Mathias Drehmann

Names

Identifer

Contact

Affiliations

• Bank for International Settlements (BIS)
  • EDIRC entry
  • location:

Research profile

author of:

• Herding and Contrarian Behavior in Financial Markets: An Internet Experiment
  American Economic Review, American Economic Association (2005)
  by Mathias Drehmann & Jörg Oechssler & Andreas Roider
  (ReDIF-article, aea:aecrev:v:95:y:2005:i:5:p:1403-1426)
• Unknown item RePEc:awi:wpaper:0420 (paper)
• Central bank bond purchases in emerging market economies
  BIS Bulletins, Bank for International Settlements (2020)
  by Yavuz Arslan & Mathias Drehmann & Boris Hofmann
  (ReDIF-paper, bis:bisblt:20)
• Buffering Covid-19 losses - the role of prudential policy
  BIS Bulletins, Bank for International Settlements (2020)
  by Mathias Drehmann & Marc Farag & Nicola Tarashev & Kostas Tsatsaronis
  (ReDIF-paper, bis:bisblt:9)
• Global tightening, banking stress and market resilience in EMEs
  BIS Papers, Bank for International Settlements (2023)
  by Mathias Drehmann & Bafundi Maronoti & Angela O'Connor
  (ReDIF-book, bis:bisbps:134)
• Assessing the risk of banking crises - revisited
  BIS Quarterly Review, Bank for International Settlements (2009)
  by Claudio Borio & Mathias Drehmann
  (ReDIF-article, bis:bisqtr:0903e)
• Macro stress tests and crises: what can we learn?
  BIS Quarterly Review, Bank for International Settlements (2009)
  by Rodrigo Alfaro & Mathias Drehmann
  (ReDIF-article, bis:bisqtr:0912e)
• Systemic importance: some simple indicators
  BIS Quarterly Review, Bank for International Settlements (2011)
  by Mathias Drehmann & Nikola Tarashev
  (ReDIF-article, bis:bisqtr:1103e)
• Do debt service costs affect macroeconomic and financial stability?
  BIS Quarterly Review, Bank for International Settlements (2012)
  by Mathias Drehmann & Mikael Juselius
  (ReDIF-article, bis:bisqtr:1209e)
• 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 (2013)
  by Christian Dembiermont & Mathias Drehmann & Siriporn Muksakunratana
  (ReDIF-article, bis:bisqtr:1303h)
• Total credit as an early warning indicator for systemic banking crises
  BIS Quarterly Review, Bank for International Settlements (2013)
  by Mathias Drehmann
  (ReDIF-article, bis:bisqtr:1306f)
• The credit-to-GDP gap and countercyclical capital buffers: questions and answers
  BIS Quarterly Review, Bank for International Settlements (2014)
  by Mathias Drehmann & Kostas Tsatsaronis
  (ReDIF-article, bis:bisqtr:1403g)
• How much income is used for debt payments? A new database for debt service ratios
  BIS Quarterly Review, Bank for International Settlements (2015)
  by Mathias Drehmann & Anamaria Illes & Mikael Juselius & Marjorie Santos
  (ReDIF-article, bis:bisqtr:1509h)
• Early warning indicators of banking crises: expanding the family
  BIS Quarterly Review, Bank for International Settlements (2018)
  by Iñaki Aldasoro & Claudio Borio & Mathias Drehmann
  (ReDIF-article, bis:bisqtr:1803e)
• The financial cycle and recession risk
  BIS Quarterly Review, Bank for International Settlements (2018)
  by Claudio Borio & Mathias Drehmann & Dora Xia
  (ReDIF-article, bis:bisqtr:1812g)
• Changes in monetary policy operating procedures over the last decade: insights from a new database
  BIS Quarterly Review, Bank for International Settlements (2020)
  by Adam Cap & Mathias Drehmann & Andreas Schrimpf
  (ReDIF-article, bis:bisqtr:2012c)
• The global foreign exchange market in a higher-volatility environment
  BIS Quarterly Review, Bank for International Settlements (2022)
  by Mathias Drehmann & Vladyslav Sushko
  (ReDIF-article, bis:bisqtr:2212f)
• The Holt-Winters filter and the one-sided HP filter: A close correspondence
  BIS Working Papers, Bank for International Settlements (2022)
  by Rodrigo Alfaro & Mathias Drehmann
