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Mathias Drehmann

Personal Details

First Name:Mathias
Middle Name:
Last Name:Drehmann
Suffix:
RePEc Short-ID:pdr53
[This author has chosen not to make the email address public]
http://www.bis.org/author/mathias_drehmann.htm
Terminal Degree:2003 Wirtschaftswissenschaftlicher Fachbereich; Rheinische Friedrich-Wilhelms-Universität Bonn (from RePEc Genealogy)

Affiliation

Bank for International Settlements (BIS)

Basel, Switzerland
http://www.bis.org/
RePEc:edi:bisssch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Mathias Drehmann & Mikael Juselius & Anton Korinek, 2023. "Long-term debt propagation and real reversals," BIS Working Papers 1098, Bank for International Settlements.
  2. Rodrigo Alfaro & Mathias Drehmann, 2022. "The Holt-Winters filter and the one-sided HP filter: A close correspondence," BIS Working Papers 1033, Bank for International Settlements.
  3. David Aikman & Mathias Drehmann & Mikael Juselius & Xiaochuan Xing, 2022. "The scarring effects of deep contractions," BIS Working Papers 1043, Bank for International Settlements.
  4. Yavuz Arslan & Mathias Drehmann & Boris Hofmann, 2020. "Central bank bond purchases in emerging market economies," BIS Bulletins 20, Bank for International Settlements.
  5. Mathias Drehmann & Marc Farag & Nicola Tarashev & Kostas Tsatsaronis, 2020. "Buffering Covid-19 losses - the role of prudential policy," BIS Bulletins 9, Bank for International Settlements.
  6. Mathias Drehmann & James Yetman, 2020. "Which credit gap is better at predicting financial crises? A comparison of univariate filters," BIS Working Papers 878, Bank for International Settlements.
  7. Claudio Borio & Mathias Drehmann & Dora Xia Author-X-Name_First: Dora, 2019. "Predicting recessions: financial cycle versus term spread," BIS Working Papers 818, Bank for International Settlements.
  8. Mathias Drehmann & James Yetman, 2018. "Why you should use the Hodrick-Prescott filter - at least to generate credit gaps," BIS Working Papers 744, Bank for International Settlements.
  9. Mathias Drehmann & Mikael Juselius & Anton Korinek, 2018. "Going With the Flows: New Borrowing, Debt Service and the Transmission of Credit Booms," NBER Working Papers 24549, National Bureau of Economic Research, Inc.
  10. Mikael Juselius & Anton Korinek & Mathias Drehmann, 2017. "Debt Service: The Painful Legacy of Credit Booms," 2017 Meeting Papers 1258, Society for Economic Dynamics.
  11. Drehmann, Mathias & Juselius, Mikael & Korinek, Anton, 2017. "Accounting for debt service: The painful legacy of credit booms," Bank of Finland Research Discussion Papers 12/2017, Bank of Finland.
  12. Mathias Drehmann & Mikael Juselius & Anton Korinek, 2017. "Accounting for debt service: the painful legacy of credit booms," BIS Working Papers 645, Bank for International Settlements.
  13. Mikael Juselius & Claudio Borio & Piti Disyatat & Mathias Drehmann, 2016. "Monetary policy, the financial cycle and ultra-low interest rates," BIS Working Papers 569, Bank for International Settlements.
  14. Juselius, Mikael & Drehmann, Mathias, 2016. "Leverage dynamics and the burden of debt," Bank of Finland Research Discussion Papers 3/2016, Bank of Finland.
