http://www.bis.org/cbhub/list/country/country_switzerland/index.rss Latest research hub papers from Switzerland en http://www.snb.ch/n/mmr/reference/working_paper_2012_03/source/working_paper_2012_03.n.pdf Swiss National Bank Working Papers by Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo Risk spillovers in international equity portfolios 2012-04-20T12:39:00Z We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination of daily realized variances and covariances extracted froma high frequency dataset, which includes equities and currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and fromcurrencies to international equities (currency spillover). We compare these specific risk spillovers to a more general framework (full spillover) whereby we allow for lagged dependence across all variances and covariances. The forecasting analysis shows that considering only sector- and currency-risk spillovers, rather than full spillovers, improves performance, both in economic and statistical terms. Risk spillovers in international equity portfolios 2012-04-20T12:39:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2012_03/source/working_paper_2012_03.n.pdf Matteo Bonato Massimiliano Caporin Angelo Ranaldo Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo 2012-04-20 Swiss National Bank Working Papers C13 C16 C22 C51 C53 G17 http://www.snb.ch/n/mmr/reference/working_paper_2012_02/source/working_paper_2012_02.n.pdf Swiss National Bank Working Papers by Signe Krogstrup, Samuel Reynard and Barbara Sutter Liquidity Effects of Quantitative Easing on Long-Term Interest Rates 2012-04-20T12:39:00Z This paper argues that the expansion in reserves following recent quantitative easing programs of the Federal Reserve may have affected long-term interest rates through liquidity effects. The data lends some support for liquidity effects, in that reserves were negatively correlated with long-term yields at the zero lower bound. Estimates suggest that between January 2009 and 2011, 10-year US Treasury yields fell 46-85 basis points as a result of liquidity effects. The liquidity effect is separate from the portfolio balance effect of the change in the public supply of Treasury bonds, which is estimated to have reduced yields by another 20 basis points during that period. Liquidity Effects of Quantitative Easing on Long-Term Interest Rates 2012-04-20T12:39:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2012_02/source/working_paper_2012_02.n.pdf Signe Krogstrup Samuel Reynard Barbara Sutter Signe Krogstrup, Samuel Reynard and Barbara Sutter 2012-04-20 Swiss National Bank Working Papers E43 E52 E58 http://www.snb.ch/n/mmr/reference/working_paper_2012_01/source/working_paper_2012_01.n.pdf Swiss National Bank Working Papers by Raphael Anton Auer Exchange Rate Pass-Through, Domestic Competition,and Inflation: Evidence from the 2005/08 Revaluationof the Renminbi 2012-03-06T12:39:59Z This paper quantifies the effect of the government-controlled appreciation of the Chinese renminbi (RMB) vis-à-vis the USD from 2005 to 2008 on the prices charged by US producers. As the RMB during that time was pegged to a basket of currencies, the empirical strategy must account for the fact that the currencies included in the basket may have directly affected US prices. Thus, the pre-2005 period is used to filter out the effects of other exchange rates on import and producer prices. Additionally, utilizing the remainder of the sample, the pure effect of an RMB appreciation on US import prices and, in turn, the effect of RMB-induced US import price fluctuations on US producer prices is established. In a panel spanning the period from 1994 to 2010 and including 417 manufacturing sectors, the main finding emerging from this empirical strategy is that import prices pass into producer prices at an average rate of 0.7. This finding supports the view that the markets for domestic and imported manufactured goods are well integrated. Consequently, even if the exchange rate affects import prices only to a small extent, it may have a substantial impact on inflation, as it exerts a sizeable impact on the competitive environment of domestic producers and the prices that they charge. Exchange Rate Pass-Through, Domestic Competition,and Inflation: Evidence from the 2005/08 Revaluationof the Renminbi 2012-03-06T12:39:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2012_01/source/working_paper_2012_01.n.pdf Raphael Anton Auer Raphael Anton Auer 2012-03-06 Swiss National Bank Working Papers E31 F11 F12 F14 F15 F16 F40 L16 http://www.snb.ch/n/mmr/reference/working_paper_2011_13/source/working_paper_2011_13.n.pdf