  (ReDIF-paper, bis:biswps:1033)
• The scarring effects of deep contractions
  BIS Working Papers, Bank for International Settlements (2022)
  by David Aikman & Mathias Drehmann & Mikael Juselius & Xiaochuan Xing
  (ReDIF-paper, bis:biswps:1043)
• Long-term debt propagation and real reversals
  BIS Working Papers, Bank for International Settlements (2023)
  by Mathias Drehmann & Mikael Juselius & Anton Korinek
  (ReDIF-paper, bis:biswps:1098)
• Towards an operational framework for financial stability: "fuzzy" measurement and its consequences
  BIS Working Papers, Bank for International Settlements (2009)
  by Claudio Borio & Claudio Mathias Drehmann
  (ReDIF-paper, bis:biswps:284)
• Funding liquidity risk: definition and measurement
  BIS Working Papers, Bank for International Settlements (2010)
  by Mathias Drehmann & Kleopatra Nikolaou
  (ReDIF-paper, bis:biswps:316)
• Countercyclical capital buffers: exploring options
  BIS Working Papers, Bank for International Settlements (2010)
  by Mathias Drehmann & Claudio Borio & Leonardo Gambacorta & Gabriel Jiminez & Carlos Trucharte
  (ReDIF-paper, bis:biswps:317)
• Measuring the systemic importance of interconnected banks
  BIS Working Papers, Bank for International Settlements (2011)
  by Nikola Tarashev & Mathias Drehmann
  (ReDIF-paper, bis:biswps:342)
• Anchoring countercyclical capital buffers: the role of credit aggregates
  BIS Working Papers, Bank for International Settlements (2011)
  by Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis
  (ReDIF-paper, bis:biswps:355)
• Stress-testing macro stress testing: does it live up to expectations?
  BIS Working Papers, Bank for International Settlements (2012)
  by Claudio Borio & Mathias Drehmann & Kostas Tsatsaronis
  (ReDIF-paper, bis:biswps:369)
• Characterising the financial cycle: don't lose sight of the medium term!
  BIS Working Papers, Bank for International Settlements (2012)
  by Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis
  (ReDIF-paper, bis:biswps:380)
• Evaluating early warning indicators of banking crises: Satisfying policy requirements
  BIS Working Papers, Bank for International Settlements (2013)
  by Mathias Drehmann
  (ReDIF-paper, bis:biswps:421)
• Leverage dynamics and the real burden of debt
  BIS Working Papers, Bank for International Settlements (2015)
  by Mikael Juselius & Mathias Drehmann
  (ReDIF-paper, bis:biswps:501)
• Monetary policy, the financial cycle and ultra-low interest rates
  BIS Working Papers, Bank for International Settlements (2016)
  by Mikael Juselius & Claudio Borio & Piti Disyatat & Mathias Drehmann
  (ReDIF-paper, bis:biswps:569)
• Accounting for debt service: the painful legacy of credit booms
  BIS Working Papers, Bank for International Settlements (2017)
  by Mathias Drehmann & Mikael Juselius & Anton Korinek
  (ReDIF-paper, bis:biswps:645)
• Why you should use the Hodrick-Prescott filter - at least to generate credit gaps
  BIS Working Papers, Bank for International Settlements (2018)
  by Mathias Drehmann & James Yetman
  (ReDIF-paper, bis:biswps:744)
• Predicting recessions: financial cycle versus term spread
  BIS Working Papers, Bank for International Settlements (2019)
  by Claudio Borio & Mathias Drehmann & Dora Xia Author-X-Name_First: Dora
  (ReDIF-paper, bis:biswps:818)
• Which credit gap is better at predicting financial crises? A comparison of univariate filters
  BIS Working Papers, Bank for International Settlements (2020)
  by Mathias Drehmann & James Yetman
  (ReDIF-paper, bis:biswps:878)
• Leverage Dynamics and the Burden of Debt
  Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2020)
  by Mikael Juselius & Mathias Drehmann
  (ReDIF-article, bla:obuest:v:82:y:2020:i:2:p:347-364)
• An economic capital model integrating credit and interest rate risk in the banking book
