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Swiss National Bank
(34 results)-
White Papers
The Impact Of Banking Sector Stability On The Real Economy
May 4, 2010, 12:00am PDT
This paper studies the relationship between the degree of banking sector stability and the subsequent evolution of real output growth and inflation. Adopting a panel VAR methodology for a sample...
Provided by Swiss National Bank
-
White Papers
Executive Compensation: A General Equilibrium Perspective
September 17, 2010, 12:00am PDT
The authors study the dynamic general equilibrium of an economy where risk averse shareholders delegate the management of the firm to risk averse managers. The optimal contract has two main...
Provided by Swiss National Bank
-
White Papers
Immigration And Large Banknotes
May 1, 2010, 12:00am PDT
Do immigrants have a higher demand for large denominated banknotes than natives? This paper examines whether cash orders for CHF 1,000 notes, a banknote used for storage purposes, is concentrated...
Provided by Swiss National Bank
-
White Papers
Limits To Arbitrage During The Crisis: Funding Liquidity Constraints And Covered Interest Parity
June 1, 2010, 12:00am PDT
Arbitrage normally ensures that Covered Interest Parity (CIP) holds. Until recently, excess profits, if any, were documented to last merely seconds and reach a few pips. Instead, this paper finds...
Provided by Swiss National Bank
-
White Papers
Consumer Heterogeneity And The Impact Of Trade Liberalization: How Representative Is The Representative Agent Framework?
August 30, 2010, 12:00am PDT
While it is well established that across-country taste differences are associated with "Home market effects", there is very limited analysis of how such preference heterogeneity impacts the...
Provided by Swiss National Bank
-
White Papers
Momentum In Stock Market Returns: Implications For Risk Premia On Foreign Currencies
March 21, 2010, 12:00am PDT
Momentum in foreign stock market returns is exploitable as signal of currency excess returns. Past stock market winner currencies offer higher returns than past stock market loser currencies. This...
Provided by Swiss National Bank
-
White Papers
Modeling Monetary Policy
November 9, 2009, 12:00am PST
The authors develop a macroeconomic framework where money is supplied against only few eligible securities in open market operations. The relationship between the policy rate, expected inflation...
Provided by Swiss National Bank
-
White Papers
Liquidity In The Foreign Exchange Market: Measurement, Commonality, And Risk Premiums
November 20, 2009, 12:00am PST
This paper develops a liquidity measure tailored to the Foreign Exchange (FX) market, quantifies the amount of commonality in liquidity across exchange rates, and determines the extent of...
Provided by Swiss National Bank
-
White Papers
Optimal Central Counterparty Risk Management
June 1, 2009, 12:00am PDT
In order to protect themselves against the potential losses in case of a participant's default and to Contain systemic risk, Central Counterparties (CCPs) need to maintain sufficient financial...
Provided by Swiss National Bank
-
White Papers
Inflation Risk Premia And Survey Evidence On Macroeconomic Uncertainty
January 29, 2009, 12:00am PST
Nominal and real U.S. interest rates (1997Q1 - 2008Q2) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of risk premia. It is shown...
Provided by Swiss National Bank
-
White Papers
Foreign Currency Borrowing By Small Firms
February 1, 2009, 12:00am PST
The authors examine the firm- and country-level determinants of the currency denomination of small business loans. They first model the choice of loan currency in a framework which features a...
Provided by Swiss National Bank
-
White Papers
Monetary Determinants Of The Swiss Franc
December 16, 2009, 12:00am PST
This paper looks into the determinants of the Swiss franc exchange rate against the euro. Based on the monetary approach to exchange rates, the authors start from the premise that monetary policy...
Provided by Swiss National Bank
-
White Papers
Demand For Reserves And The Central Bank's Management Of Interest Rates
July 1, 2009, 12:00am PDT
The implementation of monetary policy is prevalently done by interest rate targeting with a short term market rate serving as operational target. The instruments for achieving the operational...
