Swiss National Bank

Displaying 1-40 of 44 results

  • White Papers // Jul 2011

    Measuring Co-Movements Of CDS Premia During The Greek Debt Crisis

    In this paper, the authors test whether the co-movement of sovereign CDS premia increased significantly after the Greek debt crisis started in October 2009. They perform a bivariate test for contagion that is based on an approach proposed by Forbes and Rigobon (2002). Their sample consists of daily data between...

    Provided By Swiss National Bank

  • White Papers // May 2011

    Mortgage Rate Pass-through In Switzerland

    This paper investigates the speed and completeness of the pass-through from market rates to mortgage rates in Switzerland. The pass-through dynamics are studied under a marginal funding cost perspective. By choosing the appropriate benchmark rates, this study takes into account banks' forecasts of the evolution of their funding costs. It...

    Provided By Swiss National Bank

  • White Papers // Apr 2011

    Sectoral Inflation Dynamics, Idiosyncratic Shocks And Monetary Policy

    This paper disentangles fluctuations in disaggregate prices into macroeconomic and idiosyncratic components using a Factor-Augmented Vector AutoRegression (FAVAR) in order to shed light on sectoral inflation dynamics in Switzerland. The authors find that disaggregated prices react only slowly to monetary policy and other macroeconomic shocks, but relatively quickly to idiosyncratic...

    Provided By Swiss National Bank

  • White Papers // Mar 2011

    Forecasting Swiss Inflation Using VAR Models

    A procedure that has been used at the Swiss National Bank for selecting Vector-AutoRegressive (VAR) models in order to forecast Swiss consumer price inflation is presented. In order to examine and improve the quality of the procedure, it is submitted to several modifications and the results are compared with one...

    Provided By Swiss National Bank

  • White Papers // Jan 2011

    Exchange Rate Pass-Through, Domestic Competition And Inflation - Evidence From The 2005/08 Revaluation Of The Renminbi

    How important is the effect of exchange rate fluctuations on the competitive environment faced by domestic firms and the prices they charge? To answer this question, this paper examines the 17% appreciation of the Yuan against the US dollar from 2005 to 2008. In a monthly panel covering 110 sectors,...

    Provided By Swiss National Bank

  • White Papers // Dec 2010

    Exploring An Uncharted Market: Evidence On The Unsecured Swiss Franc Money Market

    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 overnight interbank lending by using data of a RTGS system. Based on data from the Swiss Payment System (SIC), the authors developed an algorithm...

    Provided By Swiss National Bank

  • White Papers // Nov 2010

    Intraday Patterns In FX Returns And Order Flow

    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 depreciate during local trading hours. They confirm this pattern across a range of currencies and find that, in the case of EUR/USD, it can...

    Provided By Swiss National Bank

  • White Papers // Oct 2010

    Are Imports From Rich Nations Deskilling Emerging Economies? - Human Capital And The Dynamic Effects Of Trade

    This paper starts by documenting that during the last decades, the human capital embodied in imports from skill abundant nations has noticeably reduced skill accumulation in the less developed world. To identify the causal relation between these variables, the analysis utilizes over-time variation in the supply of skilled labor and...

    Provided By Swiss National Bank

  • White Papers // Oct 2010

    Are Imports From Rich Nations Deskilling Emerging Economies? Human Capital And The Dynamic Effects Of Trade

    This paper starts by documenting that during the last decades, the human capital embodied in imports from skill abundant nations has noticeably reduced skill accumulation in the less developed world. To identify the causal relation between these variables, the analysis utilizes over-time variation in the supply of skilled labor and...

    Provided By Swiss National Bank

  • White Papers // Sep 2010

    Executive Compensation: A General Equilibrium Perspective

    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 components: an incentive component corresponding to a non-tradable equity position and a variable "Salary" component indexed to the aggregate wage...

    Provided By Swiss National Bank

  • White Papers // Sep 2010

    Monerary Policy Response To Oil Price Shocks

    How should monetary authorities react to an oil price shock? The New Keynesian literature has concluded that ensuring perfect price stability is optimal. Yet, the contrast between theory and practice is striking: Inflation targeting central banks typically favor a longer run approach to price stability. The first contribution of this...

