Publications des institutions partenaires

S'abonner aux flux infonet economy   81 - 100 of 464

Christian Grisse and Silvio Schumacher: The response of long-term yields to negative interest rates: evidence from Switzerland

This paper studies the transmission of changes in short-term interest rates to longer-term government bond yields when interest rates are at very low levels or negative. We focus on Switzerland, where short-term interest rates have been at zero since late 2008 and negative since the beginning of 2015. The expectations hypothesis of the term structure implies that as nominal interest...

Institution partenaire

Banque nationale suisse

Full Text

English / 25/01/2018

Petra Gerlach-Kristen, Richhild Moessner and Rina Rosenblatt-Wisch: Computing long‐term market inflation expectations for countries without inflation expectation markets

We derive daily market‐based domestic long‐term inflation expectations for eight countries without inflation swap markets. To do so, we use foreign inflation swaps together with (1) foreign and domestic interest rate swaps assuming that purchasing power parity (PPP) and uncovered interest rate parity (UIP) hold or together with (2) spot and forward exchange rates assuming...

Institution partenaire

Banque nationale suisse

Full Text

English / 25/01/2018

Christian Grisse, Signe Krogstrup and Silvio Schumacher: Lower bound beliefs and long-term interest rates

We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that the transmission of policy rate changes to long-term interest rates is reduced when policy rates approach this...

Institution partenaire

Banque nationale suisse

Full Text

English / 25/01/2018

WP - 2017-12-29 - Gregor Bäurle, Sarah M. Lein and Elizabeth Steiner: Employment Adjustment and Financial Constraints - Evidence from Firm-level Data

Firms adjust their employment to changes in output. But they tend to adjust employment only partially. Typically, labor is hoarded in downturns and subsequently firms have to hire less in upturns. Investment in labor hoarding may therefore be influenced by factors that impede investments, such as financial constraints. Using firm-level data, we show that financial constraints increase the...

Institution partenaire

Banque nationale suisse

Full Text

English / 29/12/2017

Adriel Jost: Is Monetary Policy Too Complex for the Public? Evidence from the UK

Central banks have increased their engagement in the information and education of the broad public. But what can be said about the nonprofessional’s knowledge of monetary policy and central banking? Based on the Bank of England’s Inflation Attitudes Survey, I construct a score to capture the central banking knowledge of the respondents. I show that the average British person displays...

Institution partenaire

Banque nationale suisse

Full Text

English / 23/11/2017

Mathieu Grobéty: Government Debt and Growth: The Role of Liquidity

How does government debt affect long-run economic growth? A prominent strand of theoretical literature suggests that government debt has a negative effect on growth. Another strand argues that government debt can foster growth by enhancing the supply of liquid assets or collateral. We empirically investigate the liquidity channel of government debt and apply the difference-in-...

Institution partenaire

Banque nationale suisse

Full Text

English / 10/10/2017

Gregor Bäurle, Matthias Gubler and Diego R. Känzig: International inflation spillovers - the role of different shocks

We analyze how the transmission of international inflation spillovers depends on the nature of the underlying shocks that drive inflation abroad. We find evidence for substantial heterogeneity in the magnitude of spillovers to domestic inflation related to the fundamental source of international price fluctuations and the corresponding monetary policy reactions. Indeed, it turns out that...

Institution partenaire

Banque nationale suisse

Full Text

English / 31/08/2017

Alain Galli: Which indicators matter? Analyzing the Swiss business cycle using a large-scale mixed-frequency dynamic factor model

For policy institutions such as central banks, it is important to have a timely and ac-curate measure of past and current economic activity and the business cycle situation. The most prominent example for such a measure is gross domestic product (GDP). However, GDP is only released at a quarterly frequency and with a substantial delay. Furthermore, it captures elements that are not...

Institution partenaire

Banque nationale suisse

Full Text

English / 29/08/2017

Lucas Marc Fuhrer: Liquidity in the Repo Market

This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern, with low liquidity in early and late trading hours. Moreover, repo market liquidity is negatively affected by stress in the global financial system and the end...

Institution partenaire

Banque nationale suisse

Full Text

English / 17/08/2017

Christian Grisse, Signe Krogstrup and Silvio Schumacher: Lower bound beliefs and long-term interest rates

We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that the transmission of policy rate changes to long-term interest rates is reduced when policy rates approach this...

Institution partenaire

Banque nationale suisse

Full Text

English / 05/04/2017

Robert Müller: The new SNB exchange rate index

The Swiss National Bank (SNB) is putting its calculated and published exchange rate indices on a new footing. This article describes the construction elements of the SNB's new exchange rate index, and presents the results of the new index calculation. The key aspects of the revision are: the application of the weighting method used by the IMF, which takes into account so-called third...

