Stefan Avdjiev

Bank for International Settlements
Centralbahnplatz 2
Basel 4002, Switzerland

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Institutional Affiliation: Bank for International Settlements

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...

Published: Stefan Avdjiev & Bilyana Bogdanova & Patrick Bolton & Wei Jiang & Anastasia Kartasheva, 2020. "CoCo Issuance and Bank Fragility," Journal of Financial Economics, .

June 2017The Shifting Drivers of Global Liquidity
with Leonardo Gambacorta, Linda S. Goldberg, Stefano Schiaffi: w23565
The sensitivity of the main global liquidity components, international loan and bond flows, to global factors varied considerably over the past decade. The estimated sensitivity 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 reverted towards pre-crisis levels. Conversely, the responsiveness of international bank lending to global risk conditions declined steadily throughout the post-crisis period. We show that the main driver of the fluctuations in the estimated sensitivities to US monetary policy was the degree of convergence among advanced economy monetary policies. Meanwhile, the post-crisis fall in the sensitivity of international bank lending to global risk was mainly ...

Published: Stefan Avdjiev & Leonardo Gambacorta & Linda S. Goldberg & Stefano Schiaffi, 2020. "The shifting drivers of global liquidity," Journal of International Economics, .

January 2017Gross Capital Flows by Banks, Corporates and Sovereigns
with Bryan Hardy, Sebnem Kalemli-Ozcan, Luis Servén: w23116
We construct a new dataset of quarterly international capital flows by sector, with an emphasis on debt flows. Using our new dataset, we establish four facts. First, the comovement of capital inflows and outflows is driven by inflows and outflows vis-á-vis the domestic banking sector. Second, procyclicality of capital inflows is driven by banks and corporates, whereas sovereigns’ external liabilities move acyclically in advanced and countercyclically in emerging countries. Third, procyclicality of capital outflows is driven by advanced countries’ banks and emerging countries’ sovereigns (reserves). Fourth, capital inflows and outflows decline for banks and corporates when global risk aversion (VIX) increases, whereas sovereigns’ flows show no response. These facts are inconsistent with a l...
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