    Provided By Swiss National Bank

  • White Papers // Sep 2010

    Monetary Policy Response To Oil Price Shocks

    How should monetary authorities react to an oil price shock? The New Keynesian literature has concluded that ensuring perfect price stability is optimal. Yet, the contrast between theory and practice is striking: Inflation targeting central banks typically favor a longer run approach to price stability. The first contribution of this...

    Provided By Swiss National Bank

  • White Papers // Aug 2010

    Consumer Heterogeneity And The Impact Of Trade Liberalization: How Representative Is The Representative Agent Framework?

    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 aggregate volume of trade and the welfare gains from liberalization. The author develops a structural model of aggregate demand featuring products with heterogeneous...

    Provided By Swiss National Bank

  • White Papers // Jul 2010

    Foreign Currency Loans - Demand Or Supply Driven?

    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. They analyze a unique dataset including information on the requested and granted currency for more than hundred thousand loans granted by one...

    Provided By Swiss National Bank

  • White Papers // Jul 2010

    Ten Years' Experience With The Swiss National Bank's Monetary Policy Strategy

    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 conduct monetary policy to achieve its ultimate objective. Different approaches have been adopted in the past by...

    Provided By Swiss National Bank

  • White Papers // Jun 2010

    Limits To Arbitrage During The Crisis: Funding Liquidity Constraints And Covered Interest Parity

    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 that following the Lehman bankruptcy, these were large, persisted for months and involved strategies short in dollars. Profits are estimated...

    Provided By Swiss National Bank

  • White Papers // May 2010

    The Impact Of Banking Sector Stability On The Real Economy

    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 of 18 OECD countries, the authors find a positive link between banking sector stability and real output growth. This finding...

    Provided By Swiss National Bank

  • White Papers // May 2010

    Immigration And Large Banknotes

    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 in Swiss municipalities with a high foreign-to-native ratio. Controlling for a range of regional indicators across 251 Swiss municipalities, European...

    Provided By Swiss National Bank

  • White Papers // Mar 2010

    Momentum In Stock Market Returns: Implications For Risk Premia On Foreign Currencies

    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 finding is unrelated to interest rate differentials. Funding liquidity risk explains the time series variation in foreign stock market momentum sorted...

    Provided By Swiss National Bank

  • White Papers // Feb 2010

    Estimating A Stock-Flow Model For The Swiss Housing Market

    This paper analyses the development of housing market imbalances, housing prices and residential investment in Switzerland within a stock-flow framework. In the long run, the desired level of residential capital stock and the existing residential capital stock revert. Empirical results indicate, however, that housing demand can diverge from the existing...

    Provided By Swiss National Bank

  • White Papers // Jan 2010

    Overreporting Oil Reserves

    An increasing number of oil market experts argue that OPEC members substantially overstate their oil reserves. While the economic implications could be dire, the incentives for over reporting remain unclear. This paper analyzes these incentives, showing that oil exporters may over report to raise expected future supply, thereby discouraging oil-substituting...

    Provided By Swiss National Bank

  • White Papers // Jan 2010

    Daytime Is Money

    Based on real-time trade data from the Swiss franc overnight interbank repo market and SIX Interbank Clearing (SIC) - the Swiss Real-Time Gross Settlement (RTGS) system - we are able to gain valuable insights on the daytime value of money and its determinants: First, an implicit hourly interbank interest rate...

    Provided By Swiss National Bank

  • White Papers // Dec 2009

    Monetary Determinants Of The Swiss Franc

    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 has an influence on the exchange rate. To measure this effect, they apply the structural vector auto-regression methodology...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    The Time-Varying Systematic Risk Of Carry Trade Strategies

    The authors explain the currency carry trade performance using an asset pricing model in which factor loadings are regime-dependent rather than constant. Empirical results show that a typical carry trade strategy has much higher exposure to the stock market and is mean-reverting in regimes of high FX volatility. The findings...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    The Timing Of Price Changes And The Role Of Heterogeneity

    While price-setting models usually suggest constant or increasing hazard functions for price changes, empirical studies often find decreasing hazards, possibly due to misspecified or neglected heterogeneity. This paper attempts to disentangle the downward bias into various sources: observed and unobserved heterogeneity which can be either constant or time-varying. Based on...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Liquidity In The Foreign Exchange Market: Measurement, Commonality, And Risk Premiums

