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Details about Thomas Nitschka

Homepage:http://sites.google.com/site/tnitschka/
Workplace:Schweizerische Nationalbank (SNB) (Swiss National Bank), (more information at EDIRC)

Access statistics for papers by Thomas Nitschka.

Last updated 2021-02-03. Update your information in the RePEc Author Service.

Short-id: pni214


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Working Papers

2020

  1. Stock market evidence on the international transmission channels of US monetary policy surprises
    Working Papers, Swiss National Bank Downloads

2018

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

2017

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

2016

  1. Securitisation, loan growth and bank funding: the Swiss experience since 1932
    Working Papers, Swiss National Bank Downloads View citations (3)

2015

  1. Is there a too-big-to-fail discount in excess returns on German banks' stocks?
    Working Papers, Swiss National Bank Downloads
    See also Journal Article in International Finance (2016)

2014

  1. Exchange rate returns and external adjustment: evidence from Switzerland
    Working Papers, Swiss National Bank Downloads View citations (3)
    See also Journal Article in Open Economies Review (2016)
  2. 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 Downloads View citations (4)
  3. 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 Downloads View citations (1)

2013

  1. Currency excess returns and global downside market risk
    Working Papers, Swiss National Bank Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2014)
  2. Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012
    Working Papers, Swiss National Bank Downloads View citations (2)
  3. On financial risk and the safe haven characteristics of Swiss franc exchange rates
    Working Papers, Swiss National Bank Downloads View citations (16)
    See also Journal Article in Journal of Empirical Finance (2015)
  4. The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2012

  1. Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe
    Working Papers, Swiss National Bank Downloads
    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) Downloads
  2. Global and country-specific business cycle risk in time-varying excess returns on asset markets
    Working Papers, Swiss National Bank Downloads View citations (5)

2011

  1. Foreign currency returns and systematic risks
    Working Papers, Swiss National Bank Downloads View citations (3)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2015)

2010

  1. Momentum in stock market returns: Implications for risk premia on foreign currencies
    Working Papers, Swiss National Bank Downloads
    See also Journal Article in Applied Financial Economics (2013)

2009

  1. 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 Downloads

2008

  1. Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (1)
    See also Journal Article in Financial Markets and Portfolio Management (2010)
  2. Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (6)
  3. 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 Downloads View citations (3)

2007

  1. 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 Downloads
    See also Journal Article in Journal of International Money and Finance (2010)
  2. 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 Downloads View citations (1)
  3. 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 Downloads View citations (11)
    See also Journal Article in German Economic Review (2010)
  4. The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads

2006

  1. Does sensitivity to cashflow news explain the value premium on European stock markets?
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  2. 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 Downloads
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) Downloads

Journal Articles

2020

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

2019

  1. 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 Downloads

2018

  1. 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 Downloads View citations (2)

2017

  1. 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 Downloads View citations (3)

2016

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

2015

  1. Foreign Currency Returns and Systematic Risks
    Journal of Financial and Quantitative Analysis, 2015, 50, (1-2), 231-250 Downloads View citations (12)
    See also Working Paper (2011)
  2. On financial risk and the safe haven characteristics of Swiss franc exchange rates
    Journal of Empirical Finance, 2015, 32, (C), 153-164 Downloads View citations (39)
    See also Working Paper (2013)

2014

  1. Currency excess returns and global downside market risk
    Journal of International Money and Finance, 2014, 47, (C), 268-285 Downloads View citations (16)
    See also Working Paper (2013)
  2. Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns
    Journal of Banking & Finance, 2014, 42, (C), 76-82 Downloads View citations (6)
  3. 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 Downloads View citations (4)

2013

  1. Momentum in stock market returns: implications for risk premia on foreign currencies
    Applied Financial Economics, 2013, 23, (7), 551-560 Downloads View citations (1)
    See also Working Paper (2010)
  2. 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 Downloads View citations (4)
    Also in Review of Financial Economics, 2013, 22, (3), 118-124 (2013) Downloads

2012

  1. Securitization of mortgage debt, domestic lending, and international risk sharing
    Canadian Journal of Economics, 2012, 45, (2), 493-508 Downloads View citations (4)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2012, 45, (2), 493-508 (2012) Downloads View citations (1)

2011

  1. 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 Downloads View citations (1)

2010

  1. 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 Downloads View citations (8)
    See also Working Paper (2007)
  2. Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence
    Financial Markets and Portfolio Management, 2010, 24, (1), 49-65 Downloads
    See also Working Paper (2008)
  3. 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 Downloads
    Also in German Economic Review, 2010, 11, (4), 527-544 (2010) Downloads View citations (1)

    See also Working Paper (2007)
  4. Securitization, collateral constraints and consumption risk sharing in the euro area
    Economics Letters, 2010, 106, (3), 197-199 Downloads View citations (4)
 
Page updated 2021-04-10