Publications des institutions partenaires
Silvio Schumacher: Networks and lending conditions: Empirical evidence from the Swiss franc money markets
This paper provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their impact on overall market conditions. Based on transaction data from the unsecured and secured Swiss franc money markets, the trading network structures are assessed before, during and after the financial market crisis. It can be shown that banks in the…
Institution partenaire
English / 13/09/2016
Gregor Bäurle and Rolf Scheufele: Credit cycles and real activity - the Swiss case
The global Great Recession has sparked renewed interest in the relationships between financial conditions and real activity. This paper considers the Swiss experience, studying the impact of credit market conditions and housing prices on real activity over the last three decades through the lens of a medium-scale structural Bayesian vector autoregressive model (BVAR). From a…
Institution partenaire
English / 13/09/2016
Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds
This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational design, management incentives, target setting, investment strategy, investment processes,…
Institution partenaire
English / 05/09/2016
Liquidity Constraints, Wealth Transfers and Home Ownership
We study the impact of liquidity constraints on home ownership by comparing the tenure and housing choice of households who receive intra-family wealth transfers to those that do not. Our analysis is based on household-level panel data providing annual information on household characteristics, wealth transfers, tenure status as well as changes in the size and quality of housing. Our…
Institution partenaire
English / 01/09/2016
Nikola Mirkov, Igor Pozdeev and Paul Söderlind: Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions
We ask whether the markets expected the Swiss National Bank (SNB) to discontinue the 1.20 cap on the Swiss franc against the euro in January 2015. In the runup to the SNB announcement, neither options on the euro/Swiss franc nor FX liquidity indicated a significant shift in market expectations. Furthermore, we find that the SNB's verbal interventions during the period of cap…
Institution partenaire
English / 30/08/2016
Nikola Mirkov, Igor Pozdeev and Paul Söderlind: Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions
We ask whether the markets expected the Swiss National Bank (SNB) to discontinue the 1.20 cap on the Swiss franc against the euro in January 2015. In the runup to the SNB announcement, neither options on the euro/Swiss franc nor FX liquidity indicated a significant shift in market expectations. Furthermore, we find that the SNB's verbal interventions during the period of cap…
Institution partenaire
English / 30/08/2016
Unsecured and Secured Funding
We provide the first joint analysis of the secured and unsecured money markets of the euro area using bank-level data. After the Lehman crisis, two important substitution mechanisms emerge: banks with higher credit risk offset reductions of unsecured borrowing with secured funding. Riskier banks replace unsecured lending by granting more secured loans. However, high leverage and…
Institution partenaire
English / 01/08/2016
Conditional Currency Hedging
This research proposes Conditional Currency Hedging based on FX risk factors to reduce total portfolio risk of given stock, bond or commodity portfolios. In our employed sample, a conditional currency hedging framework based on implied FX volatility results in lower variance of a global equity portfolio than achieved by either no, full or unconditional mean-variance hedging, both in…
Institution partenaire
English / 02/07/2016
Immigration, Real Estate Prices and the Consumption Decisions of Native Households
Since house prices govern the consumption decisions of renters and owners alike, changing house prices can have far-reaching macroeconomic consequences. We analyze how the disposable income and consumption decisions of households are affected by exogenous house price changes in Switzerland. We look at consumption of both housing and non-durable goods to establish a comprehensive…
Institution partenaire
English / 01/07/2016
Toward Removal of Swiss Franc Cap: Market Expectations and Verbal Interventions
We ask whether the markets expected the Swiss National Bank (SNB) to discontinue the 1.20 cap on the Swiss franc against the euro in January 2015. In the run-up to the SNB announcement, neither options on the euro/Swiss franc nor FX liquidity indicated a significant shift in market expectations. Furthermore, we find that the SNB's verbal interventions during the period of cap…
Institution partenaire
English / 01/07/2016
Pinar Yesin: Capital Flows and the Swiss Franc