    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 liquidity risk premiums embedded in FX returns. The new liquidity measure utilizes ultra high frequency data and captures cross-sectional and temporal variation...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Effects Of Trade On Female Labor Force Participation

    Male and female labor are imperfect substitutes and some sectors are more suitable for female employment than others. Clearly, expansions of those sectors that use female labor intensively must affect aggregate Female Labor Force Participation (FLFP). The authors suggest that FLFP actually drops when trade and international specialization expand sectors...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Modeling Monetary Policy

    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 and consumption growth is affected by money market conditions, i.e. the varying liquidity value of eligible assets and the associated risk. This induces...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Bounded Love Of Variety And Patterns Of Trade

    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 positively per capita income and trade shares correlate positively and, finally, world trade shares have increased substantially. The paper argues that...

    Provided By Swiss National Bank

  • White Papers // Oct 2009

    Bank Capital Buffer And Risk Adjustment Decisions

    Building an unbalanced panel of United States (US) Bank Holding Company (BHC) and commercial bank balance sheet data from 1986 to 2006, the authors examine the relationship between short-term capital buffer and portfolio risk adjustments. The estimations indicate that the relationship over the sample period is a positive two-way relationship....

    Provided By Swiss National Bank

  • White Papers // Oct 2009

    Bidding Behavior In The SNB's Repo Auctions

    The Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. The authors analyze the banks' bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender. Therefore, they estimate bidding functions for banks which participate regularly in...

    Provided By Swiss National Bank

  • White Papers // Sep 2009

    Swiss Monetary Targeting 1974-1996: The Role Of Internal Policy Analysis

    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 inflation setting in towards the end of the 1960s. Since Switzerland adhered to a fixed exchange rate at that time,...

    Provided By Swiss National Bank

  • White Papers // Sep 2009

    Banks And Real Estate Prices

    The willingness of banks to provide funding for real estate purchases depends on the creditworthiness of their borrowers. Beside other factors, the credit worthiness of borrowers depends on the development of real estate prices. Real estate prices, in turn, depend on the demand for homes which is influenced by the...

    Provided By Swiss National Bank

  • White Papers // Sep 2009

    Explaining House Price Fluctuations

    A comparison of fundamental house prices with actual prices indicates that house prices fluctuate more than fundamentally justified. This fact is very hard to explain with standard rational agent models. This paper develops a housing market model that allows to examine the price effects of various kinds of agents' expectations....

    Provided By Swiss National Bank

  • White Papers // Sep 2009

    Banking And Transparency: Is More Information Always Better?

    This paper shows that transparency in banking can be harmful from a social planner's point of view. According to the model, enhancing transparency above a certain level may lead to the inefficient liquidation of a bank. The reason lies in the nature of a standard deposit contract: its payoff scheme...

    Provided By Swiss National Bank

  • White Papers // Jul 2009

    Capacity Utilisation, Constraints And Price Adjustments Under The Microscope

    This paper analyses the interplay of capacity utilization, capacity constraints, demand constraints and price adjustments, employing a unique firm-level data set for Swiss manufacturing rms. Theoretically, capacity constraints limit the ability of firms to expand production in the short run and lead to increases in prices. These results show that,...

    Provided By Swiss National Bank

  • White Papers // Jul 2009

    Capacity Utilisation, Constraintes And Price Adjustments Under The Microscope

    This paper analyses the interplay of capacity utilization, capacity constraints, demand constraints and price adjustments, employing a unique firm-level data set for Swiss manufacturing rms. theoretically, capacity constraints limit the ability of firms to expand production in the short run and lead to increases in prices. The results show that,...

    Provided By Swiss National Bank

  • White Papers // Jul 2009

    Demand For Reserves And The Central Bank's Management Of Interest Rates

    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 target are the provision of reserves and the interest rate charged in these transactions. This paper presents a model for the estimation...

    Provided By Swiss National Bank

  • White Papers // Jun 2009

    Optimal Central Counterparty Risk Management

    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 resources. Typically, these financial resources consist of margin requirements and contributions to a collective default fund. Based on a stylized model of...