Swiss National Bank Working Papers by Kaufmann Sylvia K-state switching models with endogenous transition distributions 2012-01-27T17:38:59Z Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. The multinomial logit model for the transition probabilities is alternatively expressed as a random utility model and as a difference random utility model. The estimation uses data augmentation and both sampling schemes can be based on Gibbs sampling. Based on the model estimate, we are able to discriminate the model against a smooth transition model, in which the state probability may be influenced by a variable, but without depending on the past prevailing state. Formulating a definition allows to determine the relevant threshold level of the covariate influencing the transition distribution without resorting to the usual grid search. Identification issues are addressed with random permutation sampling. In terms of efficiency the extension to difference random utility in combination with random permutation sampling performs best. To illustrate the method, we estimate a two-pillar Phillips curve for the euro area, in which the inflation rate depends on the low-frequency components of M3 growth, real GDP growth and the change in the government bond yield, and on the highfrequency component of the output gap. Using recent data series, the effect of the low-frequency component of M3 growth depends on regimes determined by lagged credit growth. K-state switching models with endogenous transition distributions 2012-01-27T17:38:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_13/source/working_paper_2011_13.n.pdf Kaufmann Sylvia Kaufmann Sylvia 2012-01-27 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_14/source/working_paper_2011_14.n.pdf Swiss National Bank Working Papers by Sébastien Philippe Kraenzlin and Benedikt von Scarpatetti Bargaining Power in the Repo Market 2012-01-27T17:38:59Z In this paper, we analyze the price setting behavior of banks in the Swiss franc repo market by means of network topology concepts and measures. The sample ranges from October 1999 to December 2009. Hence, it covers a large part of the money market turmoil that started in August 2007. Among others, we find evidence that market participants use their bargaining power as well as private information between two trading partners for price differentiation. The effect of the bargaining power was even more pronounced during the financial turmoil. Bargaining Power in the Repo Market 2012-01-27T17:38:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_14/source/working_paper_2011_14.n.pdf Benedikt von Scarpatetti Sébastien Philippe Kraenzlin Sébastien Philippe Kraenzlin and Benedikt von Scarpatetti 2012-01-27 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_11/source/working_paper_2011_11.n.pdf Swiss National Bank Working Papers by Massimiliano Caporin and Angelo Ranaldo On the Predictability of Stock Prices: a Case for High and Low Prices 2011-11-14T12:41:00Z Contrary to the common wisdom that asset prices are hardly possible to forecast, we show that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model captures two fundamental patterns of high and low prices: their cointegrating relationship and the long memory of their difference (i.e. the range), which is a measure of realized volatility. Investment strategies based on FVECM predictions of high/low US equity prices as exit/entry signals deliver a superior performance even on a risk-adjusted basis. On the Predictability of Stock Prices: a Case for High and Low Prices 2011-11-14T12:41:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_11/source/working_paper_2011_11.n.pdf Massimiliano Caporin Angelo Ranaldo Massimiliano Caporin and Angelo Ranaldo 2011-11-14 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_12/source/working_paper_2011_12.n.pdf Swiss National Bank Working Papers by Jürg Mägerle and Thomas Nellen Interoperability between central counterparties 2011-11-14T12:41:00Z In reaction to recent requests for interoperability between central counterparties of European stock markets, regulators have issued new guidelines to contain systemic risk. Our analysis confirms that the currently applied cross-CCP risk management model can be a source of contagion, particularly if applied in multilateral frameworks. While regulators' new guidelines eliminate systemic risk, this comes at the cost of an inefficiently overcollateralised clearing system. We discuss further approaches that contain systemic risk while reducing or eliminating overcollateralisation. Interoperability is of economic importance as it may contribute to the