Bernd Schwaab : Citation Profile


Are you Bernd Schwaab?

European Central Bank

12

H index

15

i10 index

543

Citations

RESEARCH PRODUCTION:

17

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2008 - 2020). See details.
   Cites by year: 45
   Journals where Bernd Schwaab has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 24 (4.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc589
   Updated: 2021-03-01    RAS profile: 2021-01-04    
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Relations with other researchers


Works with:

Lucas, Andre (17)

Schaumburg, Julia (7)

Nucera, Federico (5)

Koopman, Siem Jan (4)

Breckenfelder, Johannes (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bernd Schwaab.

Is cited by:

Lucas, Andre (49)

Koopman, Siem Jan (27)

Blasques, Francisco (21)

Schaumburg, Julia (17)

Xiao, Tim (16)

Nadal De Simone, Francisco (13)

Trebesch, Christoph (13)

Schienle, Melanie (12)

Fratzscher, Marcel (12)

Hautsch, Nikolaus (9)

Giudici, Paolo (8)

Cites to:

Lucas, Andre (73)

Koopman, Siem Jan (69)

Duffie, Darrell (28)

Creal, Drew (23)

Acharya, Viral (13)

Pedersen, Lasse (11)

Bai, Jushan (10)

Zhang, Xin (10)

Ng, Serena (10)

Zhou, Hao (10)

Vayanos, Dimitri (9)

Main data


Where Bernd Schwaab has published?


Journals with more than one article published# docs
Research Bulletin4
Journal of Business & Economic Statistics3
Journal of Applied Econometrics2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute13
Working Paper Series / European Central Bank12

Recent works citing Bernd Schwaab (2021 and 2020)


YearTitle of citing document
2020Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2020Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin. In: Papers. RePEc:arx:papers:2012.04181.

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2020The market stabilization role of central bank asset purchases: high-frequency evidence from the COVID-19 crisis. (2020). Bernardini, Marco ; de Nicola, Annalisa. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1310_20.

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2020Tools for managing banking distress: historical experience and lessons for today. (2020). Boissay, Frédéric ; Villegas, Alan ; Claessens, Stijn. In: BIS Quarterly Review. RePEc:bis:bisqtr:2012d.

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2020Implications of negative interest rates for the net interest margin and lending of euro area banks. (2020). Klein, Melanie . In: BIS Working Papers. RePEc:bis:biswps:848.

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2020The impact of unconventional monetary policies on retail lending and deposit rates in the euro area. (2020). Lombardi, Marco ; Hofmann, Boris ; Mizen, Paul ; Illes, Anamaria. In: BIS Working Papers. RePEc:bis:biswps:850.

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2020Dealing with bank distress: Insights from a comprehensive database. (2020). Boissay, Frédéric ; Adler, Konrad. In: BIS Working Papers. RePEc:bis:biswps:909.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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2020The unconventional monetary policy of the European Central Bank: Effectiveness and transmission analysis. (2020). Prats, Maria ; Zabala, Jose A. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:794-809.

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2020Liquidity and monetary transmission: a quasi-experimental approach. (2020). Wanengkirtyo, Boromeus ; Miller, Sam. In: Bank of England working papers. RePEc:boe:boeewp:0891.

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2020Did the absence of a central bank backstop in the sovereign bond markets exacerbate spillovers during the euro-area crisis?. (2020). Tavlas, George ; Petroulas, Pavlos ; Hall, Stephen ; Gefang, Deborah ; Gibson, Heather D. In: Working Papers. RePEc:bog:wpaper:281.

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2020The Euro Area Periphery Sovereigns Fiscal Positions and Unconventional Monetary Policy. (2020). Hülsewig, Oliver ; Scharler, Johann ; Hulsewig, Oliver. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8041.

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2020Negative Interest Rates and Bank Lending. (2020). Brown, Martin. In: CESifo Forum. RePEc:ces:ifofor:v:21:y:2020:i:01:p:18-23.

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2020Negative Interest Rates in the Five Eurozone Countries from Central and Eastern Europe. (2020). Staehr, Karsten ; Reigl, Nicolas. In: CESifo Forum. RePEc:ces:ifofor:v:21:y:2020:i:01:p:24-30.

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2020COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?. (2020). Tripier, Fabien ; Ortmans, Aymeric. In: Working Papers. RePEc:cii:cepidt:2020-11.

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2020Monetary policy and bank stability: the analytical toolbox reviewed. (2020). Popov, Alexander ; Marques-Ibanez, David ; Albertazzi, Ugo ; Barbiero, Francesca ; Marques-Ibaez, David ; Dacri, Costanza Rodriguez ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20202377.

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2020Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area securities register. (2020). Peydro, Jose-Luis ; Maddaloni, Angela ; Bubeck, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20202398.

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2020Interest rate risk and monetary policy normalisation in the euro area. (2020). Reghezza, Alessio ; Dacri, Costanza Rodriguez ; Molyneux, Philip ; Pancotto, Livia. In: Working Paper Series. RePEc:ecb:ecbwps:20202496.

