1. Francis E Warnock & Veronica Cacdac Warnock, 2012. "Developing Housing Finance Systems," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Frank Packer & Callan Windsor (ed.),Property Markets and Financial Stability, Reserve Bank of Australia.

  9. Jacob Gyntelberg & Frank Hansen, 2004. "Expected utility theory with ”small worlds”," Discussion Papers 04-20, University of Copenhagen. Department of Economics, revised Jan 2005.

    Cited by:

    1. Vladimir Ivanovitch Danilov & Ariane Lambert-Mogiliansky, 2007. "Non-classical expected utility theory with application to type indeterminacy," Working Papers halshs-00587721, HAL.
    2. Anna Bogomolnaia & Hervé Moulin & Fedor Sandomirskiy & Elena Yanovskaya, 2017. "Competitive Division of a Mixed Manna," Econometrica, Econometric Society, vol. 85(6), pages 1847-1871, November.
    3. V. Danilov & A. Lambert-Mogiliansky, 2010. "Expected utility theory under non-classical uncertainty," Theory and Decision, Springer, vol. 68(1), pages 25-47, February.
    4. Hammond, Peter J., 2011. "Laboratory Games and Quantum Behaviour: The Normal Form with a Separable State Space," Economic Research Papers 270755, University of Warwick - Department of Economics.
    5. Chew, Soo Hong & Sagi, Jacob S., 2008. "Small worlds: Modeling attitudes toward sources of uncertainty," Journal of Economic Theory, Elsevier, vol. 139(1), pages 1-24, March.
    6. Danilov, V., 2016. "Utility Theory of General Lotteries," Journal of the New Economic Association, New Economic Association, vol. 32(4), pages 12-29.
    7. Ehud Lehrer & Eran Shmaya, 2005. "A Subjective Approach to Quantum Probability," Game Theory and Information 0503002, University Library of Munich, Germany.

  10. Jacob Gyntelberg & Søren Kyhl, 1999. "Ownership Structure as a Signal of Managerial Ability," Discussion Papers 99-17, University of Copenhagen. Department of Economics.

    Cited by:

    1. Waśniewski, Krzysztof, 2010. "Corporate strategies – the institutional approach," MPRA Paper 25190, University Library of Munich, Germany.

Articles

  1. Jens Dick‐Nielsen & Jacob Gyntelberg & Christoffer Thimsen, 2022. "The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts," Journal of Finance, American Finance Association, vol. 77(5), pages 2577-2611, October.

    Cited by:

    1. Gao, Haoyu & Li, Jinxuan & Wen, Huiyu, 2023. "Bank funding costs during the COVID-19 pandemic: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    2. Acosta-Smith, Jonathan & Barunik, Jozef & Gerba, Eddie & Katsoulis, Petros, 2024. "Moderation or indulgence? Effects of bank distribution restrictions during stress," Bank of England working papers 1053, Bank of England.
    3. John Caparusso & Leonardo Ulf Lewrick & Nikola Tarashev, 2023. "Profitability, valuation and resilience of global banks - a tight link," BIS Working Papers 1144, Bank for International Settlements.

  2. Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip, 2018. "Private information, capital flows, and exchange rates," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 40-55.
    See citations under working paper version above.
  3. Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.

    Cited by:

    1. Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
    2. Gomes, Pedro & Kurter, Zeynep O. & Morita, Rubens, 2022. "European Sovereign Bond and Stock Market Granger Causality Dynamics," The Warwick Economics Research Paper Series (TWERPS) 1405, University of Warwick, Department of Economics.
    3. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
    4. Ters, Kristyna & Urban, Jörg, 2020. "Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model," Journal of Financial Markets, Elsevier, vol. 47(C).
    5. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2022. "Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis," Research in International Business and Finance, Elsevier, vol. 59(C).
    6. Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022. "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, vol. 59(PA).
    7. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    8. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    9. Greenwood-Nimmo, Matthew & Huang, Jingong & Nguyen, Viet Hoang, 2019. "Financial sector bailouts, sovereign bailouts, and the transfer of credit risk," Journal of Financial Markets, Elsevier, vol. 42(C), pages 121-142.

  4. Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip & Chan, Eric, 2014. "Exchange rate fluctuations and international portfolio rebalancing," Emerging Markets Review, Elsevier, vol. 18(C), pages 34-44.

    Cited by:

    1. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema & Thuraisamy, Kannan, 2015. "Is Exchange Rate Trading Profitable?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 217-229.
    2. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    3. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
    4. Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip, 2018. "Private information, capital flows, and exchange rates," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 40-55.
    5. Ülkü, Numan & Fatullayev, Sabutay & Diachenko, Daria, 2016. "Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?," Journal of Financial Markets, Elsevier, vol. 27(C), pages 28-54.
    6. Dongwon Lee & Kyungkeun Kim, 2016. "Global Risk and International Equity Portfolio Rebalancing," Working Papers 201605, University of California at Riverside, Department of Economics.
    7. Ingomar Krohn & Vladyslav Sushko & Witit Synsatayakul, 2023. "Foreign investor feedback trading in an emerging financial market," BIS Working Papers 1154, Bank for International Settlements.
    8. Jae Young Jang & Min Jae Park, 2019. "A Study on Global Investors’ Criteria for Investment in the Local Currency Bond Markets Using AHP Methods: The Case of the Republic of Korea," Risks, MDPI, vol. 7(4), pages 1-20, October.
    9. Suxiao Li & Jakob de Haan & Bert Scholtens, 2018. "Are International Fund Flows Related to Exchange Rate Dynamics?," Open Economies Review, Springer, vol. 29(1), pages 31-48, February.
    10. Ree, Jack Joo K. & Yoon, Kyoungsoo & Park, Hail, 2015. "FX funding risks and exchange rate volatility," Emerging Markets Review, Elsevier, vol. 25(C), pages 163-175.

  5. Jacob Gyntelberg & Christian Upper, 2013. "The OTC interest rate derivatives market in 2013," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Koziol, Philipp, 2014. "Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 459-472.
    2. Binbin Deng, 2017. "Counterparty risk, central counterparty clearing and aggregate risk," Annals of Finance, Springer, vol. 13(4), pages 355-400, November.
    3. Lawrence Kreicher & Robert N McCauley & Philip Wooldridge, 2014. "Benchmark tipping in the global bond market," BIS Working Papers 466, Bank for International Settlements.
    4. Torsten Ehlers & Bryan Hardy, 2019. "The evolution of OTC interest rate derivatives markets," BIS Quarterly Review, Bank for International Settlements, December.

