Steffen Sorensen : Citation Profile


Are you Steffen Sorensen?

6

H index

5

i10 index

249

Citations

RESEARCH PRODUCTION:

4

Articles

13

Papers

RESEARCH ACTIVITY:

   6 years (2004 - 2010). See details.
   Cites by year: 41
   Journals where Steffen Sorensen has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 6 (2.35 %)

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   Permalink: http://citec.repec.org/pso117
   Updated: 2019-10-06    RAS profile: 2013-04-05    
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Relations with other researchers


Works with:

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

Is cited by:

Drehmann, Mathias (9)

Alessandri, Piergiorgio (8)

Hubert, Paul (7)

TARAZI, Amine (6)

BORIO, Claudio (6)

Guillén, Osmani (6)

Gutiérrez Rueda, Javier (5)

Kontonikas, Alexandros (5)

KOSTAKIS, ALEXANDROS (5)

Spencer, Peter (5)

HASAN, IFTEKHAR (4)

Cites to:

Wickens, Michael (14)

Smith, Peter (13)

Campbell, John (5)

Zenios, Stavros (4)

Pesaran, M (4)

Piazzesi, Monika (4)

Rudebusch, Glenn (4)

Kreps, David (4)

Anderson, Nicola (4)

Jarrow, Robert (3)

Abel, Andrew (3)

Main data


Where Steffen Sorensen has published?


Journals with more than one article published# docs
Journal of Banking & Finance2

Recent works citing Steffen Sorensen (2018 and 2017)


YearTitle of citing document
2017The TIPS Liquidity Premium. (2017). Riddell, Simon ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-27.

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2018A Survey of Systemic Risk Indicators. (2018). Di Cesare, Antonio ; Picco, Anna Rogantini . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

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2017An analytical framework to calibrate macroprudential policy. (2017). Gabrieli, Silvia ; Scalone, V ; Piquard, T ; Lopez, P ; Idier, J ; Devulder, A ; Couaillier, C ; Bennani, T. In: Working papers. RePEc:bfr:banfra:648.

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2019Measuring stakeholders’ expectations for the central bank’s policy rate. (2019). Wibisono, Okiriza ; Zulen, Alvin Andhika. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-19.

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2017Central bank information and the effects of monetary shocks. (2017). Hubert, Paul. In: Bank of England working papers. RePEc:boe:boeewp:0672.

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2018Estimating nominal interest rate expectations: overnight indexed swaps and the term structure. (2018). Lloyd, Simon. In: Bank of England working papers. RePEc:boe:boeewp:0763.

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2018The information in the joint term structures of bond yields. (2018). Meldrum, Andrew ; Spencer, Peter ; Raczko, Marek. In: Bank of England working papers. RePEc:boe:boeewp:0772.

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2017What Drives Systemic Bank Risk in Europe: the balance sheet effect. (2017). Wosser, Michael. In: Research Technical Papers. RePEc:cbi:wpaper:08/rt/17.

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2017Hacia un indicador de vulnerabilidad bancaria basado en pruebas de estrés. (2017). Mermelstein, David. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:610.

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2018The effect of accommodative monetary policy on the risk weights applied by domestic banks. (2018). Malovana, Simona ; Broz, Vaclav ; Kolcunova, Dominika. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:fsr1718/2.

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2017Does Monetary Policy Influence Banks Perception of Risks?. (2017). Malovana, Simona ; Kolcunová, Dominika ; Brož, Václav ; Broz, Vaclav ; Kolcunova, Dominika. In: Working Papers. RePEc:cnb:wpaper:2017/9.

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2017The role of inflation-linked bonds. (2017). Westerhout, ED ; Ciocyte, Ona . In: CPB Discussion Paper. RePEc:cpb:discus:344.

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2017Low inflation in the euro area: Causes and consequences. (2017). Osbat, Chiara ; Alvarez, Luis ; Ciccarelli, Matteo . In: Occasional Paper Series. RePEc:ecb:ecbops:2017181.

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2017Adverse risk interaction: An integrated approach. (2017). Boovi, Milo ; Ivanovi, Jelena. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:67-74.

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2018Brexit and financial stability: An agent-based simulation. (2018). Samitas, Aristeidis ; SIRIOPOULOS, COSTAS ; Polyzos, Stathis . In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:181-192.

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2017The expected real yield and inflation components of the nominal yield curve. (2017). Lange, Ronald H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:1-18.

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2017Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology. (2017). Tsionas, Mike ; Izzeldin, Marwan ; Kapetanios, George ; Baltas, Konstantinos N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:36-56.

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2018What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?. (2018). Liu, Zhuoshi ; Vangelista, Elisabetta ; Relleen, Jon ; Kaminska, Iryna . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:76-96.

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2018Macro-financial linkages and heterogeneous non-performing loans projections: An application to Ecuador. (2018). Grigoli, Francesco ; Saldias, Martin ; Mansilla, Mario . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:130-141.

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2018Macro stress testing and resilience assessment of Indian banking. (2018). Dua, Pami ; Kapur, Hema. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:2:p:452-475.