efficiency and safety of a worldwide fragmented clearing infrastructure. Interoperability between central counterparties 2011-11-14T12:41:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_12/source/working_paper_2011_12.n.pdf Jürg Mägerle Thomas Nellen Jürg Mägerle and Thomas Nellen 2011-11-14 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_10/source/working_paper_2011_10.n.pdf Swiss National Bank Working Papers by Raphael Anton Auer and Philip Ulrich Sauré Spatial Competition in Quality, Demand-Induced Innovation, and Schumpeterian Growth 2011-09-01T17:38:00Z Spatial Competition in Quality, Demand-Induced Innovation, and Schumpeterian Growth 2011-09-01T17:38:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_10/source/working_paper_2011_10.n.pdf Philip Ulrich Sauré Raphael Anton Auer Raphael Anton Auer and Philip Ulrich Sauré 2011-09-01 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_09/source/working_paper_2011_09.n.pdf Swiss National Bank Working Papers by Raphael Anton Auer, Kathrin Degen and Andreas M. Fischer Low-Wage Import Competition, Inflationary Pressure,and Industry Dynamics in Europe 2011-08-15T17:38:00Z Low-Wage Import Competition, Inflationary Pressure,and Industry Dynamics in Europe 2011-08-15T17:38:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_09/source/working_paper_2011_09.n.pdf Kathrin Degen Andreas M. Fischer Raphael Anton Auer Raphael Anton Auer, Kathrin Degen and Andreas M. Fischer 2011-08-15 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_07/source/working_paper_2011_07.n.pdf Swiss National Bank Working Papers by Daniel Kaufmann and Sarah Lein Sectoral Inflation Dynamics, Idiosyncratic Shocks and Monetary Policy 2011-05-26T17:38:00Z Sectoral Inflation Dynamics, Idiosyncratic Shocks and Monetary Policy 2011-05-26T17:38:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_07/source/working_paper_2011_07.n.pdf Daniel Kaufmann Sarah Lein Daniel Kaufmann and Sarah Lein 2011-06-26 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_06/source/working_paper_2011_06.n.pdf Swiss National Bank Working Papers by Hall Pamela Is there any evidence of a Greenspan put? 2011-05-26T17:38:00Z Is there any evidence of a Greenspan put? 2011-05-26T17:38:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_06/source/working_paper_2011_06.n.pdf Hall Pamela Hall Pamela 2011-06-26 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_08/source/working_paper_2011_08.n.pdf Swiss National Bank Working Papers by Iva Cecchin Mortgage Rate Pass-Through in Switzerland 2011-05-26T17:38:00Z Mortgage Rate Pass-Through in Switzerland 2011-05-26T17:38:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_08/source/working_paper_2011_08.n.pdf Iva Cecchin Iva Cecchin 2011-06-26 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_03/source/working_paper_2011_03.n.pdf Swiss National Bank Working Papers by Victoria Galsband and Thomas Nitschka Foreign currency returns and systematic risks 2011-03-21T17:40:00Z Foreign currency returns and systematic risks 2011-03-21T17:40:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_03/source/working_paper_2011_03.n.pdf Thomas Nitschka Victoria Galsband Victoria Galsband and Thomas Nitschka 2011-03-21 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_04/source/working_paper_2011_04.n.pdf Swiss National Bank Working Papers by Francis Breedon and Angelo Ranaldo Intraday patterns in FX returns and order flow 2011-03-21T17:40:00Z Intraday patterns in FX returns and order flow 2011-03-21T17:40:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_04/source/working_paper_2011_04.n.pdf Francis Breedon Angelo Ranaldo Francis Breedon and Angelo Ranaldo 2011-03-21 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_05/source/working_paper_2011_05.n.pdf Swiss National Bank Working Papers by Basil Guggenheim, Sébastien Kraenzlin and Silvio Schumacher Exploring an uncharted market: Evidence on the unsecured Swiss franc money market 2011-03-21T17:40:00Z Exploring an uncharted market: Evidence on the unsecured Swiss franc money market 2011-03-21T17:40:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_05/source/working_paper_2011_05.n.pdf Silvio Schumacher Basil Guggenheim Sébastien Kraenzlin Basil Guggenheim, Sébastien Kraenzlin and Silvio Schumacher 2011-03-21 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_02/source/working_paper_2011_02.n.pdf Swiss National Bank Working Papers by Martin Brown, Karolin Kirschenmann and Steven Ongena Foreign Currency Loans - Demand or Supply Driven? 2011-03-10T17:36:59Z Foreign Currency Loans - Demand or Supply Driven? 