  6. Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Accominotti, Olivier & Chambers, David, 2016. "If you’re so smart: John Maynard Keynes and currency speculation in the interwar years," LSE Research Online Documents on Economics 64722, London School of Economics and Political Science, LSE Library.
    2. Accominotti, Olivier & Chambers, David, 2014. "Out-of-sample evidence on the returns to currency trading," Economic History Working Papers 84582, London School of Economics and Political Science, Department of Economic History.
    3. McCauley, Robert, 2013. "Risk-On/Risk-Off, Capital Flows, Leverage and Safe Assets," Journal of Financial Perspectives, EY Global FS Institute, vol. 1(2), pages 145-154.
    4. Oliver Hossfeld & Ronald MacDonald, 2014. "Carry Funding and Safe Haven Currencies: A Threshold Regression Approach," CESifo Working Paper Series 5117, CESifo.
    5. Sotiropoulos, Dimitris P., 2012. "Revisiting the 1992-93 EMS crisis in the context of international political economy," Economics Discussion Papers 2012-7, School of Economics, Kingston University London.

  7. Stephen G Cecchetti & Jacob Gyntelberg & Marc Hollanders, 2009. "Central counterparties for over-the-counter derivatives," BIS Quarterly Review, Bank for International Settlements, September.

    Cited by:

    1. Binbin Deng, 2017. "Counterparty risk, central counterparty clearing and aggregate risk," Annals of Finance, Springer, vol. 13(4), pages 355-400, November.
    2. Matthew S. Jaremski, 2017. "The (Dis)Advantages of Clearinghouses Before the Fed," NBER Working Papers 23113, National Bureau of Economic Research, Inc.
    3. Mark Manning & Alex Heath & James Whitelaw, 2010. "The Foreign Exchange Market and Central Counterparties," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 49-57, March.
    4. Nikil Chande & Nicholas Labelle, 2016. "Using Speed and Credit Limits to Address the Procyclicality of Initial Margin at Central Counterparties," Discussion Papers 16-18, Bank of Canada.
    5. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2014. "Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse," NBER Working Papers 20459, National Bureau of Economic Research, Inc.
    6. Nicholas Vause, 2010. "Counterparty risk and contract volumes in the credit default swap market," BIS Quarterly Review, Bank for International Settlements, December.
    7. Gabriel Aparici & Fernando Sepúlveda, 2010. "Household Credit Markets During the Financial Crisis of 2008/2009," Working Papers Central Bank of Chile 591, Central Bank of Chile.
    8. Neuner, Stefan & Schäfer, Klaus, 2011. "Zentrale Gegenparteien für den außerbörslichen Derivatehandel in der Praxis," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-02, University of Bayreuth, Chair of Finance and Banking.
    9. Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia, 2017. "Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market," ESRB Working Paper Series 54, European Systemic Risk Board.
    10. Jin-Wook Chang, 2019. "Collateralized Debt Networks with Lender Default," Finance and Economics Discussion Series 2019-083, Board of Governors of the Federal Reserve System (U.S.).
    11. Michael R King & Dagfinn Rime, 2011. "The $4 trillion question: what explains FX growth since the 2007 survey?," BIS Quarterly Review, Bank for International Settlements, March.
    12. Dayanand Arora & Francis Xavier Rathinam, 2011. "OTC derivatives market in India: recent regulatory initiatives and open issues for market stability and development," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(2), pages 235-261, April.
    13. Dayanand Arora & Francis Xavier Rathinam, "undated". "OTC Derivatives Market in India: Recent Regulatory Initiatives and Open Issues for Market Stability and Development," Indian Council for Research on International Economic Relations, New Delhi Working Papers 248, Indian Council for Research on International Economic Relations, New Delhi, India.
    14. Gunther Capelle-Blancard, 2010. "Are derivatives dangerous?," Post-Print halshs-00605908, HAL.
    15. Samano, Daniel, 2011. "In the quest of macroprudential policy tools," MPRA Paper 30738, University Library of Munich, Germany.
    16. Andreas Horsch, 2012. "Managerial Action And Financial Crisis," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 5(1), pages 7-33, June.
    17. Bank for International Settlements, 2010. "Macroprudential instruments and frameworks: a stocktaking of issues and experiences," CGFS Papers, Bank for International Settlements, number 38, december.
    18. Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
    19. Marc Hollanders, 2012. "The role of oversight in collecting derivatives data," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the workshop "Data requirements for monitoring derivative transactions", organised by the People's Bank of China and the Irving Fisher , volume 35, pages 70-79, Bank for International Settlements.
    20. Michele Bonollo & Irene Crimaldi & Andrea Flori & Laura Gianfagna & Fabio Pammolli, 2016. "Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 397-426, November.
    21. Jean Helwege & Gaiyan Zhang, 2016. "Financial Firm Bankruptcy and Contagion," Review of Finance, European Finance Association, vol. 20(4), pages 1321-1362.
    22. Martínez, Constanza & Cizek, Pavel & León, C., 2018. "Ownership Networks Effects on Secured Borrowing," Discussion Paper 2018-015, Tilburg University, Center for Economic Research.
    23. Massimiliano Affinito & Matteo Piazza, 2018. "Always look on the bright side? Central counterparties and interbank markets during the financial crisis," Temi di discussione (Economic working papers) 1181, Bank of Italy, Economic Research and International Relations Area.
    24. Dietrich Domanski & Leonardo Gambacorta & Cristina Picillo, 2015. "Central clearing: trends and current issues," BIS Quarterly Review, Bank for International Settlements, December.
    25. Vahan Nanumyan & Antonios Garas & Frank Schweitzer, 2015. "The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-23, September.
    26. Umar Faruqui & Wenqian Huang & Előd Takáts, 2018. "Clearing risks in OTC derivatives markets: the CCP-bank nexus," BIS Quarterly Review, Bank for International Settlements, December.
    27. Carapella, Francesca & Monnet, Cyril, 2020. "Dealers’ insurance, market structure, and liquidity," Journal of Financial Economics, Elsevier, vol. 138(3), pages 725-753.
    28. Schröder, Michael & Riedler, Jesper & Jaroszek, Lena & Lang, Gunnar & Hommel, Paul & Voll, Sebastian Simon, 2011. "Assessment of the cumulative impact of various regulatory initiatives on the European banking sector: Study," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110523, September.
    29. Andrew Cornford, 2010. "Revising Basel 2: The Impact Of The Financial Crisis And Implications For Developing Countries," G-24 Discussion Papers 59, United Nations Conference on Trade and Development.
    30. Claudio Borio, 2010. "Ten propositions about liquidity crises," CESifo Economic Studies, CESifo Group, vol. 56(1), pages 70-95, March.
    31. Mauro Napoletano & Eric Guerci & Nobuyuki Hanaki, 2018. "Recent advances in financial networks and agent-based model validation," Post-Print hal-02299235, HAL.
    32. Vahan Nanumyan & Antonios Garas & Frank Schweitzer, 2015. "The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives," Papers 1506.04663, arXiv.org, revised Sep 2015.
    33. Maximilian Jager & Frederick Zadow, 2023. "Clear(ed) Decision: The Effect of Central Clearing on Firms Financing Decision," CRC TR 224 Discussion Paper Series crctr224_2023_445, University of Bonn and University of Mannheim, Germany.
    34. Óscar Arce & Fco. Javier González Pueyo & Lucio Sanjuán, 2010. "The Credit Default Swaps market: areas of vulnerability and regulatory responses," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    35. International Monetary Fund, 2010. "United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Regulatory Reform: OTC Derivatives," IMF Staff Country Reports 2010/252, International Monetary Fund.