  15. Juselius, Mikael & Borio, Claudio & Disyatat, Piti & Drehmann, Mathias, 2016. "Monetary policy, the financial cycle and ultralow interest rates," Bank of Finland Research Discussion Papers 24/2016, Bank of Finland.
  16. Mikael Juselius & Mathias Drehmann, 2015. "Leverage dynamics and the real burden of debt," BIS Working Papers 501, Bank for International Settlements.
  17. Mathias Drehmann, 2013. "Evaluating early warning indicators of banking crises: Satisfying policy requirements," BIS Working Papers 421, Bank for International Settlements.
  18. Kapadia, Sujit & Drehmann, Mathias & Elliott, John & Sterne, Gabriel, 2012. "Liquidity risk, cash-flow constraints and systemic feedbacks," Bank of England working papers 456, Bank of England.
  19. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2012. "Characterising the financial cycle: don't lose sight of the medium term!," BIS Working Papers 380, Bank for International Settlements.
  20. Claudio Borio & Mathias Drehmann & Kostas Tsatsaronis, 2012. "Stress-testing macro stress testing: does it live up to expectations?," BIS Working Papers 369, Bank for International Settlements.
  21. Nikola Tarashev & Mathias Drehmann, 2011. "Measuring the systemic importance of interconnected banks," BIS Working Papers 342, Bank for International Settlements.
  22. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring countercyclical capital buffers: the role of credit aggregates," BIS Working Papers 355, Bank for International Settlements.
  23. Mathias Drehmann & Claudio Borio & Leonardo Gambacorta & Gabriel Jiminez & Carlos Trucharte, 2010. "Countercyclical capital buffers: exploring options," BIS Working Papers 317, Bank for International Settlements.
  24. Mathias Drehmann & Kleopatra Nikolaou, 2010. "Funding liquidity risk: definition and measurement," BIS Working Papers 316, Bank for International Settlements.
  25. Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Bank of England working papers 388, Bank of England.
  26. Claudio Borio & Claudio Mathias Drehmann, 2009. "Towards an operational framework for financial stability: "fuzzy" measurement and its consequences," BIS Working Papers 284, Bank for International Settlements.
  27. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
  28. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
  29. Drehmann, Mathias & Roider, Andreas & Oechssler, Joerg, 2005. "Herding With and Without Payoff Externalities - An Internet Experiment," CEPR Discussion Papers 5310, C.E.P.R. Discussion Papers.
  30. Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series qt6zf5469f, Department of Economics, UC Santa Barbara.
  31. Drehmann, Mathias, 2002. "Will an optimal deposit insurance always increase financial stability?," Bonn Econ Discussion Papers 28/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
  32. Matthias Drehmann & Charles Goodhart, 2000. "Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate," FMG Discussion Papers dp358, Financial Markets Group.
    repec:bof:bofrdp:2018_010 is not listed on IDEAS
    repec:awi:wpaper:0420 is not listed on IDEAS
    repec:bof:bofrdp:2016_003 is not listed on IDEAS