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2020Do stress tests affect bank liquidity creation?. (2020). Onali, Enrico ; Chevapatrakul, Thanaset ; Ahmed, Shamim ; Vu, Thach. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300663.

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2020The value of understanding central bank communication. (2020). Girard, Alexandre ; Beaupain, Renaud. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:154-165.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2020Collateral rehypothecation, safe asset scarcity, and unconventional monetary policy. (2020). Giri, Federico ; Gallegati, Mauro ; Grilli, Ruggero. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:633-645.

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2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

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2020On the impact of quantitative easing on credit standards and systemic risk: The Japanese experience. (2020). Vu, Anh Nguyet . In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302459.

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2020Negative interest rates policy and banks’ risk-taking: Empirical evidence. (2020). BOUNGOU, Whelsy. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303817.

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2021The effects of negative interest rates on cash usage: Evidence for EU countries. (2021). Willesson, Magnus ; Liares-Zegarra, Jose M. In: Economics Letters. RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304341.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2020Flexible copula models with dynamic dependence and application to financial data. (2020). Joe, Harry ; Krupskii, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167.

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2020Systemic risk in European financial and energy sectors: Dynamic factor copula approach. (2020). Nevrla, Matj. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:4:s0939362518304904.

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2020Why have negative nominal interest rates had such a small effect on bank performance? Cross country evidence. (2020). Spiegel, Mark ; Rose, Andrew ; Lopez, Jose. In: European Economic Review. RePEc:eee:eecrev:v:124:y:2020:i:c:s0014292120300349.

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2020Does societal trust make firms more trustworthy?. (2020). Shi, Lisi ; Gu, Yan ; Yen, Huang-Ping ; Ho, Kung-Cheng. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014118302401.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Predicting default rates by capturing critical transitions in the macroeconomic system. (2020). Yang, Xiaoguang ; Xing, Kai. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318300357.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2020Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the Euro Area. (2020). Eichler, Stefan ; Bohm, Hannes. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300620.

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2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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2020On Becoming an O-SII (“Other Systemically Important Institution”). (2020). Sprincean, Nicu ; Andrieș, Alin Marius ; Ongena, Steven ; Nistor, Simona. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302961.

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2020Macroeconomic effects and frailties in the resolution of non-performing loans. (2020). Rosch, Daniel ; Kellner, Ralf ; Kruger, Steffen ; Betz, Jennifer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302224.

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2020Do conventional monetary policy instruments matter in unconventional times?. (2020). Buchholz, Manuel ; Tonzer, Lena ; Schmidt, Kirsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301242.

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2021Systematic credit risk in securitised mortgage portfolios. (2021). Scheule, Harald ; Rosch, Daniel ; Lee, Yongwoong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302582.

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2020The importance of being special: Repo markets during the crisis. (2020). Maddaloni, Angela ; Corradin, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:392-429.

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2020A non-linear analysis of the sovereign bank nexus in the EU. (2020). Cifarelli, Giulio ; Paladino, Giovanna. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930074x.

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2020The (Unintended?) consequences of the largest liquidity injection ever. (2020). Fonseca, Luís ; Faria-e-Castro, Miguel ; Crosignani, Matteo. In: Journal of Monetary Economics. RePEc:eee:moneco:v:112:y:2020:i:c:p:97-112.

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2021Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view. (2021). Huang, Wei-Qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120307081.

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2020Quantitative easing in the Euro Area – An event study approach. (2020). Watzka, Sebastian ; Urbschat, Florian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:14-36.

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2020Issues Regarding the Use of the Policy Rate Tool. (2020). Zarutskie, Rebecca ; King, Thomas ; Campbell, Jeffrey ; Orlik, Anna . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-70.

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2020Empirical Evidence of the Lending Channel of Monetary Policy under Negative Interest Rates. (2020). BOUNGOU, Whelsy. In: Bordeaux Economics Working Papers. RePEc:grt:bdxewp:2020-16.

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2020THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS. (2020). Koesrindartoto, Deddy Priatmodjo ; Aini, Mutiara. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:23:y:2020:i:1e:p:101-120.

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2020Measuring CoVaR: An Empirical Comparison. (2020). Sorrentino, Alberto Maria ; Bianchi, Michele Leonardo. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09901-2.

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2020US non-linear causal effects on global equity indices in Normal times versus unconventional eras. (2020). Tzeremes, Panayiotis ; Kyriazis, Ikolaos A ; Papadamou, Stephanos. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:17:y:2020:i:2:d:10.1007_s10368-019-00457-y.

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2020Systemic Risk and the COVID Challenge in the European Banking Sector. (2020). di Giorgio, Giorgio ; Borri, Nicola. In: Working Papers CASMEF. RePEc:lui:casmef:2005.

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2020Monetary Policy Transmission to Russia and Eastern Europe. (2020). Grigoriadis, Theocharis ; Stann, Carsten M. In: Comparative Economic Studies. RePEc:pal:compes:v:62:y:2020:i:2:d:10.1057_s41294-020-00114-3.