  8. Jacob Gyntelberg & Philip Wooldridge, 2008. "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Affinito, Massimiliano, 2012. "Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3163-3184.
    2. Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.
    3. Bednarek, Peter & Dinger, Valeriya & von Westernhagen, Natalja, 2015. "Fundamentals matter: Idiosyncratic shocks and interbank relations," Discussion Papers 44/2015, Deutsche Bundesbank.
    4. Naohiko Baba & Frank Packer, 2009. "From turmoil to crisis: dislocations in the FX swap market before and after the failure of Lehman Brothers," BIS Working Papers 285, Bank for International Settlements.
    5. Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G., 2013. "Credit and Liquidity in Interbank Rates: a Quadratic Approach," Working papers 446, Banque de France.
    6. David Hou Author-Name: David Skeie, 2013. "LIBOR: origins, economics, crisis, scandal and reform," The New Palgrave Dictionary of Economics,, Palgrave Macmillan.
    7. Andreas Schrimpf & Vladyslav Sushko, 2019. "Beyond LIBOR: a primer on the new benchmark rates," BIS Quarterly Review, Bank for International Settlements, March.
    8. Abrantes-Metz, Rosa M. & Kraten, Michael & Metz, Albert D. & Seow, Gim S., 2012. "Libor manipulation?," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 136-150.
    9. Shun Kobayashi, 2012. "Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment," Bank of Japan Working Paper Series 12-E-13, Bank of Japan.
    10. Andrew Metrick & Gary Gorton, 2009. "Haircuts," Yale School of Management Working Papers amz2395, Yale School of Management, revised 01 Sep 2009.
      • Gary B. Gorton & Andrew Metrick, 2009. "Haircuts," NBER Working Papers 15273, National Bureau of Economic Research, Inc.
      • Gary Gorton & Andrew Metrick, 2010. "Haircuts," Review, Federal Reserve Bank of St. Louis, vol. 92(Nov), pages 507-520.
    11. Yosuke Tsuyuguchi & Philip D Wooldridge, 2008. "The evolution of trading activity in Asian foreign exchange markets," BIS Working Papers 252, Bank for International Settlements.
    12. Lawrence Kreicher & Robert N McCauley & Philip Wooldridge, 2014. "Benchmark tipping in the global bond market," BIS Working Papers 466, Bank for International Settlements.
    13. Alexander Bechtel & Angelo Ranaldo & Jan Wrampelmeyer, 2023. "Liquidity Risk and Funding Cost," Review of Finance, European Finance Association, vol. 27(2), pages 399-422.
    14. Mathias Drehmann & Kleopatra Nikolaou, 2010. "Funding liquidity risk: definition and measurement," BIS Working Papers 316, Bank for International Settlements.
    15. Poskitt, Russell & Waller, Bradley, 2011. "Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential?," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 173-193, April.
    16. Ichiro Muto, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," Bank of Japan Working Paper Series 12-E-10, Bank of Japan.
    17. Louis, Philippos & Núñez, Matías & Xefteris, Dimitrios, 2023. "Trimming extreme reports in preference aggregation," Games and Economic Behavior, Elsevier, vol. 137(C), pages 116-151.
    18. Smales, Lee A., 2016. "News sentiment and bank credit risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 37-61.
    19. Andrea Macrina & David Skovmand, 2020. "Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks," Risks, MDPI, vol. 8(1), pages 1-18, March.
    20. Gary Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," Yale School of Management Working Papers amz2358, Yale School of Management, revised 01 Sep 2009.
    21. Eross, Andrea & Urquhart, Andrew & Wolfe, Simon, 2016. "Liquidity risk contagion in the interbank market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 142-155.
    22. Bachmair, K., 2023. "The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets," Cambridge Working Papers in Economics 2303, Faculty of Economics, University of Cambridge.
    23. Naohiko Baba & Frank Packer, 2008. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," BIS Working Papers 267, Bank for International Settlements.
    24. Jean-Loup, Soula, 2017. "Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 302-313.
    25. V. Brousseau & Alexandre Chailloux & Alain Durré, 2013. "Fixing the Fixings: What Road to a More Representative Money Market Benchmark?," IMF Working Papers 2013/131, International Monetary Fund.
    26. Julien Fouquau & Philippe K. Spieser, 2015. "Statistical evidence about LIBOR manipulation: A "Sherlock Holmes" investigation," Post-Print hal-01160060, HAL.
    27. Gallitschke, Janek & Seifried (née Müller), Stefanie & Seifried, Frank Thomas, 2017. "Interbank interest rates: Funding liquidity risk and XIBOR basis spreads," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 142-152.
    28. Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
    29. Shin-ichi Fukuda, 2011. "Market-specific and Currency-specific Risk During the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," NBER Working Papers 16962, National Bureau of Economic Research, Inc.
    30. Shin-ichi Fukuda, 2016. "Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York," International Economic Journal, Taylor & Francis Journals, vol. 30(3), pages 339-359, July.
    31. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
    32. Szilárd Erhart & Imre Ligeti & Zoltán Molnár, 2013. "Reasons for the LIBOR review and its effects on international interbank reference rate quotations," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 8(1), pages 23-34, January.
    33. Karolina Puławska, 2022. "Effects of the bank levy introduction on the interbank market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 844-864, January.
    34. Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.
    35. Rodríguez-López, Araceli & Fernández-Abascal, Hermenegildo & Maté-García, Jorge-Julio & Rodríguez-Fernández, José-Miguel & Rojo-García, José-Luis & Sanz-Gómez, José-Antonio, 2021. "Evaluating Euribor Manipulation: Effects on Mortgage Borrowers," Finance Research Letters, Elsevier, vol. 40(C).
    36. Jiyoung Lee & Jung Jae Kim & Jinook Jeong, 2022. "An Empirical Assessment of Collusion in the Negotiable Certificates of Deposit Market in Korea: A Discriminant Analysis," Asian Economic Journal, East Asian Economic Association, vol. 36(2), pages 203-223, June.
    37. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 189-240, December.
    38. Dániel Béres, 2019. "Integrity of Financial Benchmarks," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(1), pages 33-59.

