Publications des institutions partenaires
Prediction of extreme price occurrences in the German day-ahead electricity market
Institution partenaire
English / 01/07/2016
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
Global Trade Plateaus. The 19th GTA Report
This report demonstrates that talk of a global trade slowdown is misplaced. Since January 2015 world trade volumes have plateaued, which is unusual as pauses in trade growth are typically associated with global recessions. A global trade plateau is a major source of concern as it is likely to add to the temptation of governments to engage in zero-sum commercial policies that seek to…
Institution partenaire
English / 01/07/2016
Estimating Preferences from Referendum Votes: the Case of the Performing Arts
This paper studies the electoral connection in the domain of cultural policy spending by analyzing direct democratic referendums on financing of the performing arts. Previous empirical investigations into voter preferences for the arts are based on the (strong) assumption of full voter turnout. I show theoretically and empirically that capturing the turnout decision leads to a…
Institution partenaire
English / 21/06/2016
Estimation and application of fully parametric multifactor quantile regression with dynamic coefficients
This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by maximum likelihood. The likelihood function is built on the Skewed-Laplace assumption. In…
Institution partenaire
English / 15/06/2016
Determinants of Liquidity (Re-)Allocation and the Decision to Cross-List or Cross-Delist
This paper examines the factors influencing the liquidity allocation between local and foreign dual listings. Based on a comprehensive data set covering the period between 2001 and 2011, empirical results suggest that the fraction of trading in the foreign listing decreases with a higher degree of stock market Integration measured as the stock price correlation with the world market…
Institution partenaire
English / 06/06/2016
A fully parametric approach for solving quantile regressions with time-varying coefficients
This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by maximum likelihood. The likelihood function is built on the Skewed-Laplace assumption. In…
Institution partenaire
English / 04/06/2016
Changing Risk Perception and the Time-Varying Price of Risk
This paper investigates the impact of changes in risk perception on bond markets triggered by the 2007-08 financial crisis. Using a methodology novel to empirical finance, we quantify the increase in credit spreads caused by changes in risk pricing and changes in risk factors. The lasting increase in credit spreads is almost exclusively due to time-varying prices of risk. We…
Institution partenaire
English / 01/06/2016
Do Professionals Get It Right? Limited Attention and Risk-Taking Behaviour
Does information processing affect individual risk-taking behaviour? This article provides evidence that professional athletes suffer from a left-digit bias when dealing with signals about differences in performance. Using data from the highly competitive field of World Cup alpine skiing for the period of 1992–2014, we show that athletes misinterpret actual differences in race times…
Institution partenaire
English / 01/05/2016
Structural model for electricity forward prices
Structural models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we aim at understanding the dynamics of the risk premium (the drift in the dynamics) and the noise (non-Gaussian, stochastic volatility) in futures prices for electricity. We…
Institution partenaire
English / 28/04/2016
Direct Democracy: Chances and Challenges
This paper discusses several problems of direct popular decisions. In the first part, we consider problems related to the functioning of direct democracy. As a political system it only makes sense if there exists a continuous process and not if only occasional single questions are brought to a referendum. Then, the relation between direct democracy and the rule of unanimity is…
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
On the Incidence of Bank Levies: Theory and Evidence
Several European countries have recently introduced levies on bank liabilities to internalise the fiscal costs of banking crises. This paper studies the tax incidence: Building on the Monti-Klein model, we predict that banks shift the burden to borrowers by raising lending rates and that deposit rates may increase as deposits are partly exempt. Bank-level evidence for 23 EU countries…
Institution partenaire
English / 14/04/2016
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
Locating Responsibility. An Extended Transaction Cost Approach
Institution partenaire
English / 02/04/2016
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
The Economic Drivers of Differences in House Price Inflation Rates across MSAs
This study examines why monetary policy at the national level can have vastly different effects on appreciation rates of single family houses across metropolitan statistical areas (MSAs). The study employs Case/Shiller monthly house price index data for 19 MSAs from 1992:06 to 2014:12 and FHFA quarterly house price index data for 94 MSAs from 1992:3 to 2014:4. We model the importance…
Institution partenaire
English / 01/03/2016
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
Could the Recently Enacted Data Localization Requirements in Russia Backfire?
In the wake of ex-NSA contractor Edward Snowden's surveillance revelations to the global public, and despite an unimpeded cross-border data flow and knowledge transfer being a pre-requisite for the development of the digital economy, governments around the world are increasingly tending to resort to mandatory local data storage and to restrictions and bans on data transfers in a…
Institution partenaire
English / 22/02/2016
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