Articles

  1. Alfaro, Rodrigo & Drehmann, Mathias, 2023. "The Holt–Winters filter and the one-sided HP filter: A close correspondence," Economics Letters, Elsevier, vol. 222(C).
  2. Mathias Drehmann & Vladyslav Sushko, 2022. "The global foreign exchange market in a higher-volatility environment," BIS Quarterly Review, Bank for International Settlements, December.
  3. Mathias Drehmann & James Yetman, 2021. "Which Credit Gap Is Better at Predicting Financial Crises? A Comparison of Univariate Filters," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-31, October.
  4. Adam Cap & Mathias Drehmann & Andreas Schrimpf, 2020. "Changes in monetary policy operating procedures over the last decade: insights from a new database," BIS Quarterly Review, Bank for International Settlements, December.
  5. Borio, Claudio & Drehmann, Mathias & Xia, Fan Dora, 2020. "Forecasting recessions: the importance of the financial cycle," Journal of Macroeconomics, Elsevier, vol. 66(C).
  6. Mikael Juselius & Mathias Drehmann, 2020. "Leverage Dynamics and the Burden of Debt," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 347-364, April.
  7. Iñaki Aldasoro & Claudio Borio & Mathias Drehmann, 2018. "Early warning indicators of banking crises: expanding the family," BIS Quarterly Review, Bank for International Settlements, March.
  8. Claudio Borio & Mathias Drehmann & Dora Xia, 2018. "The financial cycle and recession risk," BIS Quarterly Review, Bank for International Settlements, December.
  9. Mikael Juselius & Claudio Borio & Piti Disyatat & Mathias Drehmann, 2017. "Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(3), pages 55-89, September.
  10. Mathias Drehmann & Anamaria Illes & Mikael Juselius & Marjorie Santos, 2015. "How much income is used for debt payments? A new database for debt service ratios," BIS Quarterly Review, Bank for International Settlements, September.
  11. Mathias Drehmann & Kostas Tsatsaronis, 2014. "The credit-to-GDP gap and countercyclical capital buffers: questions and answers," BIS Quarterly Review, Bank for International Settlements, March.
  12. Drehmann, Mathias & Juselius, Mikael, 2014. "Evaluating early warning indicators of banking crises: Satisfying policy requirements," International Journal of Forecasting, Elsevier, vol. 30(3), pages 759-780.
  13. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
  14. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 586-607.
  15. Mathias Drehmann, 2013. "Total credit as an early warning indicator for systemic banking crises," BIS Quarterly Review, Bank for International Settlements, June.
  16. Christian Dembiermont & Mathias Drehmann & Siriporn Muksakunratana, 2013. "How much does the private sector really borrow - a new database for total credit to the private non-financial sector," BIS Quarterly Review, Bank for International Settlements, March.
  17. Mathias Drehmann & Leonardo Gambacorta, 2012. "The effects of countercyclical capital buffers on bank lending," Applied Economics Letters, Taylor & Francis Journals, vol. 19(7), pages 603-608, May.
  18. Mathias Drehmann & Mikael Juselius, 2012. "Do debt service costs affect macroeconomic and financial stability?," BIS Quarterly Review, Bank for International Settlements, September.
  19. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 189-240, December.
  20. Mathias Drehmann & Nikola Tarashev, 2011. "Systemic importance: some simple indicators," BIS Quarterly Review, Bank for International Settlements, March.
  21. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
  22. Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 730-742, April.
  23. Claudio Borio & Mathias Drehmann, 2009. "Assessing the risk of banking crises - revisited," BIS Quarterly Review, Bank for International Settlements, March.
  24. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2009. "El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital," Monetaria, CEMLA, vol. 0(1), pages 63-115, enero-mar.
  25. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
  26. Claudio Borio & Mathias Drehmann, 2009. "Evaluación del riesgo de crisis bancarias: una revisión," Boletín, CEMLA, vol. 0(3), pages 139-153, Julio-sep.
  27. Nuno Cassola & Mathias Drehmann & Philipp Hartmann & Marco Lo Duca & Martin Scheicher, 2008. "A research perspective on the propagation of the credit market turmoil," Research Bulletin, European Central Bank, vol. 7, pages 2-5.
  28. Drehmann, Mathias & Oechssler, Jorg & Roider, Andreas, 2007. "Herding with and without payoff externalities -- an internet experiment," International Journal of Industrial Organization, Elsevier, vol. 25(2), pages 391-415, April.
  29. Mathias Drehmann & Jörg Oechssler & Andreas Roider, 2005. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," American Economic Review, American Economic Association, vol. 95(5), pages 1403-1426, December.
  30. Mathias Drehmann & Charles Goodhart & Malte Krueger, 2002. "The challenges facing currency usage: will the traditional transaction medium be able to resist competition from the new technologies? [‘Statement before the subcommittee on general oversight and i," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 17(34), pages 193-228.

Chapters

  1. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2013. "Can We Identify the Financial Cycle?," World Scientific Book Chapters, in: Douglas D Evanoff & Cornelia Holthausen & George G Kaufman & Manfred Kremer (ed.), The Role of Central Banks in Financial Stability How Has It Changed?, chapter 7, pages 131-156, World Scientific Publishing Co. Pte. Ltd..
  2. Mathias Drehmann, 2011. "Comment on "How to Calculate Systemic Risk Surcharges"," NBER Chapters, in: Quantifying Systemic Risk, pages 212-221, National Bureau of Economic Research, Inc.
  3. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123, Central Bank of Chile.
  4. Claudio Borio & Mathias Drehmann, 2011. "Financial Instability and Macroeconomics: Bridging the Gulf," World Scientific Book Chapters, in: Asli Demirgüç-Kunt & Douglas D Evanoff & George G Kaufman (ed.), The International Financial Crisis Have the Rules of Finance Changed?, chapter 17, pages 237-268, World Scientific Publishing Co. Pte. Ltd..
  5. Mathias Drehmann, 2007. "Discussion of 'Banks, Markets and Liquidity'," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.

