Details about Thomas Nitschka

Access statistics for papers by Thomas Nitschka.

Last updated 2023-08-05. Update your information in the RePEc Author Service.

Short-id: pni214

Working Papers

2024

1. Evidence on the international financial spillovers of the New York Bankers' Panic of 1907
   Working Papers, Swiss National Bank

2022

2. Responses of Swiss bond yields and stock prices to ECB policy surprises
   Working Papers, Swiss National Bank
3. The Impact of COVID-19 and other Crises on the Responses of Swiss Bond Yields and Stock Prices to ECB Policy Surprises
   VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association

2021

4. Habits die hard: implications for bond and stock markets internationally
   VfS Annual Conference 2021 (Virtual Conference): Climate Economics, Verein für Socialpolitik / German Economic Association
   Also in Working Papers, Swiss National Bank (2021)

2020

5. Stock market evidence on the international transmission channels of US monetary policy surprises
   Working Papers, Swiss National Bank
   See also Journal Article Stock market evidence on the international transmission channels of US monetary policy surprises, Journal of International Money and Finance, Elsevier (2023) View citations (2) (2023)

2018

6. Carry trade and forward premium puzzle from the perspective of a safe-haven currency
   Working Papers, Swiss National Bank
   See also Journal Article Carry trade and forward premium puzzle from the perspective of a safe‐haven currency, Review of International Economics, Wiley Blackwell (2020) View citations (1) (2020)
7. Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?
   Working Papers, Swiss National Bank

2017

8. Predicting returns on asset markets of a small, open economy and the influence of global risks
   Working Papers, Swiss National Bank

2016

9. Securitisation, loan growth and bank funding: the Swiss experience since 1932
   Working Papers, Swiss National Bank View citations (4)

2015

10. Is there a too-big-to-fail discount in excess returns on German banks' stocks?
    Working Papers, Swiss National Bank
    See also Journal Article Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks?, International Finance, Wiley Blackwell (2016) (2016)

2014

11. Exchange rate returns and external adjustment: evidence from Switzerland
    Working Papers, Swiss National Bank View citations (3)
    See also Journal Article Exchange Rate Returns and External Adjustment: Evidence from Switzerland, Open Economies Review, Springer (2016) View citations (1) (2016)
12. Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market
    Working Papers, Swiss National Bank View citations (4)
13. The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?
    Working Papers, Swiss National Bank View citations (1)

2013

14. Currency excess returns and global downside market risk
    Working Papers, Swiss National Bank View citations (2)
    See also Journal Article Currency excess returns and global downside market risk, Journal of International Money and Finance, Elsevier (2014) View citations (34) (2014)
15. Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012
    Working Papers, Swiss National Bank View citations (2)
16. On financial risk and the safe haven characteristics of Swiss franc exchange rates
    Working Papers, Swiss National Bank View citations (22)
    See also Journal Article On financial risk and the safe haven characteristics of Swiss franc exchange rates, Journal of Empirical Finance, Elsevier (2015) View citations (73) (2015)
17. The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2012

18. Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe
    Working Papers, Swiss National Bank
    Also in VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association (2011)
19. Global and country-specific business cycle risk in time-varying excess returns on asset markets
    Working Papers, Swiss National Bank View citations (6)

2011

20. Foreign currency returns and systematic risks
    Working Papers, Swiss National Bank View citations (3)
    See also Journal Article Foreign Currency Returns and Systematic Risks, Journal of Financial and Quantitative Analysis, Cambridge University Press (2015) View citations (14) (2015)

2010

21. Momentum in stock market returns: Implications for risk premia on foreign currencies
    Working Papers, Swiss National Bank
    See also Journal Article Momentum in stock market returns: implications for risk premia on foreign currencies, Applied Financial Economics, Taylor & Francis Journals (2013) View citations (1) (2013)

2009

22. Momentum in stock market returns, risk premia on foreign currencies and international financial integration
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich
23. Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
    CESifo Working Paper Series, CESifo View citations (4)
    Also in IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2008) View citations (8)

2008

24. The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (3)

2007

25. Cashflow news, the value premium and an asset pricing view on European stock market integration
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich
    See also Journal Article Cashflow news, the value premium and an asset pricing view on European stock market integration, Journal of International Money and Finance, Elsevier (2010) View citations (8) (2010)
26. Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (1)
27. International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (11)
    See also Journal Article International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets, German Economic Review, De Gruyter (2010) View citations (16) (2010)
28. The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich

2006

29. Does sensitivity to cashflow news explain the value premium on European stock markets?
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
30. The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005)

Journal Articles

2023

1. Responses of Swiss interest rates and stock prices to ECB policy surprises
   Swiss Journal of Economics and Statistics, 2023, 159, (1), 1-14
2. Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy
   Economics Letters, 2023, 231, (C)
3. Stock market evidence on the international transmission channels of US monetary policy surprises
   Journal of International Money and Finance, 2023, 136, (C) View citations (2)
   See also Working Paper Stock market evidence on the international transmission channels of US monetary policy surprises, Working Papers (2020) (2020)