Provided by Swiss National Bank
-
White Papers
Bounded Love Of Variety And Patterns Of Trade
November 9, 2009, 12:00am PST
Recent trade data exhibit the following four empirical regularities: countries import only a small fraction of all traded varieties per capita income and the number of imported varieties correlate...
Provided by Swiss National Bank
-
White Papers
Measurement Of Labor Quality Growth Caused By Unobservable Characteristics
January 1, 2009, 12:00am PST
The standard economy-wide indices of labor quality (or human capital) largely ignore the role of unobservable worker characteristics. In this paper, the authors develop a methodology for...
Provided by Swiss National Bank
-
White Papers
Does FOMC News Increase Global FX Trading?
March 1, 2009, 12:00am PST
Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, the authors use a novel data set...
Provided by Swiss National Bank
-
White Papers
The Colonial And Geographic Origins Of Comparative Development
March 10, 2008, 12:00am PDT
While the direct impact of geographic endowments on prosperity is present in all countries, in former colonies, geography has also affected colonization policies and institutional outcomes. Thus,...
Provided by Swiss National Bank
-
White Papers
Cost Pass Through In A Competitive Model Of Pricing-to-Market
May 15, 2008, 12:00am PDT
This paper builds up an extension to the Mussa and Rosen (1978) model of quality pricing under perfect competition. This model incorporates decreasing returns to scale. First, the authors predict...
Provided by Swiss National Bank
-
White Papers
Financial Structure And The Impact Of Monetary Policy On Asset Prices
September 10, 2008, 12:00am PDT
The authors study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using...
Provided by Swiss National Bank
-
White Papers
What Drives The Swiss Franc?
August 28, 2008, 12:00am PDT
This paper analyzes the behavior of the Swiss franc (CHF) over the past 35 years. It relates the evolution of the CHF exchange rates to economic fundamentals like the relative competitiveness of...
Provided by Swiss National Bank
-
White Papers
Measuring Growth Of Labour Quality And The Quality-Adjusted Unemployment Rate In Switzerland
April 1, 2008, 12:00am PDT
This paper presents results on human capital accumulation for the Swiss economy. The authors find that the index of labor quality has grown at a rate of 0.5% per year from 1991 to 2006. The main...
Provided by Swiss National Bank
-
White Papers
Measuring Capital Stocks And Capital Services In Switzerland
May 1, 2008, 12:00am PDT
This paper presents estimates of the aggregate net (wealth) capital stock and aggregate capital services for Switzerland. The authors derive these estimates in a consistent manner using the...
Provided by Swiss National Bank
-
White Papers
Extreme Coexceedances In New EU Member States' Stock Markets
June 27, 2008, 12:00am PDT
The authors analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) co-exceedance variable that counts the number of large...
Provided by Swiss National Bank
-
White Papers
The Emergence Of Information Sharing In Credit Markets
November 1, 2007, 12:00am PDT
The authors examine how asymmetric information and competition in the credit market affect voluntary information sharing between lenders. They study an experimental credit market in which...
Provided by Swiss National Bank
-
White Papers
Safe Haven Currencies
September 14, 2007, 12:00am PDT
The authors study high-frequency exchange rate movements over the sample 1993 - 2006. They document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S....
Provided by Swiss National Bank
-
White Papers
Communicating Policy Options At The Zero Bound
October 1, 2007, 12:00am PDT
This paper examines a special episode in communication practices of the Swiss National Bank (SNB) when short-term interest rates reached the zero bound. A particular feature of SNB communication...
Provided by Swiss National Bank
-
White Papers
The Reaction Of Asset Markets To Swiss National Bank Communication
October 1, 2007, 12:00am PDT
In this paper the authors analyze high-frequency movements in Swiss financial markets in reaction to real-time communication by the Swiss National Bank. The analysis of central bank communication...
Provided by Swiss National Bank
-
White Papers
Applying The Hirose-Kamada Filter To Swiss Data: Output Gap And Exchange Rate Pass-Through Estimates
October 1, 2007, 12:00am PDT
Multivariate filters based on the Hodrick-Prescott filter are appealing because they combine the advantages of the Hodrick-Prescott filter with economic relationships. Recently, a new multivariate...
