Published
The macro-financial effects of international bank lending on emerging markets, w/ P Beltrán, F Grinberg & T Mancini-Griffoli. Journal of International Economics, Volume 142, May 2023, 103733. GIV series. Replication Package (Please get in touch and cite the paper in case you use any data from this folder). Also BIS WP #899.
Operational and cyber risk in the financial sector, w/ L Gambacorta, P Giudici & T Leach. International Journal of Central Banking, Volume 19, Issue 5, December 2023. Also BIS WP #840, February 2020.
Global and domestic financial cycles: variations on a theme, w/ S Avdjiev, C Borio & P Disyatat, International Journal of Central Banking, Volume 19, Issue 5, December 2023. Also BIS WP #864, May 2020.
Spillovers of funding dry-ups, w/ F Balke, A Barth & E Eren. Journal of International Economics, Volume 137, July 2022, 103622. Replication Package (Please get in touch and cite the paper in case you use any data from this folder); also BIS WP #810.
Global banks, dollar funding, and regulation, w/ T Ehlers & E Eren. Journal of International Economics, Volume 137, July 2022, 103609. Replication Package (Please get in touch and cite the paper in case you use any data from this folder); also BIS WP #708.
Contagion accounting in stress-testing, w/ AC Hüser & C Kok, Journal of Economic Dynamics and Control, Volume 137, April 2022, 104354.
The drivers of cyber risk, w/ L Gambacorta, P Giudici & T Leach, Journal of Financial Stability, Volume 60, June 2022, 100989.
Bank solvency risk and funding cost interactions in a small open economy: evidence from Korea, w/ CH Cho & K Park. Journal of Banking & Finance, vol 134, January 2022.
The Janus face of bank geographic complexity, w/ B Hardy & M Jager. Journal of Banking & Finance, vol 134, January 2022.
Multiplex interbank networks and systemic importance: An application to European data, w/ I Alves, Journal of Financial Stability, Vol 35, pp 17-37, April 2018.
Bank networks: Contagion, systemic risk and prudential policy, w D Delli Gatti & E Faia, Journal of Economic Behaviour & Organization, Vol 142, pp 164-188, October 2017
Systemic loops and liquidity regulation, w E Faia, Journal of Financial Stability, Vol 27, pp 1-16, December 2016.
Input-output-based measures of systemic importance, w/ I Angeloni, Quantitative Finance, Vol 15, pp 589-606, October 2015.
Less aid proliferation and more donor coordination? The wide gap between words and deeds, w/ P Nunnenkamp & R Thiele, Journal of International Development, Vol 22, 2010.
Working paper / In progress
On par: A money view of stablecoins, w/ P Mehrling & DH Neilson, BIS WP # 1146.
Public information and stablecoin runs, w/ R Ahmed & C Duley. [submitted]
Systemic risk in markets with multiple central counterparties, w/ LAM Veraart, BIS WP #1052, November 2022. [submitted]
Non-bank lending during crises, w/ S Doerr & H Zhou, BIS WP #1074, February 2023. [submitted]
Risk-taking by asset managers and bank regulation, w/ W Huang & N Tarashev, BIS WP #933, March 2021. Previously circulated as Asset managers, market liquidity and bank regulation. Reject & Resubmit at Management Science.
Trading frictions in money markets, w/ P Beltrán [in progress].
The economic limits to tokenisation, w/ S Doerr & P Koo Wilkens [in progress].
The effect of artificial intelligence on output and inflation, w/ S Doerr, L Gambacorta & D Rees [in progress].
Permanent working papers / in limbo
Syndicated loans and CDS positioning, w/ A Barth, BIS WP #679, Decemeber 2017.
External financing and economic activity in the euro area - why are bank loans special?, w/ R Unger, BIS WP #622, March 2017.
Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset, w/ J Abad, C Aymanns, M D’Errico, L Fache Rousová, P Hoffmann, S Langfield, M Neychev, T Roukny, ESRB Occasional Paper #11, September 2016.
Vertical fiscal imbalances and the accumulation of government debt, w/ M Seiferling, IMF WP 14/209.
Policy regimes, bank business models and the risk-taking channel of monetary policy, w/ K Park.