  9. Jacob Gyntelberg & Eli M Remolona, 2007. "Risk in carry trades: a look at target currencies in Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Fong, Wai Mun, 2010. "A stochastic dominance analysis of yen carry trades," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1237-1246, June.
    2. Tse, Yiuman & Wald, John K., 2013. "Insured uncovered interest parity," Finance Research Letters, Elsevier, vol. 10(4), pages 175-183.
    3. Robert N McCauley & Patrick McGuire, 2009. "Dollar appreciation in 2008: safe haven, carry trades, dollar shortage and overhedging," BIS Quarterly Review, Bank for International Settlements, December.
    4. José Carreño & Paulo Cox, 2014. "Carry Trade y Turbulencias Cambiarias con el Peso Chileno," Working Papers Central Bank of Chile 733, Central Bank of Chile.
    5. Liu, Ming-Hua & Margaritis, Dimitris & Tourani-Rad, Alireza, 2012. "Risk appetite, carry trade and exchange rates," Global Finance Journal, Elsevier, vol. 23(1), pages 48-63.
    6. Wu, Chih-Chiang & Wu, Chang-Che, 2017. "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 304-313.
    7. Das, Sougata & Kadapakkam, Palani-Rajan & Tse, Yiuman, 2013. "Is carry-trade a viable alternative asset class?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 247-257.
    8. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    9. Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
    10. Kelly Burns, 2016. "A Reconsideration of the Meese-Rogoff Puzzle: An Alternative Approach to Model Estimation and Forecast Evaluation," Multinational Finance Journal, Multinational Finance Journal, vol. 20(1), pages 41-83, March.
    11. Gadanecz, Blaise & Miyajima, Ken & Shu, Chang, 2018. "Emerging market local currency sovereign bond yields: The role of exchange rate risk," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 371-401.
    12. Yosuke Tsuyuguchi & Philip D Wooldridge, 2008. "The evolution of trading activity in Asian foreign exchange markets," BIS Working Papers 252, Bank for International Settlements.
    13. Brana, Sophie & Lahet, Delphine, 2009. "Les déterminants des entrées de capitaux en Asie : quel rôle pour les stratégies de carry trade?," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(3), pages 283-302, septembre.
    14. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
    15. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 363-377.
    16. Kaizoji, Taisei, 2010. "Carry Trade, Forward Premium Puzzle and Currency Crisis," MPRA Paper 21432, University Library of Munich, Germany.
    17. Mantzura, Ariel & Schreiber, Ben Z., 2019. "Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 438-457.
    18. Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," University of St. Gallen Department of Economics working paper series 2007 2007-22, Department of Economics, University of St. Gallen.
    19. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
    20. Marie Briere & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB 09-013.RS, ULB -- Universite Libre de Bruxelles.
    21. Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
    22. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011. "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers 2011-10, Department of Economics and Business Economics, Aarhus University.
    23. Robert N. McCauley, 2010. "Managing Recent Hot Money Inflows in Asia," Chapters, in: Masahiro Kawai & Mario B. Lamberte (ed.), Managing Capital Flows, chapter 5, Edward Elgar Publishing.
    24. Cox, Paulo & Carreño, José Gabriel, 2016. "The Chilean peso exchange-rate carry trade and turbulence," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
    25. McCauley, Robert & McGuire, Patrick & von Peter, Goetz, 2012. "After the global financial crisis: From international to multinational banking?," Journal of Economics and Business, Elsevier, vol. 64(1), pages 7-23.
    26. Yiuman Tse & Lin Zhao, 2011. "The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September ," Working Papers 0005, College of Business, University of Texas at San Antonio.
    27. Hutchison, Michael & Sushko, Vladyslav, 2013. "Impact of macro-economic surprises on carry trade activity," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1133-1147.
    28. Prof. Marin Oprițescu Ph. D, Assist. Alina Manta Ph. D, 2011. "New Trends In Banking Due To The International Financial Crisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 4(39), pages 229-242, May.
    29. Dewandaru, Ginanjar & Masih, Rumi & Masih, Mansur, 2017. "Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis," Economic Modelling, Elsevier, vol. 65(C), pages 30-40.
    30. Marin Opriţescu & Alina Manta, 2010. "New Trends In Banking Due To The International Financial Crisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(38), pages 527-541, May.
    31. Blaise Gadanecz & Ken Miyajima & Chang Shu, 2014. "Exchange rate risk and local currency sovereign bond yields in emerging markets," BIS Working Papers 474, Bank for International Settlements.
    32. Robert McCauley & Patrick McGuire & Goetz von Peter, 2010. "The architecture of global banking: from international to multinational?," BIS Quarterly Review, Bank for International Settlements, March.
    33. Hubert Gabrisch, 2011. "A Macroeconomist’s View on EU Governance Reform: Why and How to Establish Policy Coordination?," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 56(191), pages 69-88, October-D.
    34. Yiuman Tse & John K. Wald, 2013. "Insured Uncovered Interest Parity," Working Papers 0172fin, College of Business, University of Texas at San Antonio.
    35. Dupuy, Philippe, 2015. "The tail risk premia of the carry trades," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 123-145.
    36. Shehadeh, Ali & Erdős, Péter & Li, Youwei & Moore, Michael, 2016. "US Dollar Carry Trades in the Era of “Cheap Money”," MPRA Paper 70770, University Library of Munich, Germany.
    37. Brana, Sophie & Lahet, Delphine, 2010. "Determinants of capital inflows into Asia: The relevance of contagion effects as push factors," Emerging Markets Review, Elsevier, vol. 11(3), pages 273-284, September.
    38. Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
    39. Maria Socorro Gochoco-Bautista & Jianxin Wang & Minxian Yang, 2014. "Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies," The World Economy, Wiley Blackwell, vol. 37(6), pages 811-833, June.