  Bank of England working papers, Bank of England (2010)
  by Alessandri, Piergiorgio & Drehmann, Mathias
  (ReDIF-paper, boe:boeewp:0388)
• Liquidity risk, cash-flow constraints and systemic feedbacks
  Bank of England working papers, Bank of England (2012)
  by Kapadia, Sujit & Drehmann, Mathias & Elliott, John & Sterne, Gabriel
  (ReDIF-paper, boe:boeewp:0456)
• The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective
  Bank of England working papers, Bank of England (2008)
  by Mathias Drehmann & Steffen Sorensen & Marco Stringa
  (ReDIF-paper, boe:boeewp:339)
• Unknown item RePEc:bof:bofrdp:2016_003 (paper)
• Unknown item RePEc:bof:bofrdp:2016_024 (paper)
• Unknown item RePEc:bof:bofrdp:2017_012 (paper)
• Unknown item RePEc:bof:bofrdp:2018_010 (paper)
• Herding and Contrarian Behavior in Financial Markets: An Internet Experiment
  University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (2003)
  by Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas
  (ReDIF-paper, cdl:ucsbec:qt6zf5469f)
• Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences
  Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2011)
  by Claudio Borio & Mathias Drehmann
  (ReDIF-chapter, chb:bcchsb:v15c04pp063-123)
• Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences
  Working Papers Central Bank of Chile, Central Bank of Chile (2009)
  by Claudio Borio & Mathias Drehmann
  (ReDIF-paper, chb:bcchwp:544)
• The Holt-Winters filter and the one-sided HP filter: A close correspondence
  Working Papers Central Bank of Chile, Central Bank of Chile (2022)
  by Rodrigo Alfaro & Mathias Drehmann
  (ReDIF-paper, chb:bcchwp:959)
• Evaluación del riesgo de crisis bancarias: una revisión
  Boletín, CEMLA (2009)
  by Claudio Borio & Mathias Drehmann
  (ReDIF-article, cml:boletn:v:lv:y:2009:i:3:p:139-153)
• El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital
  Monetaria, CEMLA (2009)
  by Mathias Drehmann & Steffen Sorensen & Marco Stringa
  (ReDIF-article, cml:moneta:v:xxxii:y:2009:i:1:p:63-115)
• Long-term debt propagation and real reversals
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
  by Drehmann, Mathias & Juselius, Mikael & Korinek, Anton
  (ReDIF-paper, cpr:ceprdp:18075)
• Herding With and Without Payoff Externalities - An Internet Experiment
  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005)
  by Drehmann, Mathias & Roider, Andreas & Oechssler, Joerg
  (ReDIF-paper, cpr:ceprdp:5310)
• A research perspective on the propagation of the credit market turmoil
  Research Bulletin, European Central Bank (2008)
  by Nuno Cassola & Mathias Drehmann & Philipp Hartmann & Marco Lo Duca & Martin Scheicher
  (ReDIF-article, ecb:ecbrbu:2008:0007:1)
• Funding liquidity risk: definition and measurement
  Working Paper Series, European Central Bank (2009)
  by Nikolaou, Kleopatra & Drehmann, Mathias
  (ReDIF-paper, ecb:ecbwps:20091024)
• An economic capital model integrating credit and interest rate risk in the banking book
  Working Paper Series, European Central Bank (2009)
  by Drehmann, Mathias & Alessandri, Piergiorgio
  (ReDIF-paper, ecb:ecbwps:20091041)
• Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
  Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
  by Roider, Andreas & Mathias Drehmann & Jorg Oechssler
  (ReDIF-paper, ecj:ac2003:177)
• Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
  Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
  by Mathias Drehmann & Jörg Oechssler
  (ReDIF-paper, ecm:nawm04:55)
• The Holt–Winters filter and the one-sided HP filter: A close correspondence
  Economics Letters, Elsevier (2023)
  by Alfaro, Rodrigo & Drehmann, Mathias
  (ReDIF-article, eee:ecolet:v:222:y:2023:i:c:s0165176522003998)
• Stress-testing macro stress testing: Does it live up to expectations?
