Publications des institutions partenaires
Hasan Bakhshi, Hashmat Khan and Barbara Rudolf: The Phillips curve under state-dependent pricing
This paper is related to a large recent literature studying the Phillips curve in sticky-price equilibrium models. It differs in allowing for the degree of price stickiness to be determined endogenously. A closed-form solution for short-term inflation is derived from the dynamic stochastic general equilibrium (DSGE) model with state-dependent pricing originallydev eloped byDotsey ,…
Institution partenaire
English / 27/04/2016
Diana Hancock and Urs W. Birchler: What Does the Yield on Subordinated Bank Debt Measure?
We provide evidence that a bank's subordinated debt yield spread is not, by itself, a sufficient measure of default risk. We use a model in which subordinated debt is held by investors with superior knowledge (informed investor). First, we show that in theory the yield spread on subordinated debt must compensate investors for expected loss plus give them an incentive not to prefer…
Institution partenaire
English / 27/04/2016
Katrin Assenmacher-Wesche and M. Hashem Pesaran: A VECX* model of the Swiss economy
This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural cointegrated VAR model that relates the core macroeconomic variables of the Swiss economy to current and lagged values of a number of key foreign variables. We identify and test a long-run structure between the variables. Moreover, we analyse the dynamic properties of…
Institution partenaire
English / 27/04/2016
Jonas Stulz: Exchange rate pass-through in Switzerland: Evidence from vector autoregressions
This study investigates the pass-through of exchange rate and import price shocks to different aggregated prices in Switzerland. The baseline analysis is carried out with recursively identified vector autoregressive (VAR) models. The data set comprises monthly observations, and pass-through effects are quantified by means of impulse response functions. Evidence shows that the…
Institution partenaire
English / 27/04/2016
Ernst Baltensperger, Philipp M. Hildebrand and Thomas J. Jordan: The Swiss National Bank's monetary policy concept - an example of a 'principles-based' policy framework
The practice of monetary policy has evolved a great deal since the early 1990s. This evolution was significantly influenced by rapid developments in the theory of monetary policy. A new consensus about 'principles-based' monetary policy appears to be emerging. It marries a firm long-term anchor for nominal stability, rooted in the original ideas behind inflation targeting, with short…
Institution partenaire
English / 27/04/2016
Caesar Lack: Forecasting Swiss inflation using VAR models
A procedure that has been used at the Swiss National Bank for selecting vector-autoregressive (VAR) models in order to forecast Swiss consumer price inflation is presented. In order to examine and improve the quality of the procedure, it is submitted to several modifications and the results are compared with one another. Combining forecasts substantially improves the quality of the…
Institution partenaire
English / 27/04/2016
Nicolas Alexis Cuche-Curti, Harris Dellas and Jean-Marc Natal: A dynamic stochastic general equilibrium model for Switzerland
This paper presents a DSGE (dynamic stochastic general equilibrium) model of the Swiss economy used since 2007 in the monetary policy decision process at the Swiss National Bank. In addition to forecasting the likely course of main macro variables under various scenarios for the Swiss economy, the model DSGE-CH serves as a laboratory for studying business cycles and examining the…
Institution partenaire
English / 27/04/2016
Mathias Zurlinden: Credit in the monetary transmission mechanism: An overview of some recent research using Swiss data
Studies on the role of the credit channel have flourished in recent years. This paper focuses on the work that has been carried out using Swiss data. It begins with some general features characterizing the credit channel and demonstrating its empirical implications. It then provides an overview of the empirical papers. For the most part, these papers test cross-sectional implications…
Institution partenaire
English / 27/04/2016
Samuel Reynard: Financial Market Participation and the Apparent Instability of Money Demand
This paper uses multi-period cross-sectional data on financial assets holdings to shed light on the postwar stability of money demand in the United States. I first present a new measure of the evolution of financial market participation, by relating participation to the extensive margins of money demand, and quantify the influence of wealth on participation decisions. I then relate…
Institution partenaire
English / 27/04/2016
Raphael Anton Auer: What Drives Target2 Balances? Evidence From a Panel Analysis
