Publications des institutions partenaires

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WP - 2018-11-19 - Christian Grisse and Gisle J. Natvik: Sovereign debt crises and cross-country assistance

We provide a theoretical study of the interplay between cross-country assistance and expectations-driven sovereign debt crises. A self-interested "safe" country may choose to assist a "risky" country that is prone to default. Investors internalize the potential for assistance when lending to fragile countries. If the safe country is not able to commit to or rule out cross-country...

Institution partenaire

Banque nationale suisse

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English / 19/11/2018

WP - 2018-11-05 - Thomas Lustenberger: Has the American Output Growth Path Experienced a Permanent Change?

In this paper, I derive and apply three univariate methods and one bi-variate method to estimate permanent and transitory components of the American output growth path during the 1790 to 2017 period. The results show that statistical tests give little support to the hypothesis of significant permanent growth rate changes (univariate methods). The "special century" (1870-1970, as...

Institution partenaire

Banque nationale suisse

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English / 05/11/2018

WP - 2018-09-14 - Stephan Imhof, Cyril Monnet and Shengxing Zhang: The Risk-Taking Channel of Liquidity Regulations and Monetary Policy

We develop a theoretical model to study the implications of liquidity regulations and monetary policy on deposit-making and risk-taking. Banks give risky loans by creating deposits that firms use to pay suppliers. Firms and banks can take more or less risk. In equilibrium, higher liquidity requirements always lower risk at the cost of lower investment. Nevertheless, a positive...

Institution partenaire

Banque nationale suisse

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English / 14/09/2018

WP - 2018-08-30 - Andreas M. Fischer, Henrike Groeger, Philip U. Sauré and Pinar Yesin: Current account adjustment and retained earnings

This paper develops a formal strategy to calculate current accounts with retained earnings (RE) on equity investment and analyzes their adjustment during the global financial crisis. RE are the part of companies' profits which are reinvested and not distributed to shareholders as dividends. International statistical standards treat RE on foreign direct investment and RE on portfolio...

Institution partenaire

Banque nationale suisse

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English / 30/08/2018

WP - 2018-08-17 - Maxime Phillot and Rina Rosenblatt-Wisch: Inflation Expectations: The Effect of Question Ordering on Forecast Inconsistencies

Expectations are key in modern macroeconomics. However, due to their scant measurability, policymakers often rely on survey data. It is thus of critical importance to know the limits of survey data use. We look at inflation expectations as measured through the Deloitte CFO Survey Switzerland and respondents' sensitivity to question ordering thereof. In particular, we investigate...

Institution partenaire

Banque nationale suisse

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English / 17/08/2018

WP - 2018-07-13 - Alex Cukierman and Thomas Lustenberger: International Evidence on Professional Interest Rate Forecasts: The Impact of Forecasting Ability

This paper develops a model of honest rational professional forecasters with different abilities and submits it to empirical verification using data on 3- and 12-months ahead forecasts of short-term interest rates and of long-term bond yields for up to 33 countries collected by Consensus Economics. The main finding is that in many countries, less-precise forecasters weigh public...

Institution partenaire

Banque nationale suisse

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English / 13/07/2018

WP - 2018-07-13 - Andreas M. Fischer and Lucca Zachmann: Do the rich pay their taxes early?

This paper examines the effects of household income on interest credits from early tax payments. The hypothesis that the richest households from high-income municipalities pay their income taxes early is tested in a demand specification for interest credit for early tax payments. The empirical analysis uses regional data from 170 municipalities in the canton of Zurich from 2007 to...

Institution partenaire

Banque nationale suisse

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English / 13/07/2018

WP - 2018-07-13 - Thomas Nitschka: Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?

Media reports suggest that the recent Chinese anti-corruption campaign adversely influenced business prospects of globally operating luxury goods firms. This paper empirically tests this hypothesis. This paper finds that risk-adjusted returns on stock portfolios consisting of luxury goods firms with high exposure to China shifted persistently downward around the launch of the anti-...

Institution partenaire

Banque nationale suisse

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English / 13/07/2018

WP - 2018-06-05 - Basil Guggenheim, Mario Meichle and Thomas Nellen: Confederation debt management since 1970

This paper presents new data vintages on marketable debt emissions and total outstanding debt. The data are used to analyze the Swiss Confederation’s issuing behavior and debt management. Issuing behavior became more regular and demand-oriented during the early 1990s. The Treasury actively manages roll-over risk by increasing bond maturity with increasing marketable debt to GDP...

Institution partenaire

Banque nationale suisse

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English / 05/06/2018

WP - 2018-05-28 - Lucas Marc Fuhrer, Basil Guggenheim and Matthias Jüttner: What do Swiss franc Libor futures really tell us?

This paper sheds light on Swiss franc Libor futures, which are often used to measure interest rate expectations. We show that the differences between Libor futures and realized rates (excess returns) are, on average, positive over the last 25 years. Using interest rate surveys, we decompose excess returns into a (forward) term premium and forecast errors. The decomposition reveals...