The Swiss franc is known to appreciate strongly during financial market turmoil, demonstrating its status as a typical safe haven currency. One possible mechanism behind this appreciation during times of global turmoil is assumed to be higher capital inflows to Switzerland. This paper attempts to find some empirical evidence for this presumption. The analysis reveals that capital…
Institution partenaire
English / 20/06/2016
Pinar Yesin: Capital Flows and the Swiss Franc
The Swiss franc is known to appreciate strongly during financial market turmoil, demonstrating its status as a typical safe haven currency. One possible mechanism behind this appreciation during times of global turmoil is assumed to be higher capital inflows to Switzerland. This paper attempts to find some empirical evidence for this presumption. The analysis reveals that capital…
Institution partenaire
English / 20/06/2016
Signe Krogstrup and Cédric Tille: On the roles of different foreign currencies in European bank lending
We draw on a new data set on the use of Swiss francs and other currencies by European banks to assess the patterns of foreign currency bank lending. We show that the patterns differ sharply across foreign currencies. The Swiss franc is used predominantly for lending to residents, especially households. It is sensitive to the interest rate differential, exchange rate developments,…
Institution partenaire
English / 18/05/2016
Signe Krogstrup and Cédric Tille: On the roles of different foreign currencies in European bank lending
We draw on a new data set on the use of Swiss francs and other currencies by European banks to assess the patterns of foreign currency bank lending. We show that the patterns differ sharply across foreign currencies. The Swiss franc is used predominantly for lending to residents, especially households. It is sensitive to the interest rate differential, exchange rate developments,…
Institution partenaire
English / 18/05/2016
Pascal Towbin and Sebastian Weber: Price expectations and the US housing boom
As it has proved difficult to explain the recent US house price boom on the basis of fundamentals, many observers have emphasised the role of speculation. This kind of argument is, however, indirect, as speculation is treated as a deviation from a benchmark. Our paper identifies house price expectation shocks directly, using a VAR with sign restrictions. House price expectation…
Institution partenaire
English / 27/04/2016
Raphael Anton Auer and Cédric Tille: The banking sector and the Swiss financial account during the financial and European debt crises
The US financial crisis and the later eurozone crisis have substantially impacted capital flows into and out of financial centers like Switzerland. We focus on the pattern of capital flows involving the Swiss banking industry. We first rely on balance-of-payment statistics and show that net banking inflows rose during the acute phases of the crises, albeit with a contrasting pattern…
Institution partenaire
English / 27/04/2016
Christian Hepenstrick and Massimiliano Marcellino: Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter
In this paper, we propose a modification of the three-pass regression filter (3PRF) to make it applicable to large mixed frequency datasets with ragged edges in a forecasting context. The resulting method, labeled MF-3PRF, is very simple but compares well to alternative mixed frequency factor estimation procedures in terms of theoretical properties, finite samle performance in Monte…
Institution partenaire
English / 27/04/2016
Alain Galli: How reliable are cointegration-based estimates for wealth effects on consumption? Evidence from Switzerland
According to economic theory, the intertemporal budget constraint of households implies that a permanent increase in wealth should have a positive effect on consumer spending. Given the comparatively strong increase in Swiss household wealth over the past few years, the question of the extent to which changes in wealth influence expenditures of households has become of special…
Institution partenaire
English / 27/04/2016
Pinar Yesin: Exchange Rate Predictability and State-of-the-Art Models
This paper empirically evaluates the predictive performance of the International Monetary Fund's (IMF) exchange rate assessments with respect to future exchange rate movements. The assessments of real trade-weighted exchange rates were conducted from 2006 to 2011, and were based on three state-of-the-art exchange rate models with a medium-term focus which were developed by the IMF.…
Institution partenaire
English / 27/04/2016
Sandra Hanslin and Rolf Scheufele: Foreign PMIs: A reliable indicator for exports?
Foreign economic activity is a major determinant of export development. This paper presents an indicator for now- and forecasting exports, which is based on survey data that captures foreign economic perspectives. We construct an indicator by weighting foreign PMIs of main trading partners with their respective export shares. For two very trade exposed countries (Germany and…
Institution partenaire
English / 27/04/2016
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