Books

  1. Mathias Drehmann & Bafundi Maronoti & Angela O'Connor, 2023. "Global tightening, banking stress and market resilience in EMEs," BIS Papers, Bank for International Settlements, number 134.

More information

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Citations
  3. Number of Citations, Discounted by Citation Age
  4. Number of Citations, Weighted by Simple Impact Factor
  5. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  6. Number of Citations, Weighted by Recursive Impact Factor
  7. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
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  9. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  11. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
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  15. Number of Registered Citing Authors
  16. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  17. Number of Abstract Views in RePEc Services over the past 12 months
  18. Number of Downloads through RePEc Services over the past 12 months
  19. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  20. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  21. Euclidian citation score
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  23. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 38 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (23) 2007-04-09 2009-05-30 2009-08-08 2010-06-11 2010-07-17 2010-08-14 2011-03-26 2011-11-21 2012-06-25 2012-07-08 2013-08-23 2015-06-20 2016-06-14 2017-07-02 2017-07-09 2018-01-22 2018-05-07 2018-05-21 2018-10-08 2020-05-04 2020-08-31 2023-05-22 2023-06-26. Author is listed
  2. NEP-MAC: Macroeconomics (15) 2007-04-09 2009-03-28 2012-06-25 2016-06-14 2016-07-23 2016-08-28 2017-07-02 2017-07-09 2018-01-22 2018-05-07 2018-05-21 2018-10-08 2019-10-28 2020-08-31 2023-06-26. Author is listed
  3. NEP-FDG: Financial Development and Growth (11) 2016-07-23 2016-08-28 2018-01-22 2018-05-07 2018-05-21 2018-10-08 2019-10-28 2020-08-31 2022-09-26 2023-01-02 2023-05-22. Author is listed
  4. NEP-CBA: Central Banking (9) 2009-06-10 2011-03-26 2012-07-08 2013-08-23 2016-07-23 2016-08-28 2020-05-04 2020-06-15 2022-11-07. Author is listed
  5. NEP-RMG: Risk Management (7) 2003-06-16 2007-04-09 2009-05-30 2009-08-08 2010-06-11 2012-07-08 2020-05-04. Author is listed
  6. NEP-EXP: Experimental Economics (5) 2002-10-23 2003-06-16 2004-12-02 2005-10-29 2005-12-09. Author is listed
  7. NEP-FIN: Finance (4) 2002-10-23 2003-06-16 2004-12-02 2005-10-29
  8. NEP-NET: Network Economics (4) 2002-10-23 2002-10-23 2005-12-09 2011-03-26
  9. NEP-CFN: Corporate Finance (3) 2003-06-16 2004-12-02 2009-05-30
  10. NEP-MON: Monetary Economics (3) 2016-07-23 2016-08-28 2020-06-15
  11. NEP-CBE: Cognitive and Behavioural Economics (2) 2002-10-23 2003-06-16
  12. NEP-HIS: Business, Economic and Financial History (2) 2022-11-07 2023-01-02
  13. NEP-IFN: International Finance (2) 2012-06-25 2019-10-28
  14. NEP-REG: Regulation (2) 2009-06-10 2011-11-21
  15. NEP-ACC: Accounting and Auditing (1) 2007-04-09
  16. NEP-ECM: Econometrics (1) 2022-09-26
  17. NEP-ETS: Econometric Time Series (1) 2022-09-05
  18. NEP-FMK: Financial Markets (1) 2005-10-29
  19. NEP-FOR: Forecasting (1) 2019-10-28
  20. NEP-MST: Market Microstructure (1) 2009-08-08
  21. NEP-PKE: Post Keynesian Economics (1) 2004-12-02

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