Mathias Drehmann
Mathias Drehmann heads the secretariat for the Markets Committee, which facilitates central bank cooperation and information exchange about central bank operations and financial market functioning. Mathias has been with the BIS for more than a decade, most recently as Head of Emerging Markets. Prior to joining the BIS, he held appointments at the Bank of England and the ECB. Mathias has extensive experience in covering financial markets in advanced economies and EMEs and has a strong research record. His work focuses on financial markets, macro-financial interactions, financial cycles and financial stability more generally. It provided the basis for the countercyclical capital buffer adopted under Basel III. Mathias's work is cited widely and has been published in academic journals such as the American Economic Review, the Journal of Financial Intermediation or the Journal of Banking and Finance. Mathias received a PhD from the University of Bonn and the London School of Economics, as part of the European Doctoral Program for Quantitative Economics.
Fields of interest
- Financial markets
- Financial stability and macro-prudential issues
- Business cycle and growth
- " Monetary policy, the financial cycle and ultra-low interest rates" (with M Juselius, C Borio and P Disyatat), International Journal of Central Banking, vol 13, no 3, September 2017.
- " Evaluating early warning indicators of banking crises: satisfying policy requirements" (with M Juselius), International Journal of Forecasting, vol 30, no 3, 2014. Also published as BIS Working Papers no 421.
- " Measuring the systemic importance of interconnected banks" (with N Tarashev), Journal of Financial Intermediation, vol 22, no 4, 2013. Also published as BIS Working Papers no 342.
- " Anchoring countercyclical capital buffers: the role of credit aggregates" (with C Borio and K Tsatsaronis), International Journal of Central Banking, vol 7, no 4, December 2011. Also published as BIS Working Papers no 355.
- " Herding and contrarian behavior in financial markets - an internet experiment" (with J Oechssler and A Roider), American Economic Review, vol 95, no 5, 2005, pp 1403-26.
- " An economic capital model integrating credit and interest rate risk in the banking book" (with P Alessandri), Journal of Banking and Finance, vol 34, no 4, 2010, pp 730-42.
- " Stress-testing macro stress testing: does it live up to expectations?" (with C Borio and K Tsatsaronis), Journal of Financial Stability, vol 12, June 2014. Also published as BIS Working Papers no 369.
- " Funding liquidity risk: definition and measurement" (with K Nikolaou), Journal of Banking and Finance, vol 37, no 7, 2013. Also published as BIS Working Papers no 316.
- "Can we identify the financial cycle?", in D Evanoff and G Kaufmann (eds), The role of central banks in financial stability: how has it changed?, December 2013.
- " The effects of countercyclical capital buffers on bank lending" (with L Gambacorta), Applied Economic Letters, vol 19, 2011.
- "Financial instability and macroeconomics: bridging the gulf", in The International financial crisis, 2011.
- " The integrated impact of credit and interest rate risk on banks: a dynamic framework and stress testing application" (with S Sorensen and M Stringa), Journal of Banking and Finance, vol 34, no 4, 2010, pp 713-29.
- " Macroeconomic stress testing banks: a survey of methodologies", in M Quagliariello (ed), Stress testing the banking system: Methodologies and applications, Cambridge University Press, 2009.
- " Stress tests: objectives, challenges and modelling choices", Riksbank Economic Review, June 2008.
- " Herding with and without payoff externalities - an internet experiment" (with J Oechssler and A Roider), International Journal of Industrial Organisations, vol 25, 2007.
- " Non-linearities and stress testing" (with A Patton and S Sorensen), in Risk measurement and systemic risk, Proceedings of the Fourth Joint Central Bank Research Conference, ECB, 2007.
- " Will an optimal deposit insurance always increase financial stability?", Bonn Econ Discussion Papers, 28/2002, 2002.
- " The challenges facing currency usage" (with C A E Goodhart and M Krueger), Economic Policy, vol 17, no 34, 2002.