2011-03-10T17:36:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_02/source/working_paper_2011_02.n.pdf Steven Ongena Martin Brown Karolin Kirschenmann Martin Brown, Karolin Kirschenmann and Steven Ongena 2011-03-10 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2011_01/source/working_paper_2011_01.n.pdf Swiss National Bank Working Papers by Thorsten Beck and Martin Brown Which Households Use Banks? Evidence from the Transition Economies 2011-03-10T17:36:59Z Which Households Use Banks? Evidence from the Transition Economies 2011-03-10T17:36:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2011_01/source/working_paper_2011_01.n.pdf Martin Brown Thorsten Beck Thorsten Beck and Martin Brown 2011-03-10 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2010_19/source/working_paper_2010_19.n.pdf Swiss National Bank Working Papers by Jean-Pierre Danthine and John B. Donaldson Executive Compensation: A General Equilibrium Perspective 2010-11-10T12:43:00Z Executive Compensation: A General Equilibrium Perspective 2010-11-10T12:43:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2010_19/source/working_paper_2010_19.n.pdf John B. Donaldson Jean-Pierre Danthine Jean-Pierre Danthine and John B. Donaldson 2010-11-10 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2010_18/source/working_paper_2010_18.n.pdf Swiss National Bank Working Papers by Raphael Auer Are Imports from Rich Nations Deskilling Emerging Economies? - Human Capital and the Dynamic Effects of Trade 2010-11-10T12:43:00Z Are Imports from Rich Nations Deskilling Emerging Economies? - Human Capital and the Dynamic Effects of Trade 2010-11-10T12:43:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2010_18/source/working_paper_2010_18.n.pdf Raphael Auer Raphael Auer 2010-11-10 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2010_17/source/working_paper_2010_17.n.pdf Swiss National Bank Working Papers by Andreas M. Fischer Immigration and large banknotes 2010-11-10T12:43:00Z Immigration and large banknotes 2010-11-10T12:43:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2010_17/source/working_paper_2010_17.n.pdf Andreas M. Fischer Andreas M. Fischer 2010-11-10 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2010_16/source/working_paper_2010_16.n.pdf Swiss National Bank Working Papers by Kathrin Degen and Andreas M. Fischer Immigration and Swiss House Prices 2010-11-10T12:43:00Z Immigration and Swiss House Prices 2010-11-10T12:43:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2010_16/source/working_paper_2010_16.n.pdf Andreas M. Fischer Kathrin Degen Kathrin Degen and Andreas M. Fischer 2010-11-10 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2010_15/source/working_paper_2010_15.n.pdf Swiss National Bank Working Papers by Jean-Marc Natal Monetary Policy Response to Oil Price Shocks 2010-11-10T12:43:00Z Monetary Policy Response to Oil Price Shocks 2010-11-10T12:43:00Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2010_15/source/working_paper_2010_15.n.pdf Jean-Marc Natal Jean-Marc Natal 2010-11-10 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2006_02/source/working_paper_2006_02.n.pdf Swiss National Bank Working Papers by Charlotte Christiansen and Angelo Ranaldo Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 2010-11-03T17:38:59Z Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 2010-11-03T17:38:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2006_02/source/working_paper_2006_02.n.pdf Angelo Ranaldo Charlotte Christiansen Charlotte Christiansen and Angelo Ranaldo 2010-11-03 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2006_08/source/working_paper_2006_08.n.pdf Swiss National Bank Working Papers by Urs W. Birchler and Matteo Facchinetti Can bank supervisors rely on market data? A critical assessment from a Swiss perspective 2010-11-03T17:38:59Z Can bank supervisors rely on market data? A critical assessment from a Swiss perspective 2010-11-03T17:38:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2006_08/source/working_paper_2006_08.n.pdf Matteo Facchinetti Urs W. Birchler Urs W. Birchler and Matteo Facchinetti 2010-11-03 Swiss National Bank Working Papers http://www.snb.ch/n/mmr/reference/working_paper_2006_06/source/working_paper_2006_06.n.pdf Swiss National Bank Working Papers by Marlene Amstad and Andreas M. Fischer Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data 2010-11-03T17:38:59Z Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data 2010-11-03T17:38:59Z Full text http://www.snb.ch/n/mmr/reference/working_paper_2006_06/source/working_paper_2006_06.n.pdf Andreas M. Fischer Marlene Amstad Marlene Amstad and Andreas M. Fischer 2010-11-03 Swiss National Bank Working Papers