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2017An empirical decomposition of the liquidity premium in breakeven inflation rates. (2017). Guler, Mustafa ; Polat, Tandoan ; KELE, Gursu . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:185-192.

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2018Many a little makes a mickle: Stress testing small and medium-sized German banks. (2018). Koziol, Philipp ; Mitrovic, Marc ; Busch, Ramona. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:237-253.

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2018The impact of monetary policy on gold price dynamics. (2018). Fan, Jingwen ; Tucker, Jon ; Zhu, Yanhui. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:319-331.

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2017Makro Ihtiyati Tedbirler Cerçevesinde Tuketici Kredilerine Iliskin Duzenlemelerin Etkinligi: Turkiye Ornegi. (2017). Yuceyilmaz, Hasan Ferit ; Tunay, Batu K ; ALTIN, Onur. In: Ege Academic Review. RePEc:ege:journl:v:17:y:2017:i:4:p:449-459.

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2018Does Monetary Policy Influence Banks Perception of Risks?. (2018). Malovana, Simona ; Kolcunová, Dominika ; Brož, Václav. In: Working Papers IES. RePEc:fau:wpaper:wp2018_03.

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2017Central Bank Information and the effects of Monetary shocks. (2017). Hubert, Paul. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1719.

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2018A shadow rate without a lower bound constraint. (2018). Ristiniemi, Annukka ; De Rezende, Rafael. In: Working Paper Series. RePEc:hhs:rbnkwp:0355.

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2017A Segmentation Study of Non-Performing Loans Rates in Turkish Credit Market. (2017). Vatansever, Metin ; Demir, Ibrahim. In: International Business Research. RePEc:ibn:ibrjnl:v:10:y:2017:i:11:p:29-41.

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2017On the term structure of South African interest rates: cointegration and threshold adjustment. (2017). Iyke, Bernard Njindan. In: International Journal of Sustainable Economy. RePEc:ids:ijsuse:v:9:y:2017:i:4:p:300-321.

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2019Implications of Model Uncertainty for Bank Stress Testing. (2019). Poblacion, Javier ; Gross, Marco. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:55:y:2019:i:1:d:10.1007_s10693-017-0275-4.

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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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2018Impact of Credit Risk Management Systems on the Financial Performance of Commercial Banks in Uganda. (2018). Serwadda, Isah. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2018066061627.

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2019Interactions between Credit and Market Risk, Diversification vs Compounding effects. (2019). Szybisz, Martin Andres. In: MPRA Paper. RePEc:pra:mprapa:93173.

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2017Central Bank information and the effects of monetary shocks. (2017). Hubert, Paul. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/1mtnt18l7t904biebogfm7hcao.

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2017Central Bank information and the effects of monetary shocks. (2017). Hubert, Paul. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/6mrhmte8no840p587hv7bkohtn.

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2018How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts. (2018). Ribeiro, Pedro Pires ; Curto, Jose Dias . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1268-8.

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2017The Role of Inflation-Linked Bonds. Increasing, but Still Modest. (2017). Westerhout, ED ; Ciocyte, Ona . In: Discussion Paper. RePEc:tiu:tiucen:08878bbd-e76e-4216-bee9-b5a5606b82d1.

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2018Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”. (2018). Mugerman, Yevgeny ; Jacobi, Arie ; Tzur, Joseph. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:08:y:2018:i:04:n:s2010139218400086.

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Works by Steffen Sorensen:


YearTitleTypeCited
2008Measuring monetary policy expectations from financial market instruments In: Bank of England working papers.
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paper14
2009Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves In: Bank of England working papers.
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paper73
2010Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves.(2010) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 73
article
2005Stress tests of UK banks using a VAR approach In: Bank of England working papers.
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paper62
2008The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective In: Bank of England working papers.
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paper27
2009El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital In: Monetaria.
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article0
2009The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks In: CEPR Discussion Papers.
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paper5
2010The equity premium and the business cycle: the role of demand and supply shocks.(2010) In: International Journal of Finance & Economics.
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This paper has another version. Agregated cites: 5
article
2010The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application In: Journal of Banking & Finance.
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article51
2006THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY In: CAMA Working Papers.
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paper1
2005The asymmetric effect of the business cycle on the relation between stock market returns and their volatility.(2005) In: Money Macro and Finance (MMF) Research Group Conference 2005.
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This paper has another version. Agregated cites: 1
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2006The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility.(2006) In: Discussion Papers.
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This paper has another version. Agregated cites: 1
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2004Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium In: Money Macro and Finance (MMF) Research Group Conference 2004.
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paper0
2007Integrating credit and interest rate risk: A theoretical framework and an application to banks balance sheets In: Money Macro and Finance (MMF) Research Group Conference 2006.
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paper5
Macroeconomic Sources of Equity Risk In: Discussion Papers.
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paper8
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors In: Discussion Papers.
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paper3
2007The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04) In: Discussion Papers.
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paper0

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