  Journal of Financial Stability, Elsevier (2014)
  by Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas
  (ReDIF-article, eee:finsta:v:12:y:2014:i:c:p:3-15)
• Herding with and without payoff externalities -- an internet experiment
  International Journal of Industrial Organization, Elsevier (2007)
  by Drehmann, Mathias & Oechssler, Jorg & Roider, Andreas
  (ReDIF-article, eee:indorg:v:25:y:2007:i:2:p:391-415)
• Evaluating early warning indicators of banking crises: Satisfying policy requirements
  International Journal of Forecasting, Elsevier (2014)
  by Drehmann, Mathias & Juselius, Mikael
  (ReDIF-article, eee:intfor:v:30:y:2014:i:3:p:759-780)
• The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application
  Journal of Banking & Finance, Elsevier (2010)
  by Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco
  (ReDIF-article, eee:jbfina:v:34:y:2010:i:4:p:713-729)
• An economic capital model integrating credit and interest rate risk in the banking book
  Journal of Banking & Finance, Elsevier (2010)
  by Alessandri, Piergiorgio & Drehmann, Mathias
  (ReDIF-article, eee:jbfina:v:34:y:2010:i:4:p:730-742)
• Measuring the systemic importance of interconnected banks
  Journal of Financial Intermediation, Elsevier (2013)
  by Drehmann, Mathias & Tarashev, Nikola
  (ReDIF-article, eee:jfinin:v:22:y:2013:i:4:p:586-607)
• Forecasting recessions: the importance of the financial cycle
  Journal of Macroeconomics, Elsevier (2020)
  by Borio, Claudio & Drehmann, Mathias & Xia, Fan Dora
  (ReDIF-article, eee:jmacro:v:66:y:2020:i:c:s016407042030183x)
• Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate
  FMG Discussion Papers, Financial Markets Group (2000)
  by Matthias Drehmann & Charles Goodhart
  (ReDIF-paper, fmg:fmgdps:dp358)
• Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates
  International Journal of Central Banking, International Journal of Central Banking (2011)
  by Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis
  (ReDIF-article, ijc:ijcjou:y:2011:q:4:a:8)
• Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates
  International Journal of Central Banking, International Journal of Central Banking (2017)
  by Mikael Juselius & Claudio Borio & Piti Disyatat & Mathias Drehmann
  (ReDIF-article, ijc:ijcjou:y:2017:q:3:a:2)
• Which Credit Gap Is Better at Predicting Financial Crises? A Comparison of Univariate Filters
  International Journal of Central Banking, International Journal of Central Banking (2021)
  by Mathias Drehmann & James Yetman
  (ReDIF-article, ijc:ijcjou:y:2021:q:4:a:6)
• 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, Money Macro and Finance Research Group (2007)
  by Mathias Drehmann & Steffen Sorensen & Marco Stringa
  (ReDIF-paper, mmf:mmfc06:151)
• Comment on "How to Calculate Systemic Risk Surcharges"
  NBER Chapters, National Bureau of Economic Research, Inc (2011)
  by Mathias Drehmann
  (ReDIF-chapter, nbr:nberch:12064)
• Going With the Flows: New Borrowing, Debt Service and the Transmission of Credit Booms
  NBER Working Papers, National Bureau of Economic Research, Inc (2018)
  by Mathias Drehmann & Mikael Juselius & Anton Korinek
  (ReDIF-paper, nbr:nberwo:24549)
• Aggregate Debt Servicing and the Limit on Private Credit
  NBER Working Papers, National Bureau of Economic Research, Inc (2024)
  by Mathias Drehmann & Mikael Juselius & Sarah Quincy
  (ReDIF-paper, nbr:nberwo:33306)
• 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 (2002)
  by Mathias Drehmann & Charles Goodhart & Malte Krueger
  (ReDIF-article, oup:ecpoli:v:17:y:2002:i:34:p:193-228.)