  10. Jacob Gyntelberg, 2007. "Developing Asia Pacific Non-government Fixed Income Markets," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 3, pages 7-26.

    Cited by:

    1. Mangal Goswami & Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia : An Assessment," Macroeconomics Working Papers 23210, East Asian Bureau of Economic Research.
    2. Mr. Mangal Goswami & Mr. Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia," IMF Working Papers 2011/132, International Monetary Fund.

  11. Jacob Gyntelberg & Eli M Remolona, 2006. "Securitisation in Asia and the Pacific: implications for liquidity and credit risks," BIS Quarterly Review, Bank for International Settlements, June.

    Cited by:

    1. Richard K. Green & Roberto S. Mariano & Andrey D. Pavlov & Susan M. Wachter, 2007. "Misaligned Incentives and Mortgage Lending in Asia," Working Paper 9099, USC Lusk Center for Real Estate.
    2. Gabriel Aparici & Fernando Sepúlveda, 2010. "Household Credit Markets During the Financial Crisis of 2008/2009," Working Papers Central Bank of Chile 591, Central Bank of Chile.
    3. Byström, Hans, 2007. "Structured Microfinance in China," Working Papers 2007:18, Lund University, Department of Economics.
    4. Michela Scatigna & Camilo E Tovar, 2007. "Securitisation in Latin America," BIS Quarterly Review, Bank for International Settlements, September.
    5. Eric Chan & Michael Davies & Jacob Gyntelberg, 2006. "The role of government-supported housing finance agencies in Asia," BIS Quarterly Review, Bank for International Settlements, December.
    6. Safdar Ullah Khan, 2006. "Macro Determinants of Total Factor Productivity in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 2, pages 383-401..
    7. Ilhyock Shim, 2006. "Corporate credit guarantees in Asia," BIS Quarterly Review, Bank for International Settlements, December.
    8. Haibin Zhu, 2006. "The structure of housing finance markets and house prices in Asia," BIS Quarterly Review, Bank for International Settlements, December.
    9. Jung-Hyun Ahn & Régis Breton, 2014. "Securitization, competition and monitoring," Post-Print hal-00948868, HAL.
    10. Michael Davies & Jacob Gyntelberg & Eric Chan, 2007. "Housing finance agencies in Asia," BIS Working Papers 241, Bank for International Settlements.
    11. Lejot , Paul & Arner, Douglas & Schou-Zibell, Lotte, 2008. "Securitization in East Asia," Working Papers on Regional Economic Integration 12, Asian Development Bank.

  12. Guy Debelle & Jacob Gyntelberg & Michael Plumb, 2006. "Forward currency markets in Asia: lessons from the Australian experience," BIS Quarterly Review, Bank for International Settlements, September.

    Cited by:

    1. Colavecchio, Roberta & Funke, Michael, 2008. "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," China Economic Review, Elsevier, vol. 19(4), pages 635-648, December.
    2. Ric Battellino & Michael Plumb, 2011. "A generation of an internationalised Australian dollar," BIS Papers chapters, in: Bank for International Settlements (ed.), Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific, volume 61, pages 202-217, Bank for International Settlements.
    3. Mr. Craig Beaumont & Li Cui, 2007. "Conquering Fear of Floating: Australia's Successful Adaptation to a Flexible Exchange Rate," IMF Policy Discussion Papers 2007/002, International Monetary Fund.
    4. Robert N McCauley & Chang Shu & Guonan Ma, 2014. "Non-deliverable forwards: 2013 and beyond," BIS Quarterly Review, Bank for International Settlements, March.
    5. Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2009. "A soft edge target zone model: Theory and application to Hong Kong," BOFIT Discussion Papers 21/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
    6. Marc Gronwald & Michael Funke, 2008. "The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?," Quantitative Macroeconomics Working Papers 20804, Hamburg University, Department of Economics.
    7. M S Sriram & Vaibhav Chaturvedi, 2012. "Summary of the discussion," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial sector regulation for growth, equity and stability, volume 62, pages 119-121, Bank for International Settlements.
    8. Yosuke Tsuyuguchi & Philip D Wooldridge, 2008. "The evolution of trading activity in Asian foreign exchange markets," BIS Working Papers 252, Bank for International Settlements.
    9. Jia, Fei & Shen, Yao & Ren, Junfan & Xu, Xiangyun, 2021. "The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    10. Robert Neil McCauley & Chang Shu, 2016. "Non-deliverable forwards: impact of currency internationalisation and derivatives reform," BIS Quarterly Review, Bank for International Settlements, December.
    11. Yanping Zhao & Zaghum Umar & Xuan Vinh Vo, 2021. "Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1843-1860, November.
    12. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    13. Kyungsoo Kim & Young Kyung Suh, 2011. "Dealing with the benefits and costs of internationalisation of the Korean won," BIS Papers chapters, in: Bank for International Settlements (ed.), Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific, volume 61, pages 151-171, Bank for International Settlements.
    14. Victor Pontines & Reza Siregar, 2012. "Exchange Rate Appreciation, Capital Flows and Excess Liquidity: Adjustment and Effectiveness of Policy Responses," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp87.
    15. Michael Funke & Yu-Fu Chen & Nicole Glanemann, 2009. "A soft target zone model: Theory and application to Hong Kong," Quantitative Macroeconomics Working Papers 20912, Hamburg University, Department of Economics.
    16. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    17. Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi, 2014. "Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 115-137.
    18. Harendra Behera & Rajiv Ranjan & Sajjid Chinoy, 2022. "Does offshore NDF market influence onshore forex market? Evidence from India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1167-1185, June.
    19. Guonan Ma & Robert N. McCauley, 2007. "Do China's capital controls still bind? Implications for monetary autonomy and capital liberalisation," BIS Working Papers 233, Bank for International Settlements.
    20. Robert McCauley, 2006. "Internationalising a currency: the case of the Australian dollar," BIS Quarterly Review, Bank for International Settlements, December.
    21. Evsey Gurvich & Vladimir Sokolov & Alexey Ulyukaev, 2009. "Analysis of the Relationship Between the Exchange Rate Policy of the Russian Central Bank and the Interest Rates: Uncovered and Covered Parity," Journal of the New Economic Association, New Economic Association, issue 1-2, pages 104-126.