What are the drivers of the large Target2 (T2) balances that have emerged in the European Monetary Union since the start of the financial crisis in 2007? This paper examines the extent to which the evolution of national T2 balances can be statistically associated with cross-border financial flows and current account (CA) balances. In a quarterly panel spanning the years 1999 to 2012…
Institution partenaire
English / 27/04/2016
Raphael Anton Auer and Raphael S. Schoenle: Market Structure and Exchange Rate Pass-Through
In this paper, we examine the extent to which market structure and the way in which it affects pricing decisions of profit-maximizing firms can explain incomplete exchange rate passthrough. To this purpose, we evaluate how pass-through rates vary across trade partners and sectors depending on the mass and size distribution of firms affected by a particular exchange rate shock. In the…
Institution partenaire
English / 27/04/2016
Andreas Kropf and Philip Ulrich Sauré: Fixed Costs per Shipment
Exporting firms do not only decide how much of their products they ship abroad but also at which frequency. Doing so, they face a trade-off between saving on fixed costs per shipments (by shipping large amounts infrequently) and saving on storage costs (by delivering just in time with small and frequent shipments). The firm's optimal choice defines a mapping from size and frequency…
Institution partenaire
English / 27/04/2016
Competing with Superstars
This paper investigates the effect of superstar CEOs on their competitors. Exploiting shocks to CEO status due to prestigious media awards, we document a significant positive stock market performance of competitors of superstar CEOs subsequent to the award. The effect is more pronounced for competitors who have not received an Award themselves, who are geographically close to an…
Institution partenaire
English / 18/04/2016
All Good Things Come to an End: CEO Tenure and Firm Value
We provide evidence that CEO tenure exhibits an inverted U-shaped relation with firm value and M&A announcement returns, consistent with benefits (e.g., experience, learning, relations) and costs (e.g., CEO-firm mismatch, entrenchment, reluctance to change) arising over a CEO’s time in office. Depending on the dynamics of a firm’s economic environment which affect the cost-…
Institution partenaire
English / 08/04/2016
Social Norms and Strategic Default
This paper studies the behavioral mechanisms underlying the increase in strategic defaults during an economic crisis. We report data from a laboratory experiment in which we exogenously vary the state of the economy. Our data reveal two main reasons for why an economic contraction adversely affects repayments. First, weak economic conditions seem to soften debtors' moral…
Institution partenaire
English / 07/03/2016
Uniform-Price Auctions for Swiss Government Bonds: Origin and Evolution
The Swiss Treasury has used the sealed-bid, uniform-price auction format for allocating government bonds since 1980. In this study, we examine the authorities’ motivation for choosing the uniform-price auction. In addition, we describe how the institutional set-up evolved over time. It includes bidding requirements, class of bidders, pre-auction information, the bidding process, the…
Institution partenaire
English / 01/03/2016
Characteristics-based Porfolio Choice with Leverage Constraints
We show that the introduction of a leverage constraint improves the practical implementation of characteristics-based portfolios. The addition of the constraint leads to significantly lower transaction costs, to a reduction of negative portfolio weights, and to a decrease in volatility and misspecification risk. Furthermore, it allows investors to implement any desired level of…
Institution partenaire
English / 01/01/2016
Experience and Brokerage in Asset Markets: Evidence from Art Auctions
Focusing on the art market, where auction houses act as brokers between art sellers and buyers, we investigate whether more experienced brokers achieve better performance as information providers. We use a unique data set of auctions of Italian paintings in various houses around the world, and we measure experience as the number of times an auctioneer has auctioned the artworks of a…
Institution partenaire
English / 01/01/2016
Crash Sensitivity and Cross-Section of Expected Stock Returns
This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with weak LTD serve as a hedge during crises, but, overall, stocks with strong LTD have higher average future returns. This effect cannot be explained by…
Institution partenaire
English / 01/01/2016
Fragility of Money Markets
We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. In our model, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money markets. We derive how funding liquidity across money markets is related, explain how a shock to asset values…
Institution partenaire
English / 01/01/2016
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