Working Papers

From Swiss National Bank
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2015-09: Exit Strategies and Trade Dynamics in Repo Markets

Aleksander Berentsen, Sébastien Kraenzlin and Benjamin Müller

2015-08: Is there a too-big-to-fail discount in excess returns on German banks' stocks?

Thomas Nitschka

2015-07: The impact of international swap lines on stock returns of banks in emerging markets

Alin Marius Andries, Andreas Fischer and Pinar Yesin

2015-06: Transmission of Quantitative Easing: The Role of Central Bank Reserves

Jens Christensen and Signe Krogstrup

2015-05: Mortgage arrears in Europe: The impact of monetary and macroprudential policies

Petra Gerlach-Kristen and Sean Lyons

2015-04: A dynamic North-South model of demand-induced product cycles

Reto Foellmi, Sandra Hanslin Grossmann and Andreas Kohler

2015-03: Real exchange rate persistence: The case of the Swiss franc-US dollar rate

Katarina Juselius and Katrin Assenmacher

2015-02: Re-use of collateral in the repo market

Lucas Fuhrer, Basil Guggenheim and Silvio Schumacher

2015-01: Capital flow waves to and from Switzerland before and after the financial crisis

Pinar Yesin

2014-13: Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market

Thomas Nitschka

2014-12: Exchange rate returns and external adjustment: evidence from Switzerland

Christian Grisse and Thomas Nitschka

2014-11: Quantification and characteristics of household inflation expectations in Switzerland

Rina Rosenblatt-Wisch and Rolf Scheufele

2014-10: Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes

Gregor Bäurle and Daniel Kaufmann

2014-09: Skill-Biased Technological Change and the Real Exchange Rate

Matthias Gubler and Christoph Sax

2014-08: Determinants of the Swiss Franc Real Exchange Rate

Tommaso Mancini Griffoli, Christoph Meyer, Jean-Marc Natal and Attilio Zanetti

2014-07: Real exchange rates and fundamentals: robustness across alternative model specifications

Konrad Adler and Christian Grisse

2014-06: Carry Trade Activities: A Multivariate Threshold Model Analysis

Matthias Gubler

2014-05: Trade linkages and the globalisation of inflation in Asia and the Pacific

Raphael Auer and Aaron Mehrotra

2014-04: The Collateral Costs of Clearing

Cyril Monnet and Thomas Nellen

2014-03: Repatriation of Debt in the Euro Crisis: Evidence for the Secondary Market Theory

Filippo Brutti and Philip Sauré

2014-02: Monetary Policy Shocks and Foreign Investment Income: Evidence from a large Bayesian VAR

Simone Auer

2014-01: The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?

Thomas Nitschka

2013-11: Time variation in asset price responses to macro announcements

Linda Goldberg and Christian Grisse

2013-10: Does SIC need a heart pacemaker?

Robert Oleschak and Thomas Nellen

2013-09: How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data

Gregor Bäurle and Elizabeth Steiner

2013-08: Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012

Nikolay Markov and Thomas Nitschka

2013-07: Currency excess returns and global downside market risk

Victoria Galsband and Thomas Nitschka

2013-06: Merchanting and Current Account Balances

Elisabeth Beusch, Barbara Döbeli, Andreas Fischer and Pinar Yesin

2013-05: Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S

Matthias Gubler and Matthias Hertweck

2013-04: On financial risk and the safe haven characteristics of Swiss franc exchange rates

Christian Grisse and Thomas Nitschka

2013-03: Financial Globalization and Monetary Transmission

Simone Meier

2013-02: Transaction Taxes, Capital Gains Taxes and House Prices

Nicole Aregger, Martin Brown and Enzo Rossi

2013-01: Portfolio balance effects of the SNB's bond purchase program

Andreas Kettemann and Signe Krogstrup

2012-16: Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment

Katja Drechsel and Rolf Scheufele

2012-15: What Drives Target2 Balances? Evidence From a Panel Analysis

Raphael Auer

2012-14: Market Structure and Exchange Rate Pass-Through

Raphael Auer and Raphael Schoenle

2012-13: Fixed Costs per Shipment

Andreas Kropf and Philip Sauré

2012-12: Access policy and money market segmentation

Sébastien Kraenzlin and Thomas Nellen

2012-11: Quality Pricing-to-Market

Raphael Auer, Thomas Chaney and Philip Sauré

2012-10: Global and country-specific business cycle risk in time-varying excess returns on asset markets

Thomas Nitschka

2012-09: Asymmetries in Price-Setting Behavior: New Microeconometric Evidence from Switzerland

Bo E. Honoré, Daniel Kaufmann and Sarah Lein

2012-08: Reducing overreaction to central banks' disclosures:theory and experiment

Romain Baeriswyl and Camille Cornand

2012-07: Housing Bubbles and Interest Rates

Christian Hott and Terhi Jokipii

2012-06: Retirement Age across Countries: The Role of Occupations

Philip Sauré and Hosny Zoabi

2012-05: Information Asymmetry and Foreign Currency Borrowing by Small Firms

Martin Brown, Steven Ongena and Pinar Yesin

2012-04: Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe

Thomas Nitschka

2012-03: Risk spillovers in international equity portfolios

Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo

2012-02: Liquidity Effects of Quantitative Easing on Long-Term Interest Rates

Signe Krogstrup, Samuel Reynard and Barbara Sutter

2012-01: Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi

Raphael Auer

2011-14: Bargaining Power in the Repo Market

Sébastien Kraenzlin and Benedikt von Scarpatetti