  13. Eric Chan & Michael Davies & Jacob Gyntelberg, 2006. "The role of government-supported housing finance agencies in Asia," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Tae Soo Kang & Guonan Ma, 2007. "Episodios recientes de impago en tarjetas de crédito en Asia," Boletín, CEMLA, vol. 0(3), pages 110-120, Julio-sep.
    2. Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2010. "Determinants of house prices in nine Asia-Pacific economies," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 340-370, Bank for International Settlements.
    3. Veronica Cacdac Warnock & Francis E. Warnock, 2007. "Markets and Housing Finance," NBER Working Papers 13081, National Bureau of Economic Research, Inc.
    4. Frederic S. Mishkin, 2007. "La dinámica de la inflación," Boletín, CEMLA, vol. 0(3), pages 99-109, Julio-sep.
    5. Mai, Nhat Chi, 2012. "FROM BUREAUPRENEUR TO HNWI: CHANGES AND EMERGENCE OF HIGH NET WORTH INDIVIDUALS (HNWIs) IN CHINA," OSF Preprints jhrqv, Center for Open Science.
    6. Ignacio Boixo, 2007. "Un estándar para la información económica- financiera," Boletín, CEMLA, vol. 0(3), pages 130-137, Julio-sep.
    7. Francis E Warnock & Veronica Cacdac Warnock, 2012. "Developing Housing Finance Systems," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Frank Packer & Callan Windsor (ed.),Property Markets and Financial Stability, Reserve Bank of Australia.
    8. Linda Goldberg & Eleanor Wiske Dillon & Eleanor Wiske Dillon, 2007. "Por qué la depreciación del dólar tal vez no cierre en medida significativa la brecha del déficit comercial de Estados Unidos," Boletín, CEMLA, vol. 0(3), pages 121-129, Julio-sep.
    9. Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008. "Determinants of house prices in nine Asia-Pacific economies," BIS Working Papers 263, Bank for International Settlements.
    10. Safdar Ullah Khan, 2006. "Macro Determinants of Total Factor Productivity in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 2, pages 383-401..
    11. Tae Soo Kang & Guonan Ma, 2007. "Recent episodes of credit card distress in Asia," BIS Quarterly Review, Bank for International Settlements, June.
    12. Haibin Zhu, 2006. "The structure of housing finance markets and house prices in Asia," BIS Quarterly Review, Bank for International Settlements, December.
    13. William R. White, 2007. "The housing finance revolution: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 69-84.
    14. Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008. "Are Asia-Pacific Housing Prices Too High For Comfort?," Working Papers 2008-11, Monetary Policy Group, Bank of Thailand.
    15. Michael Davies & Jacob Gyntelberg & Eric Chan, 2007. "Housing finance agencies in Asia," BIS Working Papers 241, Bank for International Settlements.
    16. Lejot , Paul & Arner, Douglas & Schou-Zibell, Lotte, 2008. "Securitization in East Asia," Working Papers on Regional Economic Integration 12, Asian Development Bank.