Provided by Swiss National Bank
-
White Papers
Exploring An Uncharted Market: Evidence On The Unsecured Swiss Franc Money Market
December 15, 2010, 12:00am PST
To date, various central banks have lacked detailed statistical evidence on developments in the unsecured interbank money market. Furfine (1999) introduced the idea of calculating unsecured...
Provided by Swiss National Bank
-
White Papers
Intraday Patterns In FX Returns And Order Flow
November 1, 2010, 12:00am PDT
Using 10 years of high?]frequency foreign exchange data, the authors present evidence of time?]of?]day effects in foreign exchange returns through a significant tendency for currencies to...
Provided by Swiss National Bank
-
White Papers
Foreign Currency Loans - Demand Or Supply Driven?
July 23, 2010, 12:00am PDT
Motivated by concerns over foreign currency exposures of banks in Emerging Europe, the authors examine the currency denomination of business loans made in Bulgaria during the period 2003-2007....
Provided by Swiss National Bank
-
White Papers
Swiss Monetary Targeting 1974-1996: The Role Of Internal Policy Analysis
September 25, 2009, 12:00am PDT
The Swiss National Bank (SNB), Switzerland's central bank, adopted monetary targeting at the end of 1974. The switch to a "Monetarist" policy strategy was motivated by the global surge in...
Provided by Swiss National Bank
-
White Papers
Ten Years' Experience With The Swiss National Bank's Monetary Policy Strategy
July 9, 2010, 12:00am PDT
Over the past 30 years a growing consensus has emerged that price stability is the overriding goal of monetary policy. Once this was identified, the crucial question was how a central bank should...
Provided by Swiss National Bank
-
White Papers
Monetary Policy With Endogenous Firm Entry And Sticky Entry Costs
July 1, 2007, 12:00am PDT
This paper explores a new channel for the transmission of monetary policy through the extensive margin. In this paper, a shock to money induces firms to enter by affecting a measure of Tobin's Q:...
Provided by Swiss National Bank
-
White Papers
Monetary Policy With Endogenous Firm Entry And Sticky Entry Costs
July 1, 2007, 12:00am PDT
This paper explores a new channel for the transmission of monetary policy through the extensive margin. In this paper, a shock to money induces firms to enter by affecting a measure of Tobin's Q:...
Provided by Swiss National Bank
-
White Papers
Ten Years' Experience With The Swiss National Bank's Monetary Policy Strategy
July 9, 2010, 12:00am PDT
Over the past 30 years a growing consensus has emerged that price stability is the overriding goal of monetary policy. Once this was identified, the crucial question was how a central bank should...
Provided by Swiss National Bank
-
White Papers
Swiss Monetary Targeting 1974-1996: The Role Of Internal Policy Analysis
September 25, 2009, 12:00am PDT
The Swiss National Bank (SNB), Switzerland's central bank, adopted monetary targeting at the end of 1974. The switch to a "Monetarist" policy strategy was motivated by the global surge in...
Provided by Swiss National Bank
-
White Papers
Foreign Currency Loans - Demand Or Supply Driven?
July 23, 2010, 12:00am PDT
Motivated by concerns over foreign currency exposures of banks in Emerging Europe, the authors examine the currency denomination of business loans made in Bulgaria during the period 2003-2007....
Provided by Swiss National Bank
-
White Papers
Intraday Patterns In FX Returns And Order Flow
November 1, 2010, 12:00am PDT
Using 10 years of high?]frequency foreign exchange data, the authors present evidence of time?]of?]day effects in foreign exchange returns through a significant tendency for currencies to...
Provided by Swiss National Bank
-
White Papers
Exploring An Uncharted Market: Evidence On The Unsecured Swiss Franc Money Market
December 15, 2010, 12:00am PST
To date, various central banks have lacked detailed statistical evidence on developments in the unsecured interbank money market. Furfine (1999) introduced the idea of calculating unsecured...