Institution partenaire

Banque nationale suisse

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English / 28/05/2018

WP - 2018-05-18 - Barthélémy Bonadio, Andreas M. Fischer and Philip Sauré: The speed of exchange rate pass-through

On January 15, 2015, the Swiss National Bank discontinued its minimum exchange rate policy of one euro against 1.2 Swiss francs. This policy shift resulted in a sharp, unanticipated and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the pass-through of this unusually clean exchange rate shock into import unit values at the daily frequency...

Institution partenaire

Banque nationale suisse

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English / 18/05/2018

WP - 2018-05-04 - Simone Auer, Christian Friedrich, Maja Ganarin, Teodora Paligorova and Pascal Towbin: International Monetary Policy Transmission through Banks in Small Open Economies

This paper studies the international transmission of monetary policy through banks in small open economies using the examples of Switzerland and Canada. We assess the inward transmission of foreign monetary policy for Switzerland and the outward transmission of domestic monetary policy for Canada. In both country cases, we focus on the international bank lending and the international...

Institution partenaire

Banque nationale suisse

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English / 04/05/2018

Thomas Lustenberger and Enzo Rossi: Does Central Bank Transparency and Communication Affect Financial and Macroeconomic Forecasts?

In a large sample of countries across different geographic regions and over a long period of time, we find limited country- and variable-specific effects of central bank transparency on forecast accuracy and their dispersion among a large set of professional forecasts of financial and macroeconomic variables. More communication even increases forecast errors and dispersion.

Institution partenaire

Banque nationale suisse

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English / 03/05/2018

WP - 2018-03-29 - Romain Baeriswyl, Camille Cornand and Bruno Ziliotto: Observing and shaping the market: the dilemma of central banks

While the central bank observes market activity to assess economic fundamentals, it shapes the market outcome through the conduct of monetary policy. A dilemma arises from this dual role because the more the central bank shapes the market, the more it influences the informational content of market prices. This paper analyses the optimal monetary policy action and disclosure when...

Institution partenaire

Banque nationale suisse

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English / 29/03/2018

WP - 2018-03-29 - Adriel Jost: Cultural Differences in Monetary Policy Preferences

The monetary policy preferences of a population are often explained by the country’s economic history. Based on Swiss data, this paper indicates that while different language groups may share the economic history, they demonstrate distinct monetary policy preferences. This suggests that distinct monetary policy preferences among the populations of different countries may be...

Institution partenaire

Banque nationale suisse

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English / 29/03/2018

WP - 2018-02-08 - Reto Foellmi, Adrian Jaeggi and Rina Rosenblatt-Wisch: Loss Aversion at the Aggregate Level Across Countries and its Relation to Economic Fundamentals

Preferences are important when thinking about macroeconomic problems and questions. Differences in preferences might, for example, explain cross-country variations in economic fundamentals. In recent years, differences in preferences across countries and cultures have been studied more frequently, usually concentrating on micro evidence. However, it is an open question as to how...

Institution partenaire

Banque nationale suisse

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English / 08/02/2018

Thomas Lustenberger and Enzo Rossi: The Social Value of Information: A Test of a Beauty and Non-Beauty Contest

We develop and apply a procedure to test the welfare implications of a beauty and non-beauty contest based on survey forecasts of interest rates and yields in a large country sample over an extended period of time. In most countries, interest-rate forecasts are unbiased and consistent with both models, but are rarely supported by yield forecasts. In half of the countries, a higher...

Institution partenaire

Banque nationale suisse

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English / 25/01/2018

Aleksander Berentsen and Benjamin Müller: A Tale of Fire-Sales and Liquidity Hoarding

We extend the analysis of the theoretical interbank market model of Gale and Yorulmazer (2013) by introducing randomized trading (lotteries). In contrast to Gale and Yorulmazer, we find that fire-sale asset prices are efficient and that no liquidity hoarding occurs in equilibrium with lotteries. While Gale and Yorulmazer find that the market provides insufficient liquidity, we find...

Institution partenaire

Banque nationale suisse

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English / 25/01/2018

David Haab and Thomas Nitschka: Predicting returns on asset markets of a small, open economy and the influence of global risks

Stylized facts of asset return predictability are mainly based on evidence from the US, a large, closed economy, and, hence, are not necessarily representative of small, open economies. Furthermore, discountrate news mainly drive US asset returns. This is not the case in other economies. We use Switzerland as example to highlight the importance of these issues and to assess the...

Institution partenaire

Banque nationale suisse

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English / 25/01/2018

Andreas M. Fischer, Rafael Greminger and Christian Grisse: Portfolio rebalancing in times of stress

This paper investigates time variation in the dynamics of international portfolio equity flows. We extend the empirical model of Hau and Rey (2004) by embedding a two-state Markov regime-switching model into the structural VAR. The model is estimated using monthly data for the period 1995-2015 on equity returns, exchange rate returns and equity flows between the United States and...

Institution partenaire

Banque nationale suisse

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English / 25/01/2018

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