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2020Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios. In: MPRA Paper. RePEc:pra:mprapa:102846.

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2020Bank lending during the COVID-19 pandemic. (2020). Politsidis, Panagiotis ; HASAN, IFTEKHAR ; Sharma, Zenu. In: MPRA Paper. RePEc:pra:mprapa:103565.

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2020Why narrative information matters: Evidence from the asset purchase program of the ECB. (2020). Opitz, Frederic. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/994.

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2020The role of ECB monetary policy and financial stress on Eurozone sovereign yields. (2020). Labondance, Fabien ; Hubert, Paul ; Creel, Jerome ; Blot, Christophe. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:3:d:10.1007_s00181-019-01717-1.

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2020Banks, Money, and the Zero Lower Bound on Deposit Rates. (2020). Wang, Xuan ; Kumhof, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200050.

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2020Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries. (2020). Kiss, Gábor Dávid ; David, Kiss Gabor ; Mercedesz, Meszaros. In: Review of Economic Perspectives. RePEc:vrs:reoecp:v:20:y:2020:i:2:p:171-195:n:3.

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2021The triple (T3) dimension of systemic risk: Identifying systemically important banks. (2021). Angelini, Eliana ; Foglia, Matteo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:7-26.

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2020Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. (2020). Lee, Kiseop ; Jang, Hyun Jin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:247-275.

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2020U.S. Banking Sector Operational Losses and the Macroeconomic Environment. (2020). Abdymomunov, Azamat ; Mihov, Atanas ; Curti, Filippo. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:1:p:115-144.

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2020The Euro Area Bond Free Float and the Implications for QE. (2020). Blattner, Tobias S. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:6:p:1361-1395.

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2020Flow Effects of Central Bank Asset Purchases on Sovereign Bond Prices: Evidence from a Natural Experiment. (2020). Holm-Hadulla, Fédéric ; Holmhadulla, Federic ; de Santis, Roberto A. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:6:p:1467-1491.

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2020Implications of negative interest rates for the net interest margin and lending of euro area banks. (2020). Klein, Melanie. In: Discussion Papers. RePEc:zbw:bubdps:102020.

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2020Marginal returns to talent for material risk takers in banking. (2020). Wagner, Konstantin ; Stieglitz, Moritz. In: IWH Discussion Papers. RePEc:zbw:iwhdps:202020.

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2020Collateral eligibility of corporate debt in the Eurosystem. (2020). Pelizzon, Loriana ; Subrahmanyam, Marti G ; Simon, Zorka ; Riedel, Max. In: SAFE Working Paper Series. RePEc:zbw:safewp:275.

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2020Does monetary policy impact international market co-movements?. (2020). Pelizzon, Loriana ; Caporin, Massimiliano ; Plazzi, Alberto. In: SAFE Working Paper Series. RePEc:zbw:safewp:276.

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2020Tracing the impact of the ECBs asset purchase programme on the yield curve. (2020). Lemke, Wolfgang ; Eser, Fabian ; Vladu, Andreea ; Nyholm, Ken. In: VfS Annual Conference 2020 (Virtual Conference): Gender Economics. RePEc:zbw:vfsc20:224540.

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Works by Bernd Schwaab:


YearTitleTypeCited
2019Risk endogeneity at the lender/investor-of-last-resort In: BIS Working Papers.
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2019Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series.
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2020Risk endogeneity at the lender/investor-of-last-resort.(2020) In: Journal of Monetary Economics.
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2019Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series.
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2011New methodologies for systemic risk measurement In: Research Bulletin.
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article0
2012Conditional probabilities and contagion measures for euro area sovereign default risk In: Research Bulletin.
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article27
2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk.(2012) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 27
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2017Bank business models at negative interest rates In: Research Bulletin.
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article1
2019Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks? In: Research Bulletin.
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article0
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper28
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
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paper21
2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics.
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2013Assessing asset purchases within the ECB’s securities markets programme In: Working Paper Series.
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paper63
2013Conditional and joint credit risk In: Working Paper Series.
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2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
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2015Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 7
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2017Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics.
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2016The information in systemic risk rankings In: Working Paper Series.
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2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 20
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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2016Global credit risk: world country and industry factors In: Working Paper Series.
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2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 10
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2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 10
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2017Bank business models at zero interest rates In: Working Paper Series.
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2019Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 4
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2016Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 4
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2017Do negative interest rates make banks less safe? In: Working Paper Series.
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2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
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This paper has another version. Agregated cites: 25
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2017Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers.
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2018Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment In: Working Paper Series.
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2018Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment.(2018) In: Journal of Empirical Finance.
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2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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article4
2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB?s Securities Markets Programme In: Journal of Financial Economics.
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article110
2013Conditional euro area sovereign default risk In: Working Paper Series.
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paper66
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
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2013Discussion of Bank Funding and Financial Stability In: RBA Annual Conference Volume (Discontinued).
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2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
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paper3
2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
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paper5
2010Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers.
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2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers.
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