SNB Working Papers
Les SNB Working Papers présentent les résultats des recherches en cours. Ils visent à susciter des commentaires et à encourager les débats. Les opinions exprimées dans les Working Papers sont celles des auteurs et ne concordent pas nécessairement avec les vues de la Banque nationale suisse.
2024
-
You are how you pay: understanding and identifying the payment behavior of sociodemographic groups
-
Quantifying uncertainty: a new era of measurement through large language models
-
Oil price shocks and household heterogeneity: the income side
-
A decade of low interest rates: impact on Swiss bank profitability
-
Regulating decentralized systems: evidence from sanctions on Tornado Cash
-
Corporate leverage and the effects of monetary policy on investment: a reconciliation of micro and macro elasticities
-
Evidence on the international financial spillovers of the New York Bankers' Panic of 1907
-
Nowcasting GDP: what are the gains from machine learning algorithms?
-
The role of hedge funds in the Swiss franc foreign exchange market
-
FX interventions as a form of unconventional monetary policy
-
Decomposing liquidity risk in banking models
-
The impact of exchange rate fluctuations on markups - firm-level evidence for Switzerland
-
The interest rate sensitivity of house prices: international evidence on its state dependence
2023
-
Consumer adoption and use of financial technology: "tap and go" payments
-
Assessing economic sentiment with newspaper text indices: evidence from Switzerland
-
Cashless payments and consumer spending
-
Exchange rate shocks and equity prices: the role of currency denomination
-
The economic impact of Russia’s invasion of Ukraine on European countries - a SVAR approach
-
Payments and prices
-
The kindness of strangers: Brexit and bilateral financial linkages
-
Nowcasting economic activity using transaction payments data
2022
-
The exchange rate elasticity of the Swiss current account
-
The growing importance of investment funds in capital flows
-
Price setting before and during the pandemic: evidence from Swiss consumer prices
-
Measuring Swiss employment growth: a measurement-error approach
-
Systemic bank runs without aggregate risk: how a misallocation of liquidity may trigger a solvency crisis
-
CDS market structure and bond spreads
-
Responses of Swiss bond yields and stock prices to ECB policy surprises
-
Firm net worth, external finance premia and monitoring cost - estimates based on firm-level data
-
Public debt management announcements under "beat-the-market" opportunities
-
What were they thinking? Estimating the quarterly forecasts underlying annual growth projections
-
The influence of financial corporations on IMF lending: Has it changed with the global financial crisis?
-
Analysing households' consumption and saving patterns using tax data
-
Measuring and stress-testing market-implied bank capital
-
Fiscal regimes and the exchange rate
2021
-
Shooting up liquidity: the effect of crime on real estate
-
Retail CBDC purposes and risk transfers to the central bank
-
Are banks still 'too big to fail'? - A market perspective
-
Reserve tiering and the interbank market
-
Fiscal policy in a monetary union with downward nominal wage rigidity
-
Scale effects on efficiency and profitability in the Swiss banking sector
-
Monetary policy financial transmission and treasury liquidity premia
-
Does the market believe in loss-absorbing bank debt?
-
What drives inflation and how? Evidence from additive mixed models selected by cAIC
-
The rise in foreign currency bonds: the role of US monetary policy and capital controls
-
Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment
-
Optimal monetary policy with the risk-taking channel
-
Habits die hard: implications for bond and stock markets internationally
-
Real interest rates and demographic developments across generations: A panel-data analysis over two centuries
-
On the transmission of monetary policy to the housing market
-
The dynamics of bank rates in a negative-rate environment - the Swiss case
-
Financial inclusion, technology and their impacts on monetary and fiscal policy: theory and evidence
-
How to issue a central bank digital currency
-
The safety premium of safe assets
-
The rise of digital watchers
2020
-
Firms' participation in the COVID-19 loan programme
-
(In)Efficiencies of current financial market infrastructures - a call for DLT?
-
Demographics, pension systems, and the current account: an empirical assessment using the IMF current account model
-
A neoclassical perspective on Switzerland's 1990s stagnation
-
Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc
-
A multi-sector analysis of Switzerland's gains from trade
-
Exploring BIS credit-to-GDP gap critiques: the Swiss case
-
Spillovers to exchange rates from monetary and macroeconomic communications events
-
Does communication influence executives' opinion of central bank policy?
-
Money, inflation and the financial crisis: the case of Switzerland
-
COVID-19 and regional shifts in Swiss retail payments
-
Lower bound uncertainty and long-term interest rates
-
Financial shocks and inflation dynamics
-
Bank lending in Switzerland: Capturing cross-sectional heterogeneity and asymmetry over time
-
Shall we twist?