    Provided By Swiss National Bank

  • White Papers // Mar 2009

    Does FOMC News Increase Global FX Trading?

    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 from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Modeling Monetary Policy

    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 and consumption growth is affected by money market conditions, i.e. the varying liquidity value of eligible assets and the associated risk. This induces...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Liquidity In The Foreign Exchange Market: Measurement, Commonality, And Risk Premiums

    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 liquidity risk premiums embedded in FX returns. The new liquidity measure utilizes ultra high frequency data and captures cross-sectional and temporal variation...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    The Timing Of Price Changes And The Role Of Heterogeneity

    While price-setting models usually suggest constant or increasing hazard functions for price changes, empirical studies often find decreasing hazards, possibly due to misspecified or neglected heterogeneity. This paper attempts to disentangle the downward bias into various sources: observed and unobserved heterogeneity which can be either constant or time-varying. Based on...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    The Time-Varying Systematic Risk Of Carry Trade Strategies

    The authors explain the currency carry trade performance using an asset pricing model in which factor loadings are regime-dependent rather than constant. Empirical results show that a typical carry trade strategy has much higher exposure to the stock market and is mean-reverting in regimes of high FX volatility. The findings...

    Provided By Swiss National Bank

  • White Papers // Oct 2009

    Bank Capital Buffer And Risk Adjustment Decisions

    Building an unbalanced panel of United States (US) Bank Holding Company (BHC) and commercial bank balance sheet data from 1986 to 2006, the authors examine the relationship between short-term capital buffer and portfolio risk adjustments. The estimations indicate that the relationship over the sample period is a positive two-way relationship....

    Provided By Swiss National Bank

  • White Papers // Sep 2009

    Banks And Real Estate Prices

    The willingness of banks to provide funding for real estate purchases depends on the creditworthiness of their borrowers. Beside other factors, the credit worthiness of borrowers depends on the development of real estate prices. Real estate prices, in turn, depend on the demand for homes which is influenced by the...

    Provided By Swiss National Bank

  • White Papers // Jun 2009

    Optimal Central Counterparty Risk Management

    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 resources. Typically, these financial resources consist of margin requirements and contributions to a collective default fund. Based on a stylized model of...

    Provided By Swiss National Bank

  • White Papers // Jul 2009

    Capacity Utilisation, Constraints And Price Adjustments Under The Microscope

    This paper analyses the interplay of capacity utilization, capacity constraints, demand constraints and price adjustments, employing a unique firm-level data set for Swiss manufacturing rms. Theoretically, capacity constraints limit the ability of firms to expand production in the short run and lead to increases in prices. These results show that,...

    Provided By Swiss National Bank

  • White Papers // Sep 2009

    Explaining House Price Fluctuations

    A comparison of fundamental house prices with actual prices indicates that house prices fluctuate more than fundamentally justified. This fact is very hard to explain with standard rational agent models. This paper develops a housing market model that allows to examine the price effects of various kinds of agents' expectations....

    Provided By Swiss National Bank

  • White Papers // Jan 2009

    Inflation Risk Premia And Survey Evidence On Macroeconomic Uncertainty

    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 that survey data on inflation and output growth uncertainty, as well as a proxy for liquidity premia can explain a...

    Provided By Swiss National Bank

  • White Papers // Feb 2009

    Foreign Currency Borrowing By Small Firms

    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 trade-off between lower cost of debt and the risk of firm-level distress costs, and also examines the impact of information...

    Provided By Swiss National Bank

  • White Papers // Dec 2009

    Monetary Determinants Of The Swiss Franc

    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 has an influence on the exchange rate. To measure this effect, they apply the structural vector auto-regression methodology...

    Provided By Swiss National Bank

  • White Papers // Jul 2009

    Demand For Reserves And The Central Bank's Management Of Interest Rates

    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 target are the provision of reserves and the interest rate charged in these transactions. This paper presents a model for the estimation...

    Provided By Swiss National Bank

  • White Papers // Oct 2009

    Bidding Behavior In The SNB's Repo Auctions

    The Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. The authors analyze the banks' bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender. Therefore, they estimate bidding functions for banks which participate regularly in...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Effects Of Trade On Female Labor Force Participation

    Male and female labor are imperfect substitutes and some sectors are more suitable for female employment than others. Clearly, expansions of those sectors that use female labor intensively must affect aggregate Female Labor Force Participation (FLFP). The authors suggest that FLFP actually drops when trade and international specialization expand sectors...

