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, . citation courtesy of

January 2017Gross Capital Flows by Banks, Corporates and Sovereigns
with Bryan Hardy, Ṣebnem Kalemli-Özcan, Luis Servén: w23116
We construct a new quarterly data set of international capital flows broken down by sector: banks, corporates and sovereigns. Using our novel data set, we establish several key facts that demonstrate the importance of distinguishing in- and outflows by the domestic sectoral identity. We find that public sector flows may serve as a countervailing force to private sector flows, especially in emerging markets (EMs), as these flows respond differently not only to country-specific fundamentals but also to global shocks. The high inflow-outflow correlation observed in total capital flow data is driven by within-sector flows, especially those of AE banks. In general, inflows and outflows of AEs and inflows to EMs are primarily AE banks’ transactions, and, as a consequence, respond similarly to ca...
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