  14. Jacob Gyntelberg & Guonan Ma & Eli M Remolona, 2005. "Corporate bond markets in Asia," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Mukherjee, Dr. Kedar nath, 2012. "Corporate Bond Market in India: Current Scope and Future Challenges," MPRA Paper 42478, University Library of Munich, Germany.
    2. Gochoco-Bautista, Maria Socorro & Remolona, Eli M., 2012. "Going Regional: How to Deepen ASEAN's Financial Markets," ADB Economics Working Paper Series 300, Asian Development Bank.
    3. Paul Mizen & Frank Packer & Eli Remolona & Serafeim Tsoukas, 2021. "Original sin in corporate finance: New evidence from Asian bond issuers in onshore and offshore markets," Working Papers 2021_03, Business School - Economics, University of Glasgow.
    4. Meng-Wai Lee & Kim-Leng Goh & Michael Meow-Chung Yap, 2019. "The Malaysian Domestic Bond Market: Growing into its Rightful Role," Capital Markets Review, Malaysian Finance Association, vol. 27(1), pages 34-52.
    5. Mangal Goswami & Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia : An Assessment," Macroeconomics Working Papers 23210, East Asian Bureau of Economic Research.
    6. Jamel Boukhatem, 2021. "What drives local currency bond market development in Saudi Arabia: do macroeconomic and institutional factors matter?," Future Business Journal, Springer, vol. 7(1), pages 1-18, December.
    7. Olfa Berrich & Halim Dabbou, 2023. "Tunisian corporate bond market liquidity: a qualitative approach," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 15(5), pages 795-819, February.
    8. Paul Mizen & Serafeim Tsoukas, 2012. "What Promotes Greater Use of the Corporate Bond Market? A Study of the Issuance Behaviour of Firms in Asia," Discussion Papers 12/17, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    9. Eric Chan & Michael Chui & Frank Packer & Eli Remolona, 2012. "Local currency bond markets and the Asian Bond Fund 2 Initiative," BIS Papers chapters, in: Bank for International Settlements (ed.), Weathering financial crises: bond markets in Asia and the Pacific, volume 63, pages 35-61, Bank for International Settlements.
    10. Paul Mizen & Frank Packer & Eli Remolona & Serafeim Tsoukas, 2014. "Capital structure and the issuance of corporate bonds in emerging Asia," Chapters, in: Iwan J. Azis & Hyun S. Shin (ed.), Global Shock, Risks, and Asian Financial Reform, chapter 13, pages 510-540, Edward Elgar Publishing.
    11. Marlene Amstad & Steven Kong & Frank Packer & Eli Remolona, 2016. "A spare tire for capital markets: Fostering corporate bond markets in Asia," BIS Papers, Bank for International Settlements, number 85.
    12. M S Mohanty & Gert Schnabel & Pablo Garcia-Luna, 2006. "Banks and aggregate credit: what is new?," BIS Papers chapters, in: Bank for International Settlements (ed.), The banking system in emerging economies: how much progress has been made?, volume 28, pages 11-39, Bank for International Settlements.
    13. Paul Mizen & Frank Packer & Eli Remolona & Serafeim Tsoukas, 2012. "Why do firms issue abroad? Lessons from onshore and offshore corporate bond finance in Asian emerging markets," Working Papers 2012_16, Business School - Economics, University of Glasgow.
    14. Guonan Ma, 2007. "Who Pays China's Bank Restructuring Bill?," Asian Economic Papers, MIT Press, vol. 6(1), pages 46-71, Winter.
    15. Ilhyock Shim & Haibin Zhu, 2010. "The impact of CDS trading on the bond market: evidence from Asia," BIS Working Papers 332, Bank for International Settlements.
    16. Haizhou Huang & Ning Zhu, 2007. "The Chinese Bond Market: Historical Lessons, Present Challenges and Future Perspectives," Yale School of Management Working Papers amz2582, Yale School of Management, revised 21 Sep 2009.
    17. Mr. Mangal Goswami & Mr. Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia," IMF Working Papers 2011/132, International Monetary Fund.
    18. Guonan Ma, 2006. "Sharing China's Bank Restructuring Bill," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 14(3), pages 19-37, May.
    19. Ramon Moreno, 2006. "The changing nature of risks facing banks," BIS Papers chapters, in: Bank for International Settlements (ed.), The banking system in emerging economies: how much progress has been made?, volume 28, pages 67-98, Bank for International Settlements.
    20. Haibin Zhu, 2006. "The structure of housing finance markets and house prices in Asia," BIS Quarterly Review, Bank for International Settlements, December.
    21. Wang, Kun Tracy & Wu, Yue & Ho, Kin-Yip, 2021. "Internal control reporting and cost of bond financing: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1323-1346.
    22. Eli M Remolona & Ilhyock Shim, 2008. "Credit derivatives an structured creit: the nascant markets of Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, June.
    23. Ramon Moreno, 2008. "Monetary policy transmission and the long-term interest rate in emerging markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 61-79, Bank for International Settlements.
    24. Bank for International Settlements, 2012. "Weathering financial crises: bond markets in Asia and the Pacific," BIS Papers, Bank for International Settlements, number 63.

  15. Jeffery D Amato & Jacob Gyntelberg, 2005. "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Guonan Ma & Eli Remolona, 2009. "Learning by Doing in Market Reform: Lessons from a Regional Bond Fund," Chapters, in: Koichi Hamada & Beate Reszat & Ulrich Volz (ed.), Towards Monetary and Financial Integration in East Asia, chapter 4, Edward Elgar Publishing.
    2. Jacob Gyntelberg & Guonan Ma & Eli M Remolona, 2005. "Corporate bond markets in Asia," BIS Quarterly Review, Bank for International Settlements, December.
    3. I. Onur Filiz & Xin Guo & Jason Morton & Bernd Sturmfels, 2008. "Graphical models for correlated defaults," Papers 0809.1393, arXiv.org.
    4. Michael Chiu, 2012. "Derivatives markets, products and participants: an overview," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the workshop "Data requirements for monitoring derivative transactions", organised by the People's Bank of China and the Irving Fisher , volume 35, pages 3-11, Bank for International Settlements.
    5. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2010.
    6. Zhu, Haibin & Tarashev, Nikola A., 2008. "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies 2008,09, Deutsche Bundesbank.
    7. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    8. Jeffery D Amato, 2005. "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
    9. Franck Packer & Haibin Zhu, 2005. "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
    10. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    11. Claudio, Ferrarese, 2006. "A comparative analysis of correlation skew modeling techniques for CDO index tranches," MPRA Paper 1668, University Library of Munich, Germany.
    12. Wu, Dexiang & Dash Wu, Desheng, 2019. "An enhanced decision support approach for learning and tracking derivative index," Omega, Elsevier, vol. 88(C), pages 63-76.
    13. Murphy, David & Nahai-Williamson, Paul, 2014. "Financial Stability Paper 30: Dear Prudence, won’t you come out to play? Approaches to the analysis of CCP default fund adequacy," Bank of England Financial Stability Papers 30, Bank of England.
    14. Tang, Qihe & Tong, Zhiwei & Xun, Li, 2022. "Insurance risk analysis of financial networks vulnerable to a shock," European Journal of Operational Research, Elsevier, vol. 301(2), pages 756-771.
    15. Claudio E. V. Borio, 2007. "Change and constancy in the financial system: implications for financial distress and policy," BIS Working Papers 237, Bank for International Settlements.
    16. Miss Yinqiu Lu & Mr. Jorge A Chan-Lau, 2006. "Idiosyncratic and Systemic Risk in the European Corporate Sector: A CDO Perspective," IMF Working Papers 2006/107, International Monetary Fund.
    17. Ingo Fender & Janet Mitchell, 2005. "Structured finance: complexity, risk and the use of ratings," BIS Quarterly Review, Bank for International Settlements, June.
    18. Guonan Ma & Eli M Remolona, 2005. "Opening markets through a regional bond fund: lessons from ABF2," BIS Quarterly Review, Bank for International Settlements, June.
    19. Barbara Choros-Tomczyk & Wolfgang Karl Härdle & Ludger Overbeck, 2012. "Copula Dynamics in CDOs," SFB 649 Discussion Papers SFB649DP2012-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    20. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
    21. Di Meng & Adam Metzler & R. Mark Reesor, 2024. "Capital Structure Models and Contingent Convertible Securities," Risks, MDPI, vol. 12(3), pages 1-35, March.
    22. Jae Young Jang & Erdal Atukeren, 2019. "Sustainable Local Currency Debt: An Analysis of Foreigners’ Korea Treasury Bonds Investments Using a LA-VARX Model," Sustainability, MDPI, vol. 11(13), pages 1-23, June.
    23. Abel Elizalde, 2006. "Credit Risk Models IV: Understanding and Pricing CDOs," Working Papers wp2006_0608, CEMFI.
    24. Dominique Guegan & Julien Houdain, 2006. "Hedging tranches index products : illustration of model dependency," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179325, HAL.
    25. Petra Buzková & Petr Teplý, 2012. "Collateralized Debt Obligations' Valuation Using the One Factor Gaussian Copula Model," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(1), pages 30-49.
    26. Dermine, Jean, 2015. "Basel III leverage ratio requirement and the probability of bank runs," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 266-277.
    27. Dominique Guegan & Julien Houdain, 2006. "Hedging tranches index products : illustration of model dependency," Post-Print halshs-00179325, HAL.
    28. François-Louis Michaud, 2005. "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 79-93.
    29. Claudio E. V. Borio & Kostas Tsatsaronis, 2005. "Accounting, prudential regulation and financial stability: elements of a synthesis," BIS Working Papers 180, Bank for International Settlements.
    30. Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Pricing of credit default index swap tranches with one-factor heavy-tailed copula models," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 201-215, March.
    31. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, September.