Institution partenaire

Banque nationale suisse

Full Text

English / 03/04/2017

Robert Müller: The new SNB exchange rate index

The Swiss National Bank (SNB) is putting its calculated and published exchange rate indices on a new footing. This article describes the construction elements of the SNB's new exchange rate index, and presents the results of the new index calculation. The key aspects of the revision are: the application of the weighting method used by the IMF, which takes into account so-called third...

Institution partenaire

Banque nationale suisse

Full Text

English / 03/04/2017

Toni Beutler, Robert Bichsel, Adrian Bruhin and Jayson Danton: The Impact of Interest Rate Risk on Bank Lending

In this paper, we empirically analyze the transmission of realized interest rate risk - the gain or loss in a bank's economic capital caused by movements in interest rates - to bank lending. We exploit a unique panel data set that contains supervisory information on the repricing maturity profiles of Swiss banks and provides us with an individual measure of interest rate risk...

Institution partenaire

Banque nationale suisse

Full Text

English / 22/02/2017

Raphael A. Auer, Andrei A. Levchenko and Philip Sauré: International Inflation Spillovers Through Input Linkages

We document that observed international input-output linkages contribute substantially to synchronizing producer price inflation (PPI) across countries. Using a multi-country, industry-level dataset that combines information on PPI and exchange rates with international and domestic input-output linkages, we recover the underlying cost shocks that are propagated internationally via...

Institution partenaire

Banque nationale suisse

Full Text

English / 22/02/2017

Toni Beutler, Robert Bichsel, Adrian Bruhin and Jayson Danton: The Impact of Interest Rate Risk on Bank Lending

In this paper, we empirically analyze the transmission of realized interest rate risk - the gain or loss in a bank's economic capital caused by movements in interest rates - to bank lending. We exploit a unique panel data set that contains supervisory information on the repricing maturity profiles of Swiss banks and provides us with an individual measure of interest rate risk...

Institution partenaire

Banque nationale suisse

Full Text

English / 22/02/2017

Raphael A. Auer, Andrei A. Levchenko and Philip Sauré: International Inflation Spillovers Through Input Linkages

We document that observed international input-output linkages contribute substantially to synchronizing producer price inflation (PPI) across countries. Using a multi-country, industry-level dataset that combines information on PPI and exchange rates with international and domestic input-output linkages, we recover the underlying cost shocks that are propagated internationally via...

Institution partenaire

Banque nationale suisse

Full Text

English / 22/02/2017

Alain Galli, Christian Hepenstrick and Rolf Scheufele: Mixed-frequency models for tracking short-term economic developments in Switzerland

We compare several methods for monitoring short-term economic developments in Switzerland. Based on a large mixed-frequency data set, the following approaches are presented and discussed: factor-based information combination approaches (including factor model versions based on the Kalman filter/smoother, a principal component based version and the three-pass regression filter), a...

Institution partenaire

Banque nationale suisse

Full Text

English / 07/02/2017

Matthias Gubler and Christoph Sax: The Balassa-Samuelson Effect Reversed: New Evidence from OECD Countries

This paper explores the robustness of the Balassa-Samuelson (BS) hypothesis. We analyze an OECD country panel from 1970 to 2008 and compare three data sets on sectoral productivity, including newly constructed data on total factor productivity. Overall, our within- and between-dimension estimation results do not support the BS hypothesis. Over the last two decades, we find a robust...

Institution partenaire

Banque nationale suisse

Full Text

English / 07/02/2017

Alain Galli, Christian Hepenstrick and Rolf Scheufele: Mixed-frequency models for tracking short-term economic developments in Switzerland

We compare several methods for monitoring short-term economic developments in Switzerland. Based on a large mixed-frequency data set, the following approaches are presented and discussed: factor-based information combination approaches (including factor model versions based on the Kalman filter/smoother, a principal component based version and the three-pass regression filter), a...

Institution partenaire

Banque nationale suisse

Full Text

English / 07/02/2017

Matthias Gubler and Christoph Sax: The Balassa-Samuelson Effect Reversed: New Evidence from OECD Countries

This paper explores the robustness of the Balassa-Samuelson (BS) hypothesis. We analyze an OECD country panel from 1970 to 2008 and compare three data sets on sectoral productivity, including newly constructed data on total factor productivity. Overall, our within- and between-dimension estimation results do not support the BS hypothesis. Over the last two decades, we find a robust...

Institution partenaire

Banque nationale suisse

Full Text

English / 07/02/2017

Pagine

Le portail de l'information économique suisse

© 2016 Infonet Economy