Pubblicazioni delle istituzioni partner

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Foreign executive appointments: A multilevel examination Ruigrok, Winfried

Istituzione partner

University of St.Gallen - Schools of Management, Finance, Economics and Political Science

Testo completo(Inglese) - 2015

The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?

Based on a vector autoregressive model, this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more prominent role of excess return news in this respect. The bond market findings for both Switzerland and the US...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Monetary Policy Shocks and Foreign Investment Income: Evidence from a large Bayesian VAR

This paper assesses the transmission of monetary policy in a large Bayesian vector autoregression based on the approach proposed by Banbura, Giannone and Reichlin (2010). The paper analyzes the impact of monetary policy shocks in the United States and Canada not only on a range of domestic aggregates, trade flows, and exchange rates, but also foreign investment income. The analysis provides three...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Repatriation of Debt in the Euro Crisis: Evidence for the Secondary Market Theory

The Euro Crisis has stopped the process of the European financial integration and triggered a strong repatriation of debt from foreign to domestic investors. We investigate this empirical pattern in light of competing theories of cross-border portfolio allocation. Three empirical regularities stand out: i) repatriation of debt occurred mainly in crisis countries; ii) repatriation affected mainly...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

The Collateral Costs of Clearing

In this working paper, we study the three generic clearing arrangements in the presence of two-sided limited commitment: simple bilateral clearing, segregated collateral clearing through a third party, and - most sophisticated of all - central counterparty (CCP) clearing. Clearing secures the settlement of obligations from over-the-counter (OTC) forward contracts that smooth the income of...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Trade linkages and the globalisation of inflation in Asia and the Pacific

Some observers argue that increased real integration has led to greater co-movement of prices internationally. We examine the evidence for cross-border price spillovers among economies participating in the pan-Asian cross-border production networks. Starting with country-level data, we find that both producer price and consumer price inflation rates move more closely together between those Asian...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Carry Trade Activities: A Multivariate Threshold Model Analysis

In this empirical study, we analyze the relationship between carry trade positions and some key financial as well as macroeconomic variables using a multivariate threshold model. It is often stated that the Swiss franc serves as a funding currency. We therefore focus on carry trades based on the USD/CHF and EUR/CHF currency pairs over the period from 1995 to mid-2008. We conclude that carry...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

A compact open economy DSGE model for Switzerland

This study describes a compact dynamic stochastic general equilibrium (DSGE) model fitted for the Swiss economy with Bayesian techniques. The model features two economies (small home economy, large foreign economy), five types of agents (households, producers of tradables, producers of non-tradables, retailers, monetary authority), nominal and real frictions, and a number of shocks. The study...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Determinants of the Swiss Franc Real Exchange Rate

We conduct an empirical investigation of the determinants of the Swiss franc real exchange rate. Theory and related empirical papers suggest various specific factors as potential determinants. We select some of these factors, and test their significance and magnitude in affecting the course of the CHF real exchange rate. Results stemming from a co-integration approach point to terms of trade and...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Real exchange rates and fundamentals: robustness across alternative model specifications

This paper explores the robustness of behavioural equilibrium exchange rate (BEER) models, focusing on a panel specification with Swiss franc real bilateral rates as dependent variables. We use Bayesian model averaging to illustrate model uncertainty, and employ real exchange rates computed from price level data to explore robustness to the inclusion or exclusion of fixed effects. We find that...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market

Bonds of Swiss non-government borrowers offered higher daily excess returns ('alphas') than suggested by their sensitivities to standard risk factors over the sample period from 2007 to 2014. By contrast, comparable bonds (same currency denomination and credit rating category) issued by foreign entities did not offer significant risk-adjusted returns and exhibited markedly different sensitivities...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Exchange rate returns and external adjustment: evidence from Switzerland

This paper studies the ability of external imbalances to indicate subsequent exchange rate returns. We propose a simple twist of the Gourinchas and Rey (2007) approximation to the intertemporal budget constraint which is valid for countries that are net creditors (or net debtors) consistently throughout the sample. Our approach offers two advantages. First, it does not require the specification...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