2022

4. China’s anti-corruption campaign and stock returns of luxury goods firms
   Financial Markets and Portfolio Management, 2022, 36, (2), 159-177

2021

5. Central bank reserves and bank lending spreads
   Applied Economics Letters, 2021, 28, (15), 1301-1305 View citations (5)
6. Covered bonds, loan growth and bank funding: The Swiss experience since 1932
   International Finance, 2021, 24, (1), 77-94 View citations (1)

2020

7. Carry trade and forward premium puzzle from the perspective of a safe‐haven currency
   Review of International Economics, 2020, 28, (2), 376-394 View citations (1)
   See also Working Paper Carry trade and forward premium puzzle from the perspective of a safe-haven currency, Working Papers (2018) (2018)

2019

8. What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
   Swiss Journal of Economics and Statistics, 2019, 155, (1), 1-17

2018

9. Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy
   Journal of International Money and Finance, 2018, 83, (C), 44-54 View citations (2)

2017

10. Firm size, economic risks, and the cross-section of international stock returns
    The North American Journal of Economics and Finance, 2017, 39, (C), 110-126 View citations (5)

2016

11. Exchange Rate Returns and External Adjustment: Evidence from Switzerland
    Open Economies Review, 2016, 27, (2), 317-339 View citations (1)
    See also Working Paper Exchange rate returns and external adjustment: evidence from Switzerland, Working Papers (2014) View citations (3) (2014)
12. Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks?
    International Finance, 2016, 19, (3), 292-310
    See also Working Paper Is there a too-big-to-fail discount in excess returns on German banks' stocks?, Working Papers (2015) (2015)
13. Risk premia on Swiss government bonds and sectoral stock indexes during international crises
    Aussenwirtschaft, 2016, 67, (02), 51-67 View citations (4)
14. Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland
    German Economic Review, 2016, 17, (4), 478-490 View citations (1)
    Also in German Economic Review, 2016, 17, (4), 478-490 (2016) View citations (2)

2015

15. Foreign Currency Returns and Systematic Risks
    Journal of Financial and Quantitative Analysis, 2015, 50, (1-2), 231-250 View citations (14)
    See also Working Paper Foreign currency returns and systematic risks, Working Papers (2011) View citations (3) (2011)
16. On financial risk and the safe haven characteristics of Swiss franc exchange rates
    Journal of Empirical Finance, 2015, 32, (C), 153-164 View citations (73)
    See also Working Paper On financial risk and the safe haven characteristics of Swiss franc exchange rates, Working Papers (2013) View citations (22) (2013)

2014

17. Currency excess returns and global downside market risk
    Journal of International Money and Finance, 2014, 47, (C), 268-285 View citations (34)
    See also Working Paper Currency excess returns and global downside market risk, Working Papers (2013) View citations (2) (2013)
18. Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns
    Journal of Banking & Finance, 2014, 42, (C), 76-82 View citations (7)
19. What News Drive Variation in Swiss and US Bond and Stock Excess Returns?
    Swiss Journal of Economics and Statistics (SJES), 2014, 150, (II), 89-118 View citations (4)

2013

20. Momentum in stock market returns: implications for risk premia on foreign currencies
    Applied Financial Economics, 2013, 23, (7), 551-560 View citations (1)
    See also Working Paper Momentum in stock market returns: Implications for risk premia on foreign currencies, Working Papers (2010) (2010)
21. The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization
    Review of Financial Economics, 2013, 22, (3), 118-124 View citations (4)
    Also in Review of Financial Economics, 2013, 22, (3), 118-124 (2013)

2012

22. Securitization of mortgage debt, domestic lending, and international risk sharing
    Canadian Journal of Economics, 2012, 45, (2), 493-508 View citations (7)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2012, 45, (2), 493-508 (2012) View citations (4)

2011

23. About the soundness of the US-cay indicator for predicting international banking crises
    The North American Journal of Economics and Finance, 2011, 22, (3), 237-256 View citations (1)

2010

24. Cashflow news, the value premium and an asset pricing view on European stock market integration
    Journal of International Money and Finance, 2010, 29, (7), 1406-1423 View citations (8)
    See also Working Paper Cashflow news, the value premium and an asset pricing view on European stock market integration, IEW - Working Papers (2007) (2007)
25. Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence
    Financial Markets and Portfolio Management, 2010, 24, (1), 49-65 View citations (1)
26. International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets
    German Economic Review, 2010, 11, (4), 527-544 View citations (16)
    Also in German Economic Review, 2010, 11, (4), 527-544 (2010) View citations (16)
    See also Working Paper International evidence for return predictability and the implications for long-run covariation of the G7 stock markets, IEW - Working Papers (2007) View citations (11) (2007)
27. Securitization, collateral constraints and consumption risk sharing in the euro area
    Economics Letters, 2010, 106, (3), 197-199 View citations (4)