Provided by Swiss National Bank
-
White Papers
Applying The Hirose-Kamada Filter To Swiss Data: Output Gap And Exchange Rate Pass-Through Estimates
October 1, 2007, 12:00am PDT
Multivariate filters based on the Hodrick-Prescott filter are appealing because they combine the advantages of the Hodrick-Prescott filter with economic relationships. Recently, a new multivariate...
Provided by Swiss National Bank
-
White Papers
The Reaction Of Asset Markets To Swiss National Bank Communication
October 1, 2007, 12:00am PDT
In this paper the authors analyze high-frequency movements in Swiss financial markets in reaction to real-time communication by the Swiss National Bank. The analysis of central bank communication...
Provided by Swiss National Bank
-
White Papers
Communicating Policy Options At The Zero Bound
October 1, 2007, 12:00am PDT
This paper examines a special episode in communication practices of the Swiss National Bank (SNB) when short-term interest rates reached the zero bound. A particular feature of SNB communication...
Provided by Swiss National Bank
-
White Papers
Safe Haven Currencies
September 14, 2007, 12:00am PDT
The authors study high-frequency exchange rate movements over the sample 1993 - 2006. They document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S....
Provided by Swiss National Bank
-
White Papers
The Emergence Of Information Sharing In Credit Markets
November 1, 2007, 12:00am PDT
The authors examine how asymmetric information and competition in the credit market affect voluntary information sharing between lenders. They study an experimental credit market in which...
Provided by Swiss National Bank
-
White Papers
Extreme Coexceedances In New EU Member States' Stock Markets
June 27, 2008, 12:00am PDT
The authors analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) co-exceedance variable that counts the number of large...
Provided by Swiss National Bank
-
White Papers
Measuring Capital Stocks And Capital Services In Switzerland
May 1, 2008, 12:00am PDT
This paper presents estimates of the aggregate net (wealth) capital stock and aggregate capital services for Switzerland. The authors derive these estimates in a consistent manner using the...
Provided by Swiss National Bank
-
White Papers
Measuring Growth Of Labour Quality And The Quality-Adjusted Unemployment Rate In Switzerland
April 1, 2008, 12:00am PDT
This paper presents results on human capital accumulation for the Swiss economy. The authors find that the index of labor quality has grown at a rate of 0.5% per year from 1991 to 2006. The main...
Provided by Swiss National Bank
-
White Papers
What Drives The Swiss Franc?
August 28, 2008, 12:00am PDT
This paper analyzes the behavior of the Swiss franc (CHF) over the past 35 years. It relates the evolution of the CHF exchange rates to economic fundamentals like the relative competitiveness of...
Provided by Swiss National Bank
-
White Papers
Financial Structure And The Impact Of Monetary Policy On Asset Prices
September 10, 2008, 12:00am PDT
The authors study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using...
Provided by Swiss National Bank
-
White Papers
Cost Pass Through In A Competitive Model Of Pricing-to-Market
May 15, 2008, 12:00am PDT
This paper builds up an extension to the Mussa and Rosen (1978) model of quality pricing under perfect competition. This model incorporates decreasing returns to scale. First, the authors predict...
Provided by Swiss National Bank
-
White Papers
The Colonial And Geographic Origins Of Comparative Development
March 10, 2008, 12:00am PDT
While the direct impact of geographic endowments on prosperity is present in all countries, in former colonies, geography has also affected colonization policies and institutional outcomes. Thus,...
Provided by Swiss National Bank
-
White Papers
Does FOMC News Increase Global FX Trading?
March 1, 2009, 12:00am PST
Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, the authors use a novel data set...
Provided by Swiss National Bank
-
White Papers
Measurement Of Labor Quality Growth Caused By Unobservable Characteristics
January 1, 2009, 12:00am PST
The standard economy-wide indices of labor quality (or human capital) largely ignore the role of unobservable worker characteristics. In this paper, the authors develop a methodology for...
Provided by Swiss National Bank
-
White Papers
Bounded Love Of Variety And Patterns Of Trade
November 9, 2009, 12:00am PST
Recent trade data exhibit the following four empirical regularities: countries import only a small fraction of all traded varieties per capita income and the number of imported varieties correlate...