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 paper offers guidance on the appropriate quantification of household inflation expectations in the Swiss Consumer Survey, where answers are qualitative in nature. We apply and...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes

We analyse nominal exchange rate and price dynamics after risk premium shocks with short-term interest rates constrained by the zero lower bound (ZLB). In a small-open-economy DSGE model, temporary risk premium shocks lead to shifts of the exchange rate and the price level if a central bank implements an inflation target by means of a traditional Taylor rule. These shifts are strongly amplified...

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Skill-Biased Technological Change and the Real Exchange Rate

We sketch a model that shows how skill-biased technological change may reverse the classic Balassa-Samuelson effect, leading to a negative relationship between productivity in the tradable sector and the real exchange rate. In a small open economy, export goods are produced with high-skilled labor, in conjunction with capital and low-skilled labor, and are traded for imported consumption goods....

Istituzione partner

Banca nazionale svizzera

Testo completo(Inglese) - 2014

Freihandelsabkommen mit China: ein Meilenstein für Schweizer Firmen

Die Un­terzeich­nung des Freihandelsabkommens zwi­schen der Schweiz und China ist ein Meilen­stein für die Schwei­zer Aus­sen­wirt­schafts­politik.

Istituzione partner

Economiesuisse

Testo completo(Tedesco) - 2014

NFA-Wirksamkeitsbericht: Ziel erfüllt, trotzdem Diskussionsbedarf

Die zweite Bei­trags­pe­riode der Neu­ge­stal­tung des Fi­nanz­ausgleichs und der Auf­gaben­teilung zwi­schen Bund und Kantonen (NFA) neigt sich dem En­de zu. Der zweite Wirksamkeitsbericht kommt zum Schluss, dass sich das zen­trale In­strument des Schwei­zer Fi­nanzföder­alismus weiterhin bewährt hat und die Ziele erfüllt wur­den. Allerdings wird das Sys­tem in einigen...

Istituzione partner

Economiesuisse

Testo completo(Tedesco) - 2014

Rapporto sull'efficacia della NPC: obiettivo raggiunto, ma dibattito necessario

​​Il secondo periodo di funzionamento della riforma della perequazione finanziaria e della ripartizione dei compiti tra la Confederazione e i cantoni (NPC) sta giungendo a termine. Il rapporto del Consiglio federale, il secondo di questo genere, presenta il funzionamento della NPC e il grado di realizzazione degli obiettivi. Esso giunge alla conclusione che lo strumento principale del nostro...

Istituzione partner

Economiesuisse

Testo completo(Italiano) - 2014

Bundeserbschaftssteuer: schafft vor allem Verlierer

Gros­ser Schaden, we­nig Nut­zen: so lässt sich die In­itiative zur Einführung ei­ner bundeswei­ten Erb­schafts­steuer zu­sammen­fas­sen. Sie trifft vor al­lem Fa­mili­enun­ternehmen hart, weil sie fa­mili­en­in­terne Nach­folgeregelun­gen durch die ho­he Steuerlast mas­siv erschwert oder verhindert. Zehn­tausen­de Un­ternehmen und Arbeits­plät­ze sind in ih­rer...

Istituzione partner

Economiesuisse

Testo completo(Tedesco) - 2014

Con l'imposta nazionale sulle successioni saranno tutti perdenti

​L'iniziativa popolare "Tassare le eredità milionarie per finanziare la nostra AVS (riforma dell'imposta sulle successioni)» intende tassare, in tutta la Svizzera, con un'aliquota del 20% le successioni di oltre 2 milioni di franchi e le donazioni superiori a 20'000 franchi per persona all'anno. Parallelamente, essa toglierebbe ai cantoni la competenza di prelevare le corrispondenti imposte....

Istituzione partner

Economiesuisse

Testo completo(Italiano) - 2014


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