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The hunt for duration: not waving but drowning?, IMF Economic Review , 2017, Vol 65, no 1, pp 113-153.
with Dietrich Domanski and Hyun Song Shin
Revised SSRN Working Paper available here
BIS Working Papers No 519 available here
Video of presentation for the 16th Jacques Polak Annual Research Conference: Unconvetional Monetary and Exchange Rate Policies, IMF, Washignton DC, 5-6 November 2015
The response of tail risk perceptions to unconventional monetary policy, American Economic Journal: Macroeconomics, 2016, Vol 8, no 2, pp 111-136.
with Masazumi Hattori and Andreas Schrimpf
Revised SSRN Working Paper available here
BIS Working Papers No 425 available here
Bank capital shock propagation via syndicated interconnectedness, Computational Economics , 2016, Volume 47, Issue 1, pp 67-96
with Makoto Nirei and Julian Caballero
BIS Working Papers No 484 available here
US Monetary Policy, Leverage and Offshore Dollar Credit, Economic Policy, 2015, April, pp. 187-229
with Robert McCauley and Patrick McGuire
BIS Working Papers No 483 available here
Financial sector ups and downs and the real sector in the open economy: Up by the stairs, down by the parachute, Emerging Markets Review, 2013, Vol. 16, pp. 1-30
with Joshua Aizenman and Brian Pinto
World Bank Policy Research Working Paper No. 5860, available here
Dedicated website here
Video of presentation for the IMF conference “Financial Deepening, Macro-Stability, and Growth”
Impact of Macroeconomic Surprises on Carry Trade Activity, Journal of Banking & Finance, 2013, Vol. 37(4), pp. 1133-1147
with Michael Hutchison
From the great moderation to the global crisis: Exchange Market Pressure in the 2000s, Open Economies Review, 2012, Vol. 23(4), pp. 597-621
with Joshua Aizenman and Jaewoo Lee
NBER Working Paper No. 16447 available here
Jumps in Foreign Exchange Rates and Stochastic Unwinding of Carry Trades, International Review of Economics & Finance, 2011, Vol. 20, pp. 110-127
with Makoto Nirei
Extended version: Speculative Dynamics and Currency Crash Risk
Working Papers:
FX Spot and Swap Market Liquidity and the Effects of Window Dressing, Available on SSRN, December 2017
with Ingomar Krohn
The failure of covered interest parity: FX hedging demand and costly balance sheets, BIS Working Papers No 590, October 2016 (available on SSRN, revised 2018)
with Cladio Borio, Mobeen Iqbal, Robert McCauley and Patrick McGuire
Stochastic Herding in Financial Markets: Evidence from Institutional Investor Equity Portfolios, BIS Working Papers No 371 , February 2012
with Makoto Nirei and Theodoros Stamatiou
Video of presentation for ETH Zurich Risk Center Seminar Series
Investment and Growth in Rich and Poor Countries, NBER Working Paper No. 17788, January 2012
with Michael Dooleyand Ying-Wong Cheung
Capital flows: Catalyst or Hindrance to economic takeoffs?, NBER Working Paper No. 17258, July 2011
with Joshua Aizenman
Capital Flow Types, External Financing Needs, and Industrial Growth: 99 countries, 1991-2007, NBER Working Paper No. 17228, July 2011
with Joshua Aizenman
Contributions to Policy Analysis and Other Publications:
Monitoring of fast-paced electronic markets, Markets Committee Papers, No 10, 17 September 2018
What risks to exchange-traded funds pose?, Bank of France Financial Stability Review, Non-bank finance: trends and challenges, no. 22, April 2018
with Grant Turner
The equity market turbulence of 5 February - the role of exchange-traded volatility products, BIS Quarterly Review, March 2018, pp. 4-6
with Grant Turner
The implications of passive investing for securities markets, BIS Quarterly Review, March 2018, pp. 113-131
with Grant Turner
Downsized FX markets: causes and implications, BIS Quarterly Review, December 2016, pp. 35-51
with Michael Moore, Andreas Schrimpf
Covered interest parity lost: understanding the cross-currency basis, BIS Quarterly Review, September 2016, pp. 45-64
with Cladio Borio, Robert McCauley and Patrick McGuire
Recent dislocations in fixed income derivatives markets, BIS Quarterly Review, December 2015, pp. 8-9
with Suresh Sundaresan
Dollar credit to emerging market economies, BIS Quarterly Review, December 2015, pp. 27-41
with Robert McCauley and Patrick McGuire
The BIS Global liquidity indicators, IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39 Bank for International Settlements, 2015
with Patrick McGuire
Risks related to EME corporate balance sheets: the role of leverage and currency mismatch, BIS Quarterly Review, September 2014, pp. 35-47
with Michael Chui and Ingo Fender
Re-thinking the lender of last resort: workshop summary, BIS Papers No 79, September 2014
with Dietrich Domanski
EME banking systems and regional financial integration, CGFS Publications No 51, March 2014
Unconventional monetary policy and tail risk perceptions, VoxEU, 17 November 2013
with Masazumi Hattori and Andreas Schrimpf
Tail-risk perceptions around unconventional monetary policy announcements, BIS Quarterly Review, March 2013, pp. 4-5
with Masazumi Hattori and Andreas Schrimpf
Unconventional policies: market impact and countervailing factors, BIS Quarterly Review, September 2012, pp. 6-7
with Torsten Ehlers
European bank funding and deleveraging, BIS Quarterly Review, March 2012, pp. 1-12
with Mathias Drehmann, Nicholas Vause, and Goetz von Peter
From the great moderation to the global crisis: Exchange Market Pressure in the 2000s, VoxEU, 22 October 2010
with Joshua Aizenman and Jaewoo Lee
Disclaimer: The views expressed on this site are personal and do not necessarily reflect the views of the Bank for International Settlements.
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