Publications des institutions partenaires

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WP - 2022-05-11 - Christian Hepenstrick and Jason Blunier: What were they thinking? Estimating the quarterly forecasts underlying annual growth projections

Many prominent forecasters publish their projections at an annual frequency. However, for applied work, an estimate of the underlying quarterly forecasts is often indispensable. We demonstrate that a simple state-space model can be used to obtain good estimates of the quarterly forecasts underlying annual projections. We validate the methodology by aggregating professional forecasts...

Institution partenaire

Banque nationale suisse

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English / 11/05/2022

WP - 2022-03-04 - Lena Lee Andresen: The influence of financial corporations on IMF lending: Has it changed with the global financial crisis?

The global financial crisis of 2007-2008 might constitute another structural change in IMF lending after the Latin American debt crisis and the end of the Cold War. Using a panel dataset of 120 countries with IMF programmes from 1993 to 2016, I find that with the crisis, the importance of financial corporations in IMF lending decisions has risen as major IMF shareholders seek to...

Institution partenaire

Banque nationale suisse

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English / 04/03/2022

WP - 2022-02-07 - Alain Galli and Rina Rosenblatt-Wisch: Analysing households' consumption and saving patterns using tax data

Private consumption, i.e., spending of households, is a key economic variable. While data on private consumption are widely available on a national, aggregate level, disaggregated data on household spending are scarce, particularly in the form of a panel. To fill this gap, we make use of Swiss tax data from the Canton of Bern from 2002 until 2016 to retrieve consumption estimates on...

Institution partenaire

Banque nationale suisse

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English / 07/02/2022

WP - 2022-02-01 - Martin Indergand, Eric Jondeau and Andreas Fuster: Measuring and stress-testing market-implied bank capital

We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a severe market downturn is systematically distorted, underestimating the risk of banks with low...

Institution partenaire

Banque nationale suisse

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English / 01/02/2022

WP - 2022-01-11 - Enrique Alberola, Carlos Cantú, Paolo Cavallino and Nicola Mirkov: Fiscal regimes and the exchange rate

In this paper, we argue that the effect of monetary and fiscal policies on the exchange rate depends on the fiscal regime. A contractionary monetary (expansionary fiscal) shock can lead to a depreciation, rather than an appreciation, of the domestic currency if debt is not backed by future fiscal surpluses. We look at daily movements of the Brazilian real around policy announcements and...

Institution partenaire

Banque nationale suisse

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English / 11/01/2022

WP - 2021-12-22 - Alexander Dentler and Enzo Rossi: Shooting up liquidity: the effect of crime on real estate

We combine real estate data with various types of crime data using time and geospatial information to detect discontinuities in transaction densities and pricing around crime events in Rochester, NY. Discontinuities in transaction densities invalidate causal inference for price responses implied by the regression discontinuity design (RDD) approach. However, these discontinuities...

Institution partenaire

Banque nationale suisse

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English / 22/12/2021

WP - 2021-10-22 - Romain Baeriswyl, Samuel Reynard and Alexandre Swoboda: Retail CBDC purposes and risk transfers to the central bank

The issuance of retail central bank digital currency (CBDC) entails a transfer of risk from commercial banks to the central bank. While this paper does not provide an overall assessment on whether or not to issue a retail CBDC, it analyzes how different mechanisms to limit the risk transfer, such as an unattractive interest rate on retail CBDC, a quantity ceiling or preventing...

Institution partenaire

Banque nationale suisse

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English / 22/10/2021

WP - 2021-10-22 - Nicole Allenspach, Oleg Reichmann and Javier Rodriguez-Martin: Are banks still 'too big to fail'? - A market perspective

This paper aims at deriving the market's assessment as to whether banks worldwide still benefit from a Too Big To Fail (TBTF) subsidy. Such a subsidy reflects the market's expectation of government support in the event of a crisis and results in reduced funding costs for the benefiting bank. To capture this effect, we use two different extensions of the Merton (1974) framework. We...