    Provided By Swiss National Bank

  • White Papers // Sep 2009

    Banking And Transparency: Is More Information Always Better?

    This paper shows that transparency in banking can be harmful from a social planner's point of view. According to the model, enhancing transparency above a certain level may lead to the inefficient liquidation of a bank. The reason lies in the nature of a standard deposit contract: its payoff scheme...

    Provided By Swiss National Bank

  • White Papers // Nov 2009

    Bounded Love Of Variety And Patterns Of Trade

    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 positively per capita income and trade shares correlate positively and, finally, world trade shares have increased substantially. The paper argues that...

    Provided By Swiss National Bank

  • White Papers // Jan 2009

    Measurement Of Labor Quality Growth Caused By Unobservable Characteristics

    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 identifying the contributions of both observable and unobservable worker characteristics in the presence of the incidental parameter problem. Based on data for Switzerland...

    Provided By Swiss National Bank

  • White Papers // Mar 2009

    Does FOMC News Increase Global FX Trading?

    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 from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading...

    Provided By Swiss National Bank

  • White Papers // May 2011

    Mortgage Rate Pass-through In Switzerland

    This paper investigates the speed and completeness of the pass-through from market rates to mortgage rates in Switzerland. The pass-through dynamics are studied under a marginal funding cost perspective. By choosing the appropriate benchmark rates, this study takes into account banks' forecasts of the evolution of their funding costs. It...

    Provided By Swiss National Bank

  • White Papers // Apr 2011

    Sectoral Inflation Dynamics, Idiosyncratic Shocks And Monetary Policy

    This paper disentangles fluctuations in disaggregate prices into macroeconomic and idiosyncratic components using a Factor-Augmented Vector AutoRegression (FAVAR) in order to shed light on sectoral inflation dynamics in Switzerland. The authors find that disaggregated prices react only slowly to monetary policy and other macroeconomic shocks, but relatively quickly to idiosyncratic...

    Provided By Swiss National Bank

  • White Papers // Dec 2010

    Exploring An Uncharted Market: Evidence On The Unsecured Swiss Franc Money Market

    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 overnight interbank lending by using data of a RTGS system. Based on data from the Swiss Payment System (SIC), the authors developed an algorithm...

    Provided By Swiss National Bank

  • White Papers // Nov 2010

    Intraday Patterns In FX Returns And Order Flow

    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 depreciate during local trading hours. They confirm this pattern across a range of currencies and find that, in the case of EUR/USD, it can...

    Provided By Swiss National Bank

  • White Papers // Jul 2010

    Foreign Currency Loans - Demand Or Supply Driven?

    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. They analyze a unique dataset including information on the requested and granted currency for more than hundred thousand loans granted by one...

    Provided By Swiss National Bank

  • White Papers // Oct 2010

    Are Imports From Rich Nations Deskilling Emerging Economies? - Human Capital And The Dynamic Effects Of Trade

    This paper starts by documenting that during the last decades, the human capital embodied in imports from skill abundant nations has noticeably reduced skill accumulation in the less developed world. To identify the causal relation between these variables, the analysis utilizes over-time variation in the supply of skilled labor and...

    Provided By Swiss National Bank

  • White Papers // Sep 2010

    Monerary Policy Response To Oil Price Shocks

    How should monetary authorities react to an oil price shock? The New Keynesian literature has concluded that ensuring perfect price stability is optimal. Yet, the contrast between theory and practice is striking: Inflation targeting central banks typically favor a longer run approach to price stability. The first contribution of this...

    Provided By Swiss National Bank

  • White Papers // Mar 2009

    Who Needs Credit And Who Gets Credit In Eastern Europe?

    Based on survey data covering 8,387 firms in 20 countries the authors compare credit demand and credit supply for firms in Eastern Europe to those for firms in selected Western European countries. They find that, while 30% of firms do not need credit in Eastern Europe, their need for credit...

