Papers & Reviews

  • 07 Agosto 2017
Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?

Keywords: Credit ratings, split ratings, state-owned firms, Chinese bond markets.

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  • 04 Agosto 2017
The leverage ratio, risk-taking and bank stability

Keywords: Bank capital; Risk-taking; Leverage ratio; Basel III.

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  • 02 Agosto 2017
Financial crises and the dynamic linkages between stock and bond returns

Keywords: Bond prices, Financial crisis, Stock prices, Time–varying GARCH models, Volatility spillovers.

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  • 31 Julio 2017
Estimating the impact of shocks to bank capital in the euro area

Keywords: Euro area, Bank Balance Sheet Adjustment, Capital Ratio, Bayesian VAR, Macroprudential Policy, Sign Restrictions.

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  • 28 Julio 2017
The TIPS Liquidity Premium

Keywords: term structure modelling, liquidity risk, financial market frictions.

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