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Economics and Finance

D-Index
35
Citations
10218
World Ranking
2876
National Ranking
45

Overview

Mathias Drehmann is affiliated with the Bank for International Settlements in Switzerland and specializes in the field of Economics, Econometrics, and Finance. Their scholarly work is concentrated across several subfields including General Economics, Econometrics and Finance, Finance, and Economics and Econometrics.

The research topics covered by Mathias Drehmann include banking stability, regulation, and efficiency; monetary policy and its economic impact; economic theory and policy; the global financial crisis and policies; fiscal policy and economic growth; as well as housing market and economics.

Among the recent papers authored or co-authored by Mathias Drehmann are:

  • "Central Bank Bond Purchases in Emerging Market Economies," 2020, published in SSRN Electronic Journal
  • "Forecasting recessions: the importance of the financial cycle," 2020, published in Journal of Macroeconomics
  • "The Scarring Effects of Deep Contractions," 2022, published in SSRN Electronic Journal
  • "The Holt-Winters filter and the one-sided HP filter: A close correspondence," 2022, published in Economics Letters
  • "Long-Term Debt Propagation and Real Reversals," 2023, published in SSRN Electronic Journal

Mathias Drehmann frequently collaborates with several co-authors, including:

  • Mikael Juselius
  • Rodrigo Alfaro
  • Yavuz Arslan
  • Boris Hofmann
  • Claudio Borio

The predominant publication venues for Mathias Drehmann's research are the SSRN Electronic Journal, with multiple papers published there, along with contributions to the Journal of Macroeconomics and Economics Letters.

Best Publications

  • Characterising the financial cycle : don't lose sight of the medium term!

    Mathias Drehmann;Claudio Borio;Kostas Tsatsaronis

  • Assessing the risk of banking crises - revisited

    Claudio Borio;Mathias Drehmann

  • Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates

    Mathias Drehmann;Claudio Borio;Kostas Tsatsaronis

  • Towards an operational framework for financial stability : "fuzzy" measurement and its consequences

    Claudio Borio;Mathias Drehmann

  • Funding liquidity risk: Definition and measurement

    Mathias Drehmann;Kleopatra Nikolaou

  • Evaluating early warning indicators of banking crises: satisfying policy requirements

    Mathias Drehmann;Mikael Juselius

  • Measuring the systemic importance of interconnected banks

    Mathias Drehmann;Nikola Tarashev

  • Stress-testing macro stress testing: Does it live up to expectations?

    Claudio Borio;Mathias Drehmann;Kostas Tsatsaronis

  • The credit-to-GDP gap and countercyclical capital buffers: questions and answers

    Mathias Drehmann;Kostas Tsatsaronis

  • Countercyclical capital buffers: exploring options

    Mathias Drehmann;Claudio Borio;Leonardo Gambacorta;Gabriel Jiminez

  • Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

    Mathias Drehmann;Joerg Oechssler;Andreas Roider

  • Systemic importance: some simple indicators

    Mathias Drehmann;Nikola Tarashev

  • How much does the private sector really borrow - a new database for total credit to the private non-financial sector

    Christian Dembiermont;Mathias Drehmann;Siriporn Muksakunratana

  • Macro stress tests and crises: what can we learn?

    Rodrigo Alfaro;Mathias Drehmann

  • The challenges facing currency usage: will the traditional transaction medium be able to resist competition from the new technologies?

    Mathias Drehmann;Charles Goodhart;Malte Krueger

  • Countercyclical capital buffers : exploring options

    Mathias Drehmann;Claudio Borio;Leonardo Gambacorta;Leonardo Gambacorta;Gabriel Jimenez

  • The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application

    Mathias Drehmann;Steffen Sorensen;Marco Stringa

  • Monetary Policy, the Financial Cycle and Ultralow Interest Rates

    Mikael Juselius;Mikael Juselius;Mikael Juselius;Claudio E. V. Borio;Piti Disyatat;Mathias Drehmann

  • An economic capital model integrating credit and interest rate risk in the banking book

    Piergiorgio Alessandri;Mathias Drehmann

  • The effects of countercyclical capital buffers on bank lending

    Mathias Drehmann;Leonardo Gambacorta

  • Do debt service costs affect macroeconomic and financial stability

    Mathias Drehmann;Mikael Juselius

Frequent Co-Authors

Claudio Borio
Claudio Borio Bank for International Settlements
Anton Korinek
Anton Korinek University of Virginia
Leonardo Gambacorta
Leonardo Gambacorta Bank for International Settlements
Jörg Oechssler
Jörg Oechssler Heidelberg University
Charles Goodhart
Charles Goodhart London School of Economics and Political Science
Boris Hofmann
Boris Hofmann Bank for International Settlements

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