    Provided By Swiss National Bank

  • White Papers // Feb 2010

    Estimating A Stock-Flow Model For The Swiss Housing Market

    This paper analyses the development of housing market imbalances, housing prices and residential investment in Switzerland within a stock-flow framework. In the long run, the desired level of residential capital stock and the existing residential capital stock revert. Empirical results indicate, however, that housing demand can diverge from the existing...

    Provided By Swiss National Bank

  • White Papers // Jan 2010

    Overreporting Oil Reserves

    An increasing number of oil market experts argue that OPEC members substantially overstate their oil reserves. While the economic implications could be dire, the incentives for over reporting remain unclear. This paper analyzes these incentives, showing that oil exporters may over report to raise expected future supply, thereby discouraging oil-substituting...

    Provided By Swiss National Bank

  • White Papers // Jan 2010

    Daytime Is Money

    Based on real-time trade data from the Swiss franc overnight interbank repo market and SIX Interbank Clearing (SIC) - the Swiss Real-Time Gross Settlement (RTGS) system - we are able to gain valuable insights on the daytime value of money and its determinants: First, an implicit hourly interbank interest rate...

    Provided By Swiss National Bank

  • White Papers // May 2010

    The Impact Of Banking Sector Stability On The Real Economy

    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 of 18 OECD countries, the authors find a positive link between banking sector stability and real output growth. This finding...

    Provided By Swiss National Bank

  • White Papers // Sep 2010

    Executive Compensation: A General Equilibrium Perspective

    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 components: an incentive component corresponding to a non-tradable equity position and a variable "Salary" component indexed to the aggregate wage...

    Provided By Swiss National Bank

  • White Papers // Oct 2010

    Are Imports From Rich Nations Deskilling Emerging Economies? Human Capital And The Dynamic Effects Of Trade

    This paper starts by documenting that during the last decades, the human capital embodied in imports from skill abundant nations has noticeably reduced skill accumulation in the less developed world. To identify the causal relation between these variables, the analysis utilizes over-time variation in the supply of skilled labor and...

    Provided By Swiss National Bank

  • White Papers // May 2010

    Immigration And Large Banknotes

    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 in Swiss municipalities with a high foreign-to-native ratio. Controlling for a range of regional indicators across 251 Swiss municipalities, European...

    Provided By Swiss National Bank

  • White Papers // Sep 2010

    Monetary Policy Response To Oil Price Shocks

    How should monetary authorities react to an oil price shock? The New Keynesian literature has concluded that ensuring perfect price stability is optimal. Yet, the contrast between theory and practice is striking: Inflation targeting central banks typically favor a longer run approach to price stability. The first contribution of this...

    Provided By Swiss National Bank

  • White Papers // Jun 2010

    Limits To Arbitrage During The Crisis: Funding Liquidity Constraints And Covered Interest Parity

    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 that following the Lehman bankruptcy, these were large, persisted for months and involved strategies short in dollars. Profits are estimated...

    Provided By Swiss National Bank

  • White Papers // Aug 2010

    Consumer Heterogeneity And The Impact Of Trade Liberalization: How Representative Is The Representative Agent Framework?

    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 aggregate volume of trade and the welfare gains from liberalization. The author develops a structural model of aggregate demand featuring products with heterogeneous...

    Provided By Swiss National Bank

  • White Papers // Mar 2010

    Momentum In Stock Market Returns: Implications For Risk Premia On Foreign Currencies

    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 finding is unrelated to interest rate differentials. Funding liquidity risk explains the time series variation in foreign stock market momentum sorted...

    Provided By Swiss National Bank

  • White Papers // Jul 2009

    Capacity Utilisation, Constraintes And Price Adjustments Under The Microscope

    This paper analyses the interplay of capacity utilization, capacity constraints, demand constraints and price adjustments, employing a unique firm-level data set for Swiss manufacturing rms. theoretically, capacity constraints limit the ability of firms to expand production in the short run and lead to increases in prices. The results show that,...

    Provided By Swiss National Bank

  • White Papers // Mar 2011

    Forecasting Swiss Inflation Using VAR Models

    A procedure that has been used at the Swiss National Bank for selecting Vector-AutoRegressive (VAR) models in order to forecast Swiss consumer price inflation is presented. In order to examine and improve the quality of the procedure, it is submitted to several modifications and the results are compared with one...

    Provided By Swiss National Bank