Publications des institutions partenaires

We quantify the effects of monetary policy shocks on the yield curve through their impact on Treasury liquidity premia. When the Fed raises interest rates, the spread between less-liquid assets and Treasuries of the same maturity and risk increases, as the liquidity value of holding Treasuries increases when the aggregate volume of banks’ customer deposits decreases. The longer the...

Institution partenaire

Banque nationale suisse

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English / 27/08/2021

WP - 2021-08-27 - Marc Blatter and Andreas Fuster: Scale effects on efficiency and profitability in the Swiss banking sector

This paper analyzes efficiency and profitability in the Swiss banking sector over the period 1997-2019. We find strong evidence for scale economies: for most banks in the sample, efficiency and profitability increase with bank size. Using an instrumental variables strategy for a subset of geographically restrained banks, we find that the effect of size on efficiency and profitability...

Institution partenaire

Banque nationale suisse

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English / 27/08/2021

Natural disasters and electoral outcomes

In: European Journal of Political Economy, 2021, vol. 67, p. 19 p

Institution partenaire

Università della Svizzera italiana

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English / 23/08/2021

WP - 2021-08-13 - Philippe Bacchetta, Rachel Cordonier and Ouarda Merrouche: The rise in foreign currency bonds: the role of US monetary policy and capital controls

An unintended consequence of loose US monetary policy is the increase in currency risk exposure abroad. Using firm-level data on corporate bond issuances in 17 emerging market economies (EME) between 2003 and 2015, we find that EME companies are more likely to issue bonds in foreign currency when US interest rates are low. This increase occurs across the board, including for firms...

Institution partenaire

Banque nationale suisse

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English / 13/08/2021

WP - 2021-08-13 - Philipp F. M. Baumann, Enzo Rossi and Alexander Volkmann: What drives inflation and how? Evidence from additive mixed models selected by cAIC

We analyze the forces that explain inflation using a large panel of 122 countries from 1997 to 2015. Models motivated by the economic theory are compared to a boosting algorithm, and non-linearities and structural breaks are explicitly considered. The boosting algorithm outperforms theory-based models. Further, we provide compelling evidence that the interaction of energy price and...

Institution partenaire

Banque nationale suisse

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English / 13/08/2021

WP - 2021-08-13 - Martin Indergand and Gabriela Hrasko: Does the market believe in loss-absorbing bank debt?

We propose a simple model to estimate the risk-neutral loss distribution from the credit spreads of long-term debt instruments with different seniorities. We apply our model to a sample of global systemically important banks that have issued bail-in debt in order to meet the total loss-absorbing capacity (TLAC) requirements established after the global financial crisis. Bail-in debt...