Calendar of events and News

Exit Strategies and Trade Dynamics in Repo Markets

How can a central bank control interest rates in an environment with large excess reserves? In this paper, we develop a dynamic general equilibrium model of a secured money market and calibrate it to the Swiss franc repo market to study this question. The theoretical model allows us to identify the factors that determine demand and supply of central bank reserves, the money market rate and...

Partner Institution

Swiss National Bank

Further information (English) Monday, July 27, 2015

Monthly Statistical Bulletin July 2015

Partner Institution

Swiss National Bank

Further information (English) Tuesday, July 21, 2015

Monthly Bulletin of Banking Statistics July 2015

Partner Institution

Swiss National Bank

Further information (English) Tuesday, July 21, 2015

Public bonds of the Swiss Confederation: Results

Partner Institution

Swiss National Bank

Further information (English) Friday, August 7, 2015

Annual reports between 1907 and 1995

Partner Institution

Swiss National Bank

Further information (English) Friday, August 7, 2015

Public bonds of the Swiss Confederation: New bond issues

Partner Institution

Swiss National Bank

Further information (English) Tuesday, July 7, 2015

Is there a too-big-to-fail discount in excess returns on German banks' stocks?

This paper shows that standard multifactor asset pricing models provide an adequate description of excess returns on stock indexes of German industrial sectors. The only exception is the banking sector index. It offers lower monthly excess returns than suggested by exposures to risk factors in the sample period from 1973 to 2014. This evidence is robust to various changes in the specification of...

Partner Institution

Swiss National Bank

Further information (English) Sunday, June 7, 2015

The impact of international swap lines on stock returns of banks in emerging markets

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap lines on bank stocks. Bank-level...

Partner Institution

Swiss National Bank

Further information (English) Sunday, June 7, 2015

Transmission of Quantitative Easing: The Role of Central Bank Reserves

We argue that the issuance of central bank reserves per se can matter for the effectof central bank large-scale asset purchases-commonly known as quantitative easing- on long-term interest rates. This effect is independent of the assets purchased, and runs through a reserve-induced portfolio balance channel. For evidence we analyze the reactionof Swiss long-term government bond yields to...

Partner Institution

Swiss National Bank

Further information (English) Wednesday, January 7, 2015

Mortgage arrears in Europe: The impact of monetary and macroprudential policies

Mortgage arrears arise if a household faces affordability problems and/or is in negative equity. Because widespread arrears pose a risk to the stability of banks and limit households' future access to credit, a crucial question is how monetary or macroprudential policies influence their incidence. We use a European household data set to analyse what drives arrears and find that affordability...

Partner Institution

Swiss National Bank

Further information (English) Wednesday, January 7, 2015


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