Alexis Derviz

Czech National Bank (CNB) - Monetary Department

Na Prikope 28

CZ-11503 Praha 1

Czech Republic

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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Top 5,899

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84

CROSSREF CITATIONS

140

Ideas:
“  Computationally tractable full-distribution solution methods for DSGE models (the ultimate objective is to put to death the "non-stochastic steady state" fraud).  ”

Scholarly Papers (7)

1.

Continuous Time Decision-Making in a Partially Decentralized Multiple Dealership Forex Market, and the Equilibrium Exchange Rate

Number of pages: 28 Posted: 04 Apr 2001
Alexis Derviz
Czech National Bank (CNB) - Monetary Department
Downloads 352 (104,139)

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Optimizing dealer, forex microstructure, diffusion uncertainty, inter-dealer market

Capital Regulation in a Macroeconomic Model with Three Layers of Default

Banque de France Working Paper No. 533
Number of pages: 63 Posted: 03 Jan 2015
Banque de France, Czech National Bank (CNB) - Monetary Department, European Central Bank (ECB) - Directorate General Research, Deutsche Bundesbank - Research Centre, European Central Bank (ECB), European Central Bank (ECB), Centre for Monetary and Financial Studies (CEMFI) and Board of Governors of the Federal Reserve System
Downloads 193 (190,910)
Citation 84

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Macroprudential policy; Financial frictions; Default risk

Capital Regulation in a Macroeconomic Model with Three Layers of Default

ECB Working Paper No. 1827
Number of pages: 60 Posted: 11 Jul 2015
Banque de France, Czech National Bank (CNB) - Monetary Department, European Central Bank (ECB) - Directorate General Research, Deutsche Bundesbank - Research Centre, European Central Bank (ECB), European Central Bank (ECB), Centre for Monetary and Financial Studies (CEMFI) and Board of Governors of the Federal Reserve System
Downloads 47 (485,890)

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Default risk; Financial frictions; Macroprudential policy

Capital Regulation in a Macroeconomic Model with Three Layers of Default

CEPR Discussion Paper No. DP10316
Number of pages: 58 Posted: 23 Jan 2015
Banque de France, Czech National Bank (CNB) - Monetary Department, European Central Bank (ECB) - Directorate General Research, Deutsche Bundesbank - Research Centre and European Central Bank (ECB)
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Citation 2
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Default risk, Financial frictions, Macroprudential policy

3.

Exchange Rate Risks and Asset Prices in a Small Open Economy

Number of pages: 42 Posted: 19 May 2004
Alexis Derviz
Czech National Bank (CNB) - Monetary Department
Downloads 227 (164,156)

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exchange rate, pricing kernel, order flow, latent risk, state space

4.

Understanding the Weakness in Global Trade - What is the New Normal?

ECB Occasional Paper No. 178
Number of pages: 48 Posted: 26 Sep 2016
Banque de France, European Central Bank (ECB), Czech National Bank (CNB), Bank of Italy, Banque de France, Banque de France, Czech National Bank (CNB) - Monetary Department, Bank of Greece, SKEMA Business School, European Central Bank (ECB), Banque de France, Bank of Finland - Financial Markets, Central Bank and Financial Services Authority of Ireland, European Central Bank (ECB), Bank of Italy, Banque de France, Banco de España, National Bank of Poland, National Bank of Poland - Department of Economics, European Union - European Commission, Magyar Nemzeti Bank, Bank of Lithuania, Banco de España, European Central Bank (ECB), Deutsche Bundesbank, Banque de France, Bank of England, Bank of England, De Nederlandsche Bank, National Bank of Belgium and Oesterreichische Nationalbank (OeNB)
Downloads 152 (234,458)

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global trade slowdown, trade elasticity, global value chains, frictions in global trade, protectionism

5.

Cross-Border Lending Contagion in Multinational Banks

ECB Working Paper No. 807
Number of pages: 40 Posted: 19 Sep 2007
Alexis Derviz and Jirí Podpiera
Czech National Bank (CNB) - Monetary Department and Czech National Bank
Downloads 103 (313,197)

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Multinational bank, diversification, delegation, lending contagion, panel regression

6.

Bubbles, Bank Credit and Macroprudential Policies

ECB Working Paper No. 1551
Number of pages: 50 Posted: 18 Jul 2013
Alexis Derviz
Czech National Bank (CNB) - Monetary Department
Downloads 54 (449,543)

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bank, credit, asset price, bubble, macroprudential policy

7.

Information, Sentiment, and Price in a Fast Order-Driven Market

The IUP Journal of Financial Risk Management, Vol. VIII, No. 3, September 2011, pp. 43-75
Posted: 06 Jul 2012
Alexis Derviz
Czech National Bank (CNB) - Monetary Department

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