-
Stock market evidence on the international transmission channels of US monetary policy surprises
-
Double overreaction in beauty contests with information acquisition: theory and experiment
-
Deviations from covered interest rate parity and capital outflows: The case of Switzerland
-
The margin of importing sectors in the gains from trade
-
Effects of macroprudential policies on bank lending and credit risks
-
Negative interest rates, deposit funding and bank lending
-
News, sentiment and capital flows
-
A theory of the nominal character of stock securities
-
The effect of monetary policy on the Swiss franc: an SVAR approach
-
The impact of SNB monetary policy on the Swiss franc and longer-term interest rates
2019
-
Central Counterparty Auctions and Loss Allocation
-
Covered interest rate parity, relative funding liquidity and cross-currency repos
-
Foreign currency loan conversions and currency mismatches
-
Quantification of feedback effects in FX options markets
-
The demand for Swiss banknotes: some new evidence
-
Does the IMF Program Implementation Matter for Sovereign Spreads? The Case of Selected European Emerging Markets
2018
-
Negative Interest Rate, QE and Exit
-
The impact of guidance, short-term dynamics and individual characteristics on firms' long-term inflation expectations
-
Carry trade and forward premium puzzle from the perspective of a safe-haven currency
-
Forecasting the production side of GDP
-
Sovereign debt crises and cross-country assistance
-
Has the American Output Growth Path Experienced a Permanent Change?
-
The Risk-Taking Channel of Liquidity Regulations and Monetary Policy
-
Current account adjustment and retained earnings
-
Inflation Expectations: The Effect of Question Ordering on Forecast Inconsistencies
-
International Evidence on Professional Interest Rate Forecasts: The Impact of Forecasting Ability
-
Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?
-
Do the rich pay their taxes early?
-
Confederation debt management since 1970
-
What do Swiss franc Libor futures really tell us?
-
The speed of exchange rate pass-through
-
International Monetary Policy Transmission through Banks in Small Open Economies
-
Observing and shaping the market: the dilemma of central banks
-
Cultural Differences in Monetary Policy Preferences
-
Loss Aversion at the Aggregate Level Across Countries and its Relation to Economic Fundamentals
2017
-
Employment Adjustment and Financial Constraints - Evidence from Firm-level Data
-
The Social Value of Information: A Test of a Beauty and Non-Beauty Contest
-
A Tale of Fire-Sales and Liquidity Hoarding
-
Is Monetary Policy Too Complex for the Public? Evidence from the UK
-
Predicting returns on asset markets of a small, open economy and the influence of global risks
-
Government Debt and Growth: The Role of Liquidity
-
Does Central Bank Transparency and Communication Affect Financial and Macroeconomic Forecasts?
-
Portfolio rebalancing in times of stress
-
The response of long-term yields to negative interest rates: evidence from Switzerland
-
Computing long‐term market inflation expectations for countries without inflation expectation markets
-
Which indicators matter? Analyzing the Swiss business cycle using a large-scale mixed-frequency dynamic factor model
-
International inflation spillovers - the role of different shocks
-
Liquidity in the Repo Market
-
Lower bound beliefs and long-term interest rates
-
The Impact of Interest Rate Risk on Bank Lending
-
International Inflation Spillovers Through Input Linkages
-
Mixed-frequency models for tracking short-term economic developments in Switzerland
-
The Balassa-Samuelson Effect Reversed: New Evidence from OECD Countries
2016
-
A Portfolio Model of Quantitative Easing
-
Securitisation, loan growth and bank funding: the Swiss experience since 1932
-
Price change dispersion and time-varying pass-through to consumer prices
-
Changing dynamics at the zero lower bound
-
Macroeconomic surprises, market environment and safe-haven currencies
-
Sticky consumption and wealth effects in Switzerland
-
Credit cycles and real activity - the Swiss case
-
Networks and lending conditions: Empirical evidence from the Swiss franc money markets
-
The Liquidity Coverage Ratio and Security Prices
-
Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions
-
Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices
-
Capital Flows and the Swiss Franc
-
On the roles of different foreign currencies in European bank lending
-
Price expectations and the US housing boom
-
The banking sector and the Swiss financial account during the financial and European debt crises
-
Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter
-
How reliable are cointegration-based estimates for wealth effects on consumption? Evidence from Switzerland
-
Exchange Rate Predictability and State-of-the-Art Models
-
Foreign PMIs: A reliable indicator for exports?
2015
-
Collateralised liquidity, two-part tariff and settlement coordination
-
Private information, capital flows, and exchange rates
-
Time-intensive R&D and unbalanced trade
-
Ben Bernanke vs. Janet Yellen: Exploring the (a)symmetry of individual and aggregate inflation expectations
-
Exit Strategies and Trade Dynamics in Repo Markets
-
Is there a too-big-to-fail discount in excess returns on German banks' stocks?
