Publications des institutions partenaires

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High Frequency House Price Indexes with Scarce Data Bourassa, Steven

We show how a method that has been applied to commercial real estate markets can be used to produce high frequency house price indexes for a city and for submarkets within a city. Our application of this method involves estimating a set of annual robust repeat sales regressions staggered by start date and then undertaking an annual-to-monthly (ATM) transformation with a generalized inverse...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Real Estate Research in Europe Hoesli, Martin E.

We investigate the evolution from 2000 to 2015 in the proportion of papers published by authors with a European affiliation in the three main international real estate journals. Then, we analyze papers with at least one European author and/or concentrating on Europe published from 2008 to 2015 in the two main European real estate journals by authors' country of affiliation, by country of study...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Real Estate Company Reactions to Financial Market Regulation Moss, Alex

This study investigates the impact of international financial regulation on listed real estate companies. In particular, we look at how three regulatory reforms undertaken in the aftermath of the global financial crisis have affected returns and credit default swap (CDS) spreads of real estate companies. The three reforms are aimed at regulating different segments of the market – Basel III...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy Camponovo, Lorenzo

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy.

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Strategic Default, Debt Structure, and Stock Returns Valta, Philip

This paper theoretically and empirically investigates how debt structure and strategic interaction among shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large sample of...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

A diagnostic criterion for approximate factor structure Scaillet, Olivier

We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether the error terms are weakly cross-sectionally correlated or share at least one unobservable common factor. It only requires computing the largest eigenvalue of the empirical cross-sectional covariance...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Asset allocation and monetary policy: evidence from the eurozone Lai, Sandy

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003–2010. We use this cross-country variation in the (local)tightness of monetary policy to examine its influence on equity and money market flows. In line with a powerful risk-shifting channel, we find that...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

The distributional consequences of large devaluations Levchenko, Andrei A

We study the differential impact of large exchange rate devaluations on the cost of living at different points on the income distribution. Across product categories, the poor have relatively high expenditure shares in tradeable products. Within tradeable product categories, the poor consume lower-priced varieties. Changes in the relative price of tradeables and the relative prices of lower-priced...

Institution partenaire

Université de Zürich - Faculté des sciences économiques

Texte intégral(Anglais) - 2016

Offres de voyage

Institution partenaire

SECO - Secrétariat d'État à l’économie

Texte intégral(Français) - 2016

Reiseangebote

Institution partenaire

SECO - Secrétariat d'État à l’économie

Texte intégral(Allemand) - 2016

Tendances conjoncturelles hiver 2015/2016

(Données juste à Mi-Décembre 2015)

Institution partenaire

SECO - Secrétariat d'État à l’économie

Texte intégral(Français) - 2016

Konjunkturtendenzen Winter 2015/2016

(Daten bis Mitte Dezember 2015)

Institution partenaire

SECO - Secrétariat d'État à l’économie

Texte intégral(Allemand) - 2016

Konjunkturtendenzen Frühjahr 2016

(Daten bis Mitte März 2016) en ce moment seulement version allemande disponible

Institution partenaire

SECO - Secrétariat d'État à l’économie

Texte intégral(Français) - 2016

Stock fluctuations are correlated and amplified across networks of interlocking directorates Saavedra, Serguei;Gilarranz, Luis J;Rohr, Rudolf P.;Schnabel, Michael;Uzzi, Brian;Bascompte, Jordi

Traded corporations are required by law to have a majority of outside directors on their board. This requirement allows the existence of directors who sit on the board of two or more corporations at the same time, generating what is commonly known as interlocking directorates. While research has shown that networks of interlocking directorates facilitate the transmission of information between...

Institution partenaire

Université de Fribourg

Texte intégral(Anglais) - 2016

A real-time GDP data set for Switzerland

This economic study presents and analyses newly collected real-time data for Swiss GDP. It extends existing data sets by covering annual and quarterly aggregate GDP values for a longer sample, with vintages starting in 1971 (annual) and 1983 (quarterly). The analysis comprises a graphical and statistical description of quarterly GDP releases and tests for unbiasedness and efficiency of the...

Institution partenaire

Banque nationale suisse

Texte intégral(Anglais) - 2016

Uniform-price auctions for Swiss government bonds: Origin and evolution

The Swiss Treasury has used the sealed-bid, uniform-price auction format for allocating government bonds since 1980. In this study, we examine the authorities' motivation for choosing the uniform-price auction. In addition, we describe how the institutional set-up evolved over time. It includes bidding requirements, class of bidders, pre-auction information, the bidding process, the determination...

Institution partenaire

Banque nationale suisse

Texte intégral(Anglais) - 2016

Foreign PMIs: A reliable indicator for exports?

Foreign economic activity is a major determinant of export development. This paper presents an indicator for now- and forecasting exports, which is based on survey data that captures foreign economic perspectives. We construct an indicator by weighting foreign PMIs of main trading partners with their respective export shares. For two very trade exposed countries (Germany and Switzerland) the...

Institution partenaire

Banque nationale suisse

Texte intégral(Anglais) - 2016

Exchange Rate Predictability and State-of-the-Art Models

This paper empirically evaluates the predictive performance of the International Monetary Fund's (IMF) exchange rate assessments with respect to future exchange rate movements. The assessments of real trade-weighted exchange rates were conducted from 2006 to 2011, and were based on three state-of-the-art exchange rate models with a medium-term focus which were developed by the IMF. The empirical...

Institution partenaire

Banque nationale suisse

Texte intégral(Anglais) - 2016


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