Publications des institutions partenaires
Risk and Return around the Clock
We investigate price discovery over the 24-hour trading day for equities, currencies, bonds, and commodities. Sizable price discovery occurs around the clock for most assets. For a given asset, intraday risk and return distributions are fairly similar, indicating a broadly constant risk-return-relationship during the day. Although the amount of price discovery varies significantly...
Institution partenaire
English / 14/04/2015
Is there room for geoengineering in the optimal climate policy mix?
We investigate geoengineering as a possible substitute for adaptation and mitigation measures to address climate change. With the help of an integrated assessment model, we distinguish between the effects of solar radiation management on atmospheric temperature levels and its side-effects on ecosystems. To address the uncertainty regarding the magnitude of side-effects, we rely on a...
Institution partenaire
English / 01/04/2015
Measuring and aggregating social performance of microfinance investment vehicles
This paper develops a method to measure and compare social performance of microfinance investments at the level of microfinance investment vehicles. Drawing from measurement theory, it develops formal quality criteria that individual social performance indicators, the selection, and the aggregation of such indicators into a single metric need to satisfy. Social performance indicators...
Institution partenaire
English / 31/03/2015
Economic Momentum and Currency Returns
Past trends in a broad range of fundamental variables predict currency returns. We document that a trading strategy that goes long currencies in countries with strong economic momentum and short currencies in countries with weak economic momen- tum exhibits an annualized Sharpe ratio of about one and yields a significant alpha when controlling for standard carry, momentum, and value...
Institution partenaire
English / 27/03/2015
Central Bank Collateral Frameworks
This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market,...
Institution partenaire
English / 08/03/2015
Taking Banks to Solow
We develop a simple integration of banks into the Solow model. The objective is to provide a tractable benchmark for analyzing the long-term impact of crises on economic activities and growth. A fraction of firms have to rely on banks for financing their investments while banks face themselves an endogenous leverage constraint. Informed lending by banks and uninformed lending through...
Institution partenaire
English / 24/02/2015
Quantification and characteristics of household inflation expectations in Switzerland
Inflation expectations are a key variable in conducting monetary policy. However, these expectations are generally unobservable and only certain proxy variables exist, such as surveys on inflation expectations. This article offers guidance on the appropriate quantification of household inflation expectations in the Swiss Consumer Survey, where answers are qualitative in nature. We...
Institution partenaire
English / 13/02/2015
Collateral requirements and asset prices
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral premium and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing col- lateral constraints for borrowing. We document that borrowing against collateral substantially...
Institution partenaire
English / 01/02/2015
The shadow cost of repos and bank liability structure
Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a bank's financing structure. In our model the bank's assets consist of illiquid loans and liquid reserves and are financed by a combination of repos, long--term debt, deposits and equity. Repos are a cheap source of funding, but they are subject to an...
Institution partenaire
English / 27/01/2015
Nein zum Diktat des Englischen an Schweizer Hochschulen
Institution partenaire
Deutsch / 04/01/2015
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Institution partenaire
English / 01/01/2015
Bank-firm relationships: A review of the implications for firms and banks in normal and crisis times
Banks are important providers of external finance to firms. In order to solve asymmetric information problems, firms and banks often engage in bank-firm relationships. Relationship banking occurs when a bank and a borrower enter multiple mutual interactions and both parties invest in obtaining some counterparty specific information, binding bank and firm, to a certain degree, to each...
Institution partenaire
English / 01/01/2015
Multivariate asset return prediction with mixture models
The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a quasi-Bayesian prior, is motivated, and shown to be numerically simple and reliable to...
Institution partenaire
English / 01/01/2015
Robust capital requirements with model risk
We study capital requirements when the bank's econometric model only approximately describes the dynamics of portfolio returns—which is virtually always the case in practice. We derive a simple formula for capital requirements based on a first-order Taylor expansion of the Value at Risk around a ‘model confidence’ parameter. This formula allows to reflect the bank's...
Institution partenaire
English / 01/01/2015
ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails
It is well-known in empirical finance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often significantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can differ markedly across assets. To accommodate these stylized facts when modeling the joint...
Institution partenaire
English / 01/01/2015
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