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Journal Articles

FX spot and swap market liquidity spillovers

Journal of International Money and Finance, 2022, 120, 102476.

BIS Working Papers No 836 available here

with Ingomar Krohn

The hunt for duration: not waving but drowning?

IMF Economic Review, 2017, 65(1), 113-153.

with Dietrich Domanski and Hyun Song Shin

The response of tail risk perceptions to unconventional monetary policy

American Economic Journal: Macroeconomics, 2016, 8(2), 111-136.

with Masazumi Hattori and Andreas Schrimpf

Bank capital shock propagation via syndicated interconnectedness

Computational Economics, 2016, 47(1), 67-96.

 

with Julian Caballero and Makoto Nirei

US monetary policy, leverage, and offshore dollar credit

Economic Policy, 2015, 30(83), 187-229.

Chinese translation published in Chinamoney, magazine hosted by CFETS.

 

with Robert McCauley and Patrick McGuire

Financial sector ups and downs and the real sector in an open economy: up by the stairs down by the parachute

Emerging Markets Review, 2013, 16, 1-30.

with Joshua Aizenman and Brian Pinto

Impact of Macroeconomic Surprises on Carry Trade Activity

Journal of Banking & Finance, 2013, 37(4), 1133-1147.

with Michael Hutchison

From the Great Moderation to the Global Crisis: Exchange Market Pressure in the 2000s

Open Economies Review, 2012, 23(4), 597-621.

with Joshua Aizenman and Jaewoo Lee

Jumps in Foreign Exchange Rates and Stochastic Unwinding of Carry Trades

International Review of Economics & Finance, 2011, 20(1), 110-127.

with Makoto Nirei

Working Papers

Foreign investor feedback trading in an emerging financial market

BIS Working Paper No.1154, 15 December 2023.

with Ingomar Krohn and Witit Synsatayakul

Failure of covered interest parity: FX hedging demand and costly balance sheets

BIS Working Paper No. 590, 27 October 2016.

with Claudio Borio, Mobeen Iqbal, Robert McCauley, and Patrick McGuire

Stochastic Herding in Financial Markets: Evidence from Institutional Investor Equity Portfolios

BIS Working Paper No. 371, February 2012.

with Makoto Nirei and Theodoros Stamatiou

Investment and Growth in Rich and Poor Countries

NBER Working Paper No. 17788, January 2012.

with Ying-Wong Cheung and Michael Dooley

Capital flows: Catalyst or Hindrance to economic takeoffs?

NBER Working Paper No. 17258, July 2011.

with Joshua Aizenman

Capital Flow Types, External Financing Needs, and Industrial Growth: 99 countries, 1991-2007

NBER Working Paper No. 17228, July 2011.

with Joshua Aizenman

Policy Publications

Bank positions in FX swaps: insights from CLS

BIS Quarterly, September 2023, pp 17-31.

with Pēteris Kloks, Patrick McGuire, and Angelo Ranaldo

The global foreign exchange market in a higher-volatility environment

BIS Quarterly, December 2022, pp 33-48.

with Mathias Drehmann

Foreign exchange markets in Asia-Pacific

A report by a Study Group established by the Asian Consultative Council of the Bank for International Settlements, 31 October 2022.

Outward portfolio investment and dollar funding in emerging Asia

BIS Quarterly, December 2021, pp 53-67.

with Patrick McGuire, Hyun Song Shin and Ilhyock Shim

Cross-border commercial real estate investment in Asia-Pacific

BIS Quarterly Review, September 2020, pp 15-30.

with Amanda Liu and Ilhyock Shim

US dollar funding markets during the Covid-19 crisis - the international dimension

BIS Bulletin, no 15.

with Egemen Eren and Andreas Schrimpf

US dollar funding markets during the Covid-19 crisis - the money market fund turmoil

BIS Bulletin, no 14.

with Egemen Eren and Andreas Schrimpf

Leverage and margin spirals in fixed income markets during the Covid-19 crisis

BIS Bulletin, no 2.

with Hyun Song Shin and Andreas Schrimpf

FX trade execution: complex and highly fragmented

BIS Quarterly Review, December 2019, pp 39-51.

with Andreas Schrimpf

Sizing up global foreign exchange markets

BIS Quarterly Review, December 2019, pp 21-38.

with Andreas Schrimpf

Beyond LIBOR: a primer on the new benchmark rates

BIS Quarterly Review, March 2019, pp 29-52.

with Andreas Schrimpf

What risks do exchange-traded funds pose

Banque de France Financial Stability Review, April 2018, pp 133-144.

with Grant Turner

The implications of passive investing for securities markets

BIS Quarterly Review, March 2018, pp 113-131.

with Grant Turner

The equity market turbulence of 5 February - the role of exchange-traded volatility products

BIS Quarterly Review, March 2018, pp 4-6.

with Grant Turner

Downsized FX markets: causes and implications

BIS Quarterly Review, December 2016, pp 35-51.

with Michael Moore and Andreas Schrimpf

Bye-bye covered interest parity

VoxEU, 28 September 2016.

with Claudio Borio, Robert McCauley and Patrick McGuire

Covered interest parity lost: understanding the cross-currency basis

BIS Quarterly Review, September 2016, pp 45-64.

with Claudio Borio, Robert McCauley and Patrick McGuire

Recent dislocations in fixed income derivatives markets

BIS Quarterly Review, December 2015, pp. 8-9.

with Suresh Sundaresan

Dollar credit to emerging market economies

BIS Quarterly Review, December 2015, pp. 27-41.

with Robert McCauley and Patrick McGuire

Risks related to EME corporate balance sheets: the role of leverage and currency mismatch

BIS Quarterly Review, September 2014, pp. 35-47.

with Michael Chui and Ingo Fender

Unconventional monetary policy and tail risk perceptions

VoxEU, 17 November 2013.

with Masazumi Hattori and Andreas Schrimpf

Tail-risk perceptions around unconventional monetary policy announcements

BIS Quarterly Review, March 2013, pp. 4-5.

with Masazumi Hattori and Andreas Schrimpf

Unconventional policies: market impact and countervailing factors

BIS Quarterly Review, September 2012, pp. 6-7.

with Torsten Ehlers

European bank funding and deleveraging

BIS Quarterly Review, March 2012, pp. 1-12.

with Mathias Drehmann, Nicholas Vause, and Goetz von Peter

From the great moderation to the global crisis: Exchange Market Pressure in the 2000s

VoxEU, 22 October 2010.

with Joshua Aizenman and Jaewoo Lee

Chapters and proceedings

The Foreign Exchange Market

Chapter in The Research Handbook of Financial Markets, edited by Refet Gürkaynak and Jonathan Wright. Edward Elgar. 2022.

with Alain Chaboud and Dagfinn Rime

The BIS Global liquidity indicators

IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, BIS, 2015.

with Patrick McGuire

Re-thinking the lender of last resort

Proceedings of a workshop which brought together a small group of academics, policy advisers and former and active central bankers at the Bank for International Settlements on 15 May 2014.

with Dietrich Domanski