  16. Allen Frankel & Jacob Gyntelberg & Kristian Kjeldsen & Mattias Persson, 2004. "The Danish mortgage market," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Jäger, Manfred & Voigtländer, Michael, 2006. "Immobilienfinanzierung: Hypothekenmärkte und ihre gesamtwirtschaftliche Bedeutung," IW-Analysen, Institut der deutschen Wirtschaft (IW) / German Economic Institute, volume 22, number 22.
    2. Patel, Nimesh & Daglish, Toby, 2011. "Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US," Working Paper Series 19215, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    3. Hancock Diana & Passmore Wayne, 2009. "Three Initiatives Enhancing the Mortgage Market and Promoting Financial Stability," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 9(3), pages 1-25, March.
    4. Richard K. Green & Susan M. Wachter, 2005. "The American Mortgage in Historical and International Context," Journal of Economic Perspectives, American Economic Association, vol. 19(4), pages 93-114, Fall.
    5. Kourosh Rasmussen & Claus Madsen & Rolf Poulsen, 2014. "Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark," Computational Management Science, Springer, vol. 11(1), pages 5-23, January.
    6. Ms. Luisa Zanforlin & Marco A Espinosa-Vega, 2008. "Housing Finance and Mortgage-Backed Securities in Mexico," IMF Working Papers 2008/105, International Monetary Fund.
    7. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.
    8. Jesper Berg & Morten Bækmand Nielsen & James Vickery, 2018. "Peas in a pod? Comparing the U.S. and Danish mortgage finance systems," Staff Reports 848, Federal Reserve Bank of New York.
    9. Jensen, Bjarne Astrup, 2005. "On a class of adjustable rate mortgage loans subject to a strict balance principle," Working Papers 2004-11, Copenhagen Business School, Department of Finance.
    10. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.
    11. Luci Ellis, 2010. "The Housing Meltdown: Why Did It Happen in the United States?," International Real Estate Review, Global Social Science Institute, vol. 13(3), pages 351-394.
    12. William R. White, 2007. "The housing finance revolution: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 69-84.
    13. Guy Debelle, 2004. "Macroeconomic implications of rising household debt," BIS Working Papers 153, Bank for International Settlements.
    14. Jens Dick-Nielsen & Jacob Gyntelberg & Thomas Sangill, 2012. "Liquidity in Government versus Covered Bond Markets," BIS Working Papers 392, Bank for International Settlements.

Chapters

  1. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010. "Private information, stock markets, and exchange rates," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 186-210, Bank for International Settlements.
    See citations under working paper version above.
  2. Jacob Gyntelberg & Guonan Ma & Eli Remolona, 2006. "Developing corporate bond markets in Asia," BIS Papers chapters, in: Bank for International Settlements (ed.), Developing corporate bond markets in Asia, volume 26, pages 13-21, Bank for International Settlements.

    Cited by:

    1. Joshua Felman & Simon Gray & Mangal Goswami & Andreas A. Jobst & Mahmood Pradhan & Shanaka Peiris & Dulani Seneviratne, 2014. "ASEAN-5 bond market development: Where does it stand? Where is it going?," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 28(1), pages 60-75, May.
    2. Stephen GRENVILLE, 2007. "Regional and Global Responses to the Asian Crisis," Asian Economic Policy Review, Japan Center for Economic Research, vol. 2(1), pages 54-70, June.
    3. Rudra Sensarma & Indranil Bhattacharyya, 2016. "Measuring monetary policy and its impact on the bond market of an emerging economy," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(2), pages 109-130, July.
    4. Mr. Mangal Goswami & Mr. Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia," IMF Working Papers 2011/132, International Monetary Fund.
    5. Jayadev M. & Joshy Jacob, 2010. "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(1), pages 51-70, April.
    6. Guillaumin, Cyriac, 2009. "Financial integration in East Asia: Evidence from panel unit root and panel cointegration tests," Journal of Asian Economics, Elsevier, vol. 20(3), pages 314-326, May.
    7. Ma, Guonan & Yao, Wang, 2016. "Can the Chinese bond market facilitate a globalizing renminbi?," BOFIT Discussion Papers 1/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Safdar Ullah Khan, 2006. "Macro Determinants of Total Factor Productivity in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 2, pages 383-401..
    9. Andrew Filardo & Jason George & Mico Loretan & Guonan Ma & Anella Munro & Ilhyock Shim & Philip Wooldridge & James Yetman & Haibin Zhu, 2010. "The international financial crisis: timeline, impact and policy responses in Asia and the Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 21-82, Bank for International Settlements.
    10. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers 03/2013, Deutsche Bundesbank.
    11. Sangyup Choi, 2018. "Bank Lending Standards, Loan Demand, and the Macroeconomy: Evidence from the Emerging Market Bank Loan Officer Survey," Working papers 2018rwp-126, Yonsei University, Yonsei Economics Research Institute.

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