Stefan Avdjiev

Bank for International Settlements
Centralbahnplatz 2
Basel 4002, Switzerland

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NBER Working Papers and Publications

November 2017CoCo Issuance and Bank Fragility
with Bilyana Bogdanova, Patrick Bolton, Wei Jiang, Anastasia Kartasheva: w23999
The promise of contingent convertible capital securities (CoCos) as a “bail-in” solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. In this paper, we undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: 1) The propensity to issue a CoCo is higher for larger and better-capitalized banks; 2) CoCo issues result in statistically significant declines in issuers’ CDS spreads, indicating that they generate risk-reduction benefits and lower costs of debt. This is especially true for CoCos that: i) convert into equity, ii) have mechanical triggers, iii) are classified as Additional Tier 1 instrume...
June 2017The Shifting Drivers of Global Liquidity
with Leonardo Gambacorta, Linda S. Goldberg, Stefano Schiaffi: w23565
The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flow to US monetary policy rose substantially in the immediate aftermath of the Global Financial Crisis, peaked around the time of the 2013 Fed “taper tantrum”, and then partially reverted towards pre-crisis levels. Conversely, the responsiveness of international bank lending to global risk conditions declined considerably post-crisis and became similar to that of international debt securities. The increased sensitivity of international bank flows to US monetary policy has been driven mainly by post-crisis changes in the behaviour of national lending banking systems, e...
January 2017Gross Capital Flows by Banks, Corporates and Sovereigns
with Bryan Hardy, Sebnem Kalemli-Ozcan, Luis Servén: w23116
We construct a quarterly dataset that decomposes gross capital inflows and outflows by lender and borrower sector—banks, corporates, and sovereigns—of the domestic economy for a large set of countries since the mid 1990s. Using this dataset, we establish four new facts. First, the well-known positive correlation between capital inflows and outflows is driven by banking flows, mainly by borrowing and lending of global banks in advanced countries. Second, during domestic economic downturns (booms), inflows to domestic banks and corporates decline (increase) in all countries and banks in advanced countries invest less (more) abroad, decreasing (increasing) their outflows, while banks and corporates in emerging markets do not change their outflows. Third, private and public inflows respond in ...
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