Institution partenaire

Banque nationale suisse

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English / 22/10/2021

WP - 2021-10-01 - Lucas Marc Fuhrer, Matthias Jüttner, Jan Wrampelmeyer and Matthias Zwicker: Reserve tiering and the interbank market

Since the financial crisis, major central banks have introduced negative interest rates with the help of tiered reserve remuneration. We theoretically and empirically investigate monetary policy implementation via reserve tiering using a unique bank-level dataset from Switzerland. We find that reserve tiering can successfully be used to steer short-term interest rates. Furthermore,...

Institution partenaire

Banque nationale suisse

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English / 01/10/2021

WP - 2021-09-03 - Matthias Burgert, Philipp Pfeiffer and Werner Roeger: Fiscal policy in a monetary union with downward nominal wage rigidity

We estimate an open economy DSGE model to study the fiscal policy implications of downward nominal wage rigidity (DNWR) in a monetary union. DNWR has significantly exacerbated the recession in the southern euro area countries and is important for the design of fiscal policy. We show that a cut in social security contributions paid by employers (equivalent to wage subsidies) is...

Institution partenaire

Banque nationale suisse

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English / 03/09/2021

WP - 2021-08-27 - Maxime Phillot and Samuel Reynard: Monetary policy financial transmission and treasury liquidity premia

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

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...

Institution partenaire

Banque nationale suisse

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English / 13/08/2021

WP - 2021-05-25 - Andreas Fuster, Tan Schelling and Pascal Towbin: Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

As negative interest rates exert pressure on bank profitability, several central banks have introduced reserve tiering systems to lessen the burden. Reserve tiering means that banks are only charged the negative policy rate above a certain threshold of reserves. Altering the threshold affects bank profits and therefore has potential effects on the macroeconomy and financial stability...

Institution partenaire

Banque nationale suisse

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English / 25/05/2021

WP - 2021-04-16 - Angela Abbate and Dominik Thaler: Optimal monetary policy with the risk-taking channel

Empirical research suggests that lower interest rates induce banks to take higher risks. We assess analytically what this risk-taking channel implies for optimal monetary policy in a tractable New Keynesian model. We show that this channel creates a motive for the planner to stabilize the real rate. This objective conflicts with the standard inflation stabilization objective. Optimal...

Institution partenaire

Banque nationale suisse

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English / 16/04/2021

WP - 2021-04-15 - Thomas Nitschka and Shajivan Satkurunathan: Habits die hard: implications for bond and stock markets internationally

This paper assesses whether the global fall in inflation expectations together with increased fear of recession, the economic mechanism that drives asset prices in a model with consumption habits, help to explain the downward trajectory in nominal government bond yields and the stock price dynamics of six major economies from 1988 to 2019. We calibrate the habit model for each...

Institution partenaire

Banque nationale suisse

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English / 15/04/2021

WP - 2021-04-13 - Lucas Marc Fuhrer and Nils Herger: Real interest rates and demographic developments across generations: A panel-data analysis over two centuries

This paper empirically examines the effect of population growth on long-term real interest rates. Although this effect is well founded in macroeconomic theory, the corresponding empirical results have been rather tenuous and surprisingly unstable. As the demographic interest rate impact is theoretically based on intergenerational relationships, we not only contemplate gross...

Institution partenaire

Banque nationale suisse

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English / 13/04/2021

WP - 2021-03-17 - Winfried Koeniger, Benedikt Lennartz and Marc-Antoine Ramelet: On the transmission of monetary policy to the housing market

We provide empirical evidence on the heterogeneous transmission of monetary policy to the housing market across and within countries. We use household-level data from Germany, Italy and Switzerland together with the respective monetary policy shocks identified from high-frequency data. We find that the pass-through of monetary policy shocks to rates of newly originated (fixed-rate)...

Institution partenaire

Banque nationale suisse

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English / 17/03/2021

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