Publications des institutions partenaires

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Paul Söderlind: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Nominal and real U.S. interest rates (1997Q1-2008Q2) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of risk premia. It is shown that survey data on inflation and output growth uncertainty, as well as a proxy for liquidity premia can explain a large amount of the variation in these risk premia.

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo: Forecasting realized (co)variances with a block structure Wishart autoregressive model

In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic interpretation and accuracy versus speed. The authors attempt to reconcile, at least partially, both trade-offs. The former trade-off is crucial for many financial applications, including portfolio and risk management. The speed/accuracy trade-off is becoming more and more...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Martin Brown, Steven Ongena and Pinar Yesin: Foreign Currency Borrowing by Small Firms

We examine the firm- and country-level determinants of the currency denomination of small business loans. We first model the choice of loan currency in a framework which features a trade-off between lower cost of debt and the risk of firm-level distress costs, and also examines the impact of information asymmetry between banks and firms. When foreign currency funds come at a lower...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Thomas Bolli and Mathias Zurlinden: Measurement of labor quality growth caused by unobservable characteristics

The standard economy-wide indices of labor quality (or human capital) largely ignore the role of unobservable worker characteristics. In this paper, we develop a methodology for identifying the contributions of both observable and unobservable worker characteristics in the presence of the incidental parameter problem. Based on data for Switzerland over the period 1991-2006, we find...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Christian Beer, Steven Ongena and Marcel Peter: Borrowing in Foreign Currency: Austrian Households as Carry Traders

Household borrowing in a foreign currency is a widespread phenomenon in Austria. Twelve percent of Austrian households report their housing loan to be denominated in either Swiss franc or Japanese yen for example. Yet, despite its importance, peculiar character, and immediate policy concerns, we know too little about the attitudes and characteristics of the households involved in...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Raphael Anton Auer and Andreas M. Fischer: The Effect of Low-Wage Import Competition on U.S. Inflationary Pressure

This paper develops a new methodology to estimate the effect of low-wage import competition on U.S. producer prices. We first document that when low-wage countries grow, their exports to the United States increase most in labor-intensive sectors. Second, we demonstrate that the temporary and relative component of imports induced by labor intensity and output growth in low-wage...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Ernst Fehr, Martin Brown and Christian Zehnder: On Reputation: A Microfoundation of Contract Enforcement and Price Rigidity

We study the impact of reputational incentives in markets characterized by moral hazard problems. Social preferences have been shown to enhance contract enforcement in these markets, while at the same time generating considerable wage and price rigidity. Reputation powerfully amplifies the positive effects of social preferences on contract enforcement by increasing contract...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Katrin Assenmacher-Wesche and Stefan Gerlach: Financial Structure and the Impact of Monetary Policy on Asset Prices

We study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using single-country VARs and panel VARs in which we distinguish between groups of countries depending on their financial systems. The effect of monetary policy on property prices is only about three times as large...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Daniel Kaufmann: Price-Setting Behaviour in Switzerland Evidence from CPI Micro Data

This paper investigates price-setting behaviour of firms based on the individual price quotes underlying the Swiss consumer price index. The data set covers the years from 1993 to 2005. Six main findings emerge from the analysis. (i) Prices are sticky; the median duration amounts to 4.6 quarters. (ii) Price-setting behaviour is heterogeneous across sectors and outlet characteristics...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Samuel Reynard: What Drives the Swiss Franc?

This paper analyzes the behavior of the Swiss franc (CHF) over the past 35 years. It relates the evolution of the CHF exchange rates to economic fundamentals like the relative competitiveness of the Swiss export sector, accumulated current accounts, interest rate differentials and oil prices. Some factors like the introduction of the euro, a relative increase in Swiss domestic...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Thomas Bolli and Mathias Zurlinden: Measuring growth of labour quality and the quality-adjusted unemployment rate in Switzerland

This paper presents results on human capital accumulation for the Swiss economy. We find that the index of labour quality has grown at a rate of 0.5% per year from 1991 to 2006. The main sources are the growth in average levels of education and the passing of the baby boom cohort through the age structure of the workforce. Projections over the period 2006-2050 suggest that labour...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Philip Sauré: How to Use Industrial Policy to Sustain Trade Agreements

With the help of a simple Ricardian model, this paper explores the role of industrial policy in self-enforcing trade agreements. A first part shows that the optimal self-enforcing trade agreement includes subsidies to inefficient, import-competing sectors. Second, when by some exogenous or endogenous force the comparative advantage deepens, subsidies go to declining industries. Key...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Barbara Rudolf and Mathias Zurlinden: Measuring capital stocks and capital services in Switzerland

This paper presents estimates of the aggregate net (wealth) capital stock and aggregate capital services for Switzerland. We derive these estimates in a consistent manner using the perpetual inventory method. Due to changes in data availability, the time series cover the period 1970-2005 for a 2-asset breakdown (equipment and structures) and 1990-2005 for a 12-asset breakdown (nine...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Charlotte Christiansen and Angelo Ranaldo: Extreme Coexceedances in New EU Member States' Stock Markets

We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. We use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the coexceedance...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Andreas M. Fischer and Angelo Ranaldo: Does FOMC News Increase Global FX Trading?

Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading volume in foreign exchange (FX) markets. We find strong evidence that trading volume...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Raphael Anton Auer: The Colonial and Geographic Origins of Comparative Development

While the direct impact of geographic endowments on prosperity is present in all countries, in former colonies, geography has also affected colonization policies and institutional outcomes. Thus, one can disentangle the partial effects of endowments and institutions on income by utilizing the interaction of geography and colonial experience. I first document that climate and disease...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Martin Brown, Armin Falk and Ernst Fehr: Competition and Relational Contracts: The Role of Unemployment as a Disciplinary Device

When unemployment prevails, relations with a particular firm are valuable for workers. As a consequence, a worker may adhere to an implicit agreement to provide high effort, even when performance is no third-party enforceable. But can implicit agreements - or relational contracts - also motivate high worker performance when the labor market is tight? We examine this question by...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Raphael Anton Auer and Thomas Chaney: Cost Pass Through in a Competitive Model of Pricing-to-Market

This paper builds up an extension to the Mussa and Rosen (1978) model of quality pricing under perfect competition. Our model incorporates decreasing returns to scale. First, we predict that exchange rate shocks are imperfectly passed through into prices. Second, prices of low quality goods are more sensitive to exchange rate shocks than prices of high quality goods. Third, in...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Marlene Amstad and Andreas M. Fischer: Are Weekly Inflation Forecasts Informative?

Are weekly inflation forecasts informative? Although several central banks review and discuss monetary policy issues on a bi-weekly basis, there have been few attempts by analysts to construct systematic estimates of core inflation that supports such a decision-making schedule. The timeliness of news releases and macroeconomic revisions are recognized to be an important information...

Institution partenaire

Banque nationale suisse

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English / 27/04/2016

Clara Rueda Maurer: Foreign bank entry, institutional development and credit access: firm-level evidence from 22 transition countries

In this paper I examine how the protection of creditors' rights influence the way in which foreign bank entry affects the access to credit of firms. Using a sample of more than 6000 firms in 22 transition countries I find that as bankruptcy proceedings become more inefficient foreign bank entry is more likely to crowd-out small and opaque firms. Conversely, as the protection of...

Institution partenaire

Banque nationale suisse

Full Text

English / 27/04/2016

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