• Monetary Policy, the Financial Cycle and Ultra-low Interest Rates
  PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research (2017)
  by Mikael Juselius & Claudio Borio & Piti Disyatat & Mathias Drehmann
  (ReDIF-paper, pui:dpaper:55)
• Discussion of 'Banks, Markets and Liquidity'
  RBA Annual Conference Volume (Discontinued), Reserve Bank of Australia (2007)
  by Mathias Drehmann
  (ReDIF-chapter, rba:rbaacv:acv2007-13)
• Debt Service: The Painful Legacy of Credit Booms
  2017 Meeting Papers, Society for Economic Dynamics (2017)
  by Mikael Juselius & Anton Korinek & Mathias Drehmann
  (ReDIF-paper, red:sed017:1258)
• Early warning indicators of banking crises: expanding the family
  Journal of Financial Transformation, Capco Institute (2018)
  by Aldasoro, Iñaki & Borio, Claudio & Drehmann, Mathias
  (ReDIF-article, ris:jofitr:1621)
• The effects of countercyclical capital buffers on bank lending
  Applied Economics Letters, Taylor & Francis Journals (2012)
  by Mathias Drehmann & Leonardo Gambacorta
  (ReDIF-article, taf:apeclt:v:19:y:2012:i:7:p:603-608)
• Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
  Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich (2004)
  by Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas
  (ReDIF-paper, trf:wpaper:7)
• Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
  Experimental, University Library of Munich, Germany (2002)
  by Mathias Drehmann & Joerg Oechssler & Andreas Roider
  (ReDIF-paper, wpa:wuwpex:0210001)
• Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
  Finance, University Library of Munich, Germany (2002)
  by Mathias Drehmann & Joerg Oechssler & Andreas Roider
  (ReDIF-paper, wpa:wuwpfi:0210005)
• Financial Instability and Macroeconomics: Bridging the Gulf
  World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2011)
  by Claudio Borio & Mathias Drehmann
  (ReDIF-chapter, wsi:wschap:9789814322096_0017)
• Can We Identify the Financial Cycle?
  World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2013)
  by Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis
  (ReDIF-chapter, wsi:wschap:9789814449922_0007)
• The scarring effects of deep contractions
  Bank of Finland Research Discussion Papers, Bank of Finland (2022)
  by Aikman, David & Drehmann, Mathias & Juselius, Mikael & Xing, Xiaochuan
  (ReDIF-paper, zbw:bofrdp:122022)
• Long-term debt propagation and real reversals
  Bank of Finland Research Discussion Papers, Bank of Finland (2023)
  by Drehmann, Mathias & Juselius, Mikael & Korinek, Anton
  (ReDIF-paper, zbw:bofrdp:52023)
• Leverage dynamics and the burden of debt
  Bank of Finland Research Discussion Papers, Bank of Finland (2016)
  by Juselius, Mikael & Drehmann, Mathias
  (ReDIF-paper, zbw:bofrdp:rdp2016_003)
• Monetary policy, the financial cycle and ultralow interest rates
  Bank of Finland Research Discussion Papers, Bank of Finland (2016)
  by Juselius, Mikael & Borio, Claudio & Disyatat, Piti & Drehmann, Mathias
  (ReDIF-paper, zbw:bofrdp:rdp2016_024)
• Accounting for debt service: The painful legacy of credit booms
  Bank of Finland Research Discussion Papers, Bank of Finland (2017)
  by Drehmann, Mathias & Juselius, Mikael & Korinek, Anton
  (ReDIF-paper, zbw:bofrdp:rdp2017_012)
• Going with the flows: New borrowing, debt service and the transmission of credit booms
  Bank of Finland Research Discussion Papers, Bank of Finland (2018)
  by Drehmann, Mathias & Juselius, Mikael & Korinek, Anton
  (ReDIF-paper, zbw:bofrdp:rdp2018_010)
• Herding with and without Payoff Externalities - An Internet Experiment
  Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2004)
  by Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas
  (ReDIF-paper, zbw:bonedp:152004)
• Herding and Contrarian Behavior in Financial Markets: An Internet Experiment
  Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2002)
  by Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas
  (ReDIF-paper, zbw:bonedp:252002)
• Will an optimal deposit insurance always increase financial stability?
  Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2002)
  by Drehmann, Mathias
  (ReDIF-paper, zbw:bonedp:282002)