Provided by Swiss National Bank
-
White Papers
Demand For Reserves And The Central Bank's Management Of Interest Rates
July 1, 2009, 12:00am PDT
The implementation of monetary policy is prevalently done by interest rate targeting with a short term market rate serving as operational target. The instruments for achieving the operational...
Provided by Swiss National Bank
-
White Papers
Monetary Determinants Of The Swiss Franc
December 16, 2009, 12:00am PST
This paper looks into the determinants of the Swiss franc exchange rate against the euro. Based on the monetary approach to exchange rates, the authors start from the premise that monetary policy...
Provided by Swiss National Bank
-
White Papers
Foreign Currency Borrowing By Small Firms
February 1, 2009, 12:00am PST
The authors examine the firm- and country-level determinants of the currency denomination of small business loans. They first model the choice of loan currency in a framework which features a...
Provided by Swiss National Bank
-
White Papers
Inflation Risk Premia And Survey Evidence On Macroeconomic Uncertainty
January 29, 2009, 12:00am PST
Nominal and real U.S. interest rates (1997Q1 - 2008Q2) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of risk premia. It is shown...
Provided by Swiss National Bank
-
White Papers
Optimal Central Counterparty Risk Management
June 1, 2009, 12:00am PDT
In order to protect themselves against the potential losses in case of a participant's default and to Contain systemic risk, Central Counterparties (CCPs) need to maintain sufficient financial...
Provided by Swiss National Bank
-
White Papers
Liquidity In The Foreign Exchange Market: Measurement, Commonality, And Risk Premiums
November 20, 2009, 12:00am PST
This paper develops a liquidity measure tailored to the Foreign Exchange (FX) market, quantifies the amount of commonality in liquidity across exchange rates, and determines the extent of...
Provided by Swiss National Bank
-
White Papers
Modeling Monetary Policy
November 9, 2009, 12:00am PST
The authors develop a macroeconomic framework where money is supplied against only few eligible securities in open market operations. The relationship between the policy rate, expected inflation...
Provided by Swiss National Bank
-
White Papers
Momentum In Stock Market Returns: Implications For Risk Premia On Foreign Currencies
March 21, 2010, 12:00am PDT
Momentum in foreign stock market returns is exploitable as signal of currency excess returns. Past stock market winner currencies offer higher returns than past stock market loser currencies. This...
Provided by Swiss National Bank
-
White Papers
Consumer Heterogeneity And The Impact Of Trade Liberalization: How Representative Is The Representative Agent Framework?
August 30, 2010, 12:00am PDT
While it is well established that across-country taste differences are associated with "Home market effects", there is very limited analysis of how such preference heterogeneity impacts the...
Provided by Swiss National Bank
-
White Papers
Limits To Arbitrage During The Crisis: Funding Liquidity Constraints And Covered Interest Parity
June 1, 2010, 12:00am PDT
Arbitrage normally ensures that Covered Interest Parity (CIP) holds. Until recently, excess profits, if any, were documented to last merely seconds and reach a few pips. Instead, this paper finds...
Provided by Swiss National Bank
-
White Papers
Immigration And Large Banknotes
May 1, 2010, 12:00am PDT
Do immigrants have a higher demand for large denominated banknotes than natives? This paper examines whether cash orders for CHF 1,000 notes, a banknote used for storage purposes, is concentrated...
Provided by Swiss National Bank
-
White Papers
Executive Compensation: A General Equilibrium Perspective
September 17, 2010, 12:00am PDT
The authors study the dynamic general equilibrium of an economy where risk averse shareholders delegate the management of the firm to risk averse managers. The optimal contract has two main...
Provided by Swiss National Bank
-
White Papers
The Impact Of Banking Sector Stability On The Real Economy
May 4, 2010, 12:00am PDT
This paper studies the relationship between the degree of banking sector stability and the subsequent evolution of real output growth and inflation. Adopting a panel VAR methodology for a sample...
Provided by Swiss National Bank
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