Research

Published:


Eichengreen, B., A. Mody, M. Nedeljkovic and L. Sarno, 2012, “How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads”, Journal of International Money and Finance 31 (5), pp. 1299-1318.

  • We document the changes in the degree of comovements between the US and European bank CDS spreads in the run up to the crisis, and estimate the key financial drivers of such changes. Citations (scholar): 380.

Cusolito, A. and M. Nedeljkovic, 2013, Toolkit for the Analysis of Current Account Imbalances, International Trade Department, World Bank, Washington DC.

  • We develop a framework that analysts can use to assess a country’s external balance through the lens of the drivers of the current and financial accounts. Citations: 8.

Ayala, D., M. Nedeljkovic, and C. Saborowski, 2017, "What Slice of the Pie? The Corporate Bond Market Boom in Emerging Economies”, Journal of Financial Stability 30, pp. 16-35.

  • We uncover the differences in determinants of shifts in debt composition among emerging market non-financial corporates over the post-crisis period and between local and foreign currency markets. Citations: 37.

  • Featured in IMF's 2016 Global Financial Stability Report and UN's 2016 World Economic Situation Prospects.

Altiparmakov, N. and M. Nedeljkovic, 2018, “Does Pension Privatization Increase Economic Growth? Evidence from Latin America and Eastern Europe”, Journal of Pension Economics & Finance 17(1), pp. 46-84.

  • We find limited effects of pension privatization on economic growth and national savings using the new cross-country dataset on the share of an employee’s wage allocated to private funds. Citations: 14.

Nedeljkovic, M., and C. Saborowski, 2019, "The Relative Effectiveness of Spot and Derivatives Based Intervention”, Journal of Money, Credit & Banking 51(6), pp. 1455-1490.

  • We use the unique dataset from Brazil to provide the first empirical evidence of the relative effectiveness of using different foreign exchange intervention instruments. In line with theory, we find similar and statistically indistinguishable effect of both modes of intervention on the exchange rate returns when the convertibility risk is limited. We show that both types of interventions also affect the level and the price of hedging risk in the foreign exchange market. Citations: 13.

Nedeljkovic, M., 2020, "A Projection-Based Nonparametric Test of Conditional Quantile Independence", Econometric Reviews 39(1), pp. 1-26.

  • We propose a nonparametric test of conditional quantile independence using projections which yields improvements in the rate of convergence of high frequency local alternatives to the null hypothesis that the test statistic can detect as well as in its finite sample performance relative to its competitors. Citations: 3.


Working papers:


Mody, A., and M. Nedeljkovic, 2020, "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis". [VOX EU summary column]

  • We propose a novel econometric framework to identify the financial markets’ response to different types of central bank measures during the most intense phase of the eurozone crisis. We uncover significant differences in responses to the ECB’s liquidity (dollar and euro) and monetary stimulus measures.