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Publications

by alumni of

Department of Finance
Stockholm School of Economics
Stockholm, Sweden

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2023

  1. Hoerova, Marie & Breckenfelder, Johannes, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," CEPR Discussion Papers 18122, C.E.P.R. Discussion Papers.
  2. Breckenfelder, Johannes & Maćkowiak, Bartosz & Marqués-Ibáñez, David & Olovsson, Conny & Popov, Alexander & Porcellacchia, Davide & Schepens, Glenn, 2023. "The climate and the economy," Working Paper Series 2793, European Central Bank.

2022

  1. Aghion, Philippe & Boneva, Lena & Breckenfelder, Johannes & Laeven, Luc & Olovsson, Conny & Popov, Alexander & Rancoita, Elena, 2022. "Financial Markets and Green Innovation," Working Paper Series 2686, European Central Bank.

2021

  1. Breckenfelder, Johannes & Ivashina, Victoria, 2021. "Bank balance sheet constraints and bond liquidity," Working Paper Series 2589, European Central Bank.

2020

  1. B De Rezende, Rafael & Ristiniemi, Annukka, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.

2019

  1. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.

2018

  1. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment," Working Paper Series 2193, European Central Bank.

2016

  1. Augustin, Patrick & Boustanifar, Hamid & Breckenfelder, Johannes & Schnitzler, Jan, 2016. "Sovereign to corporate risk spillovers," Working Paper Series 1878, European Central Bank.
  2. Breckenfelder, Johannes & De Fiore, Fiorella & Andrade, Philippe & Karadi, Peter & Tristani, Oreste, 2016. "The ECB's asset purchase programme: an early assessment," Working Paper Series 1956, European Central Bank.
  3. De Rezende, Rafael B., 2016. "The interest rate effects of government bond purchases away from the lower bound," Working Paper Series 324, Sveriges Riksbank (Central Bank of Sweden).

2015

  1. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).

2013

  1. Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.

2008

  1. Rafael Barros de Rezende, 2008. "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211322560, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

Journal articles

2023

  1. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Navigating liquidity crises in non-banks: An assessment of central bank policies," Research Bulletin, European Central Bank, vol. 108.
  2. De Rezende, Rafael B. & Ristiniemi, Annukka, 2023. "A shadow rate without a lower bound constraint," Journal of Banking & Finance, Elsevier, vol. 146(C).

2021

  1. Breckenfelder, Johannes & Ivashina, Victoria, 2021. "Bank leverage constraints and bond market illiquidity during the COVID-19 crisis," Research Bulletin, European Central Bank, vol. 89.

2020

  1. Breckenfelder, Johannes, 2020. "How does competition among high-frequency traders affect market liquidity?," Research Bulletin, European Central Bank, vol. 78.

2018

  1. Breckenfelder, Johannes, 2018. "How is a firm’s credit risk affected by sovereign risk?," Research Bulletin, European Central Bank, vol. 53.
  2. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 247-262.
  3. Patrick Augustin & Hamid Boustanifar & Johannes Breckenfelder & Jan Schnitzler, 2018. "Sovereign to Corporate Risk Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 857-891, August.

2017

  1. De Rezende, Rafael B., 2017. "The interest rate effects of government bond purchases away from the lower bound," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 165-186.

2013

  1. Rafael B. Rezende & Mauro S. Ferreira, 2013. "Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 111-123, March.

2011

  1. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.

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