-
The impact of international swap lines on stock returns of banks in emerging markets
-
Transmission of Quantitative Easing: The Role of Central Bank Reserves
-
Mortgage arrears in Europe: The impact of monetary and macroprudential policies
-
A dynamic North-South model of demand-induced product cycles
-
Real exchange rate persistence: The case of the Swiss franc-US dollar rate
-
Re-use of collateral in the repo market
-
Capital flow waves to and from Switzerland before and after the financial crisis
2014
-
Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market
-
Exchange rate returns and external adjustment: evidence from Switzerland
-
Quantification and characteristics of household inflation expectations in Switzerland
-
Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes
-
Skill-Biased Technological Change and the Real Exchange Rate
-
Determinants of the Swiss Franc Real Exchange Rate
-
Real exchange rates and fundamentals: robustness across alternative model specifications
-
Carry Trade Activities: A Multivariate Threshold Model Analysis
-
Trade linkages and the globalisation of inflation in Asia and the Pacific
-
The Collateral Costs of Clearing
-
Repatriation of Debt in the Euro Crisis: Evidence for the Secondary Market Theory
-
Monetary Policy Shocks and Foreign Investment Income: Evidence from a large Bayesian VAR
-
The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?
2013
-
Time variation in asset price responses to macro announcements
-
Does SIC need a heart pacemaker?
-
How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data
-
Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012
-
Currency excess returns and global downside market risk
-
Merchanting and Current Account Balances
-
Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.
-
On financial risk and the safe haven characteristics of Swiss franc exchange rates
-
Financial Globalization and Monetary Transmission
-
Transaction Taxes, Capital Gains Taxes and House Prices
-
Portfolio balance effects of the SNB's bond purchase program
2012
-
Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment
-
What Drives Target2 Balances? Evidence From a Panel Analysis
-
Market Structure and Exchange Rate Pass-Through
-
Fixed Costs per Shipment
-
Access policy and money market segmentation
-
Quality Pricing-to-Market
-
Global and country-specific business cycle risk in time-varying excess returns on asset markets
-
Asymmetries in Price-Setting Behavior: New Microeconometric Evidence from Switzerland
-
Reducing overreaction to central banks' disclosures:theory and experiment
-
Housing Bubbles and Interest Rates
-
Retirement Age across Countries: The Role of Occupations
-
Information Asymmetry and Foreign Currency Borrowing by Small Firms
-
Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe
-
Risk spillovers in international equity portfolios
-
Liquidity Effects of Quantitative Easing on Long-Term Interest Rates
-
Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi
2011
-
Bargaining Power in the Repo Market
-
K-state switching models with endogenous transition distributions
-
Interoperability between central counterparties
-
On the Predictability of Stock Prices: a Case for High and Low Prices
-
Spatial Competition in Quality, Demand-Induced Innovation, and Schumpeterian Growth
-
Low-Wage Import Competition, Inflationary Pressure,and Industry Dynamics in Europe
-
Mortgage Rate Pass-Through in Switzerland
-
Sectoral Inflation Dynamics, Idiosyncratic Shocks and Monetary Policy
-
Is there any evidence of a Greenspan put?
-
Exploring an uncharted market: Evidence on the unsecured Swiss franc money market
-
Intraday patterns in FX returns and order flow
-
Foreign currency returns and systematic risks
-
Foreign Currency Loans - Demand or Supply Driven?
-
Which Households Use Banks? Evidence from the Transition Economies
2010
-
Executive Compensation: A General Equilibrium Perspective
-
Are Imports from Rich Nations Deskilling Emerging Economies? - Human Capital and the Dynamic Effects of Trade
-
Immigration and large banknotes
-
Immigration and Swiss House Prices
-
Monerary Policy Response to Oil Price Shocks
-
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity
-
Consumer Heterogeneity and the Impact of Trade Liberalization: How Representative is the Representative Agent Framework?
-
Macroeconomic and interest rate volatility under alternative monetary operating procedures
-
Momentum in stock market returns: Implications for risk premia on foreign currencies
-
The Business Cycle Implications of Reciprocity in Labor Relations
-
Who Needs Credit and Who Gets Credit in Eastern Europe?
-
Estimating a stock-flow model for the Swiss housing market
-
Overreporting Oil Reserves
-
Daytime is money
-
The Impact of Banking Sector Stability on the Real Economy
-
Modeling Monetary Policy
-
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
-
The Timing of Price Changes and the Role of Heterogeneity
-
The Time-Varying Systematic Risk of Carry Trade Strategies
2009
-
Monetary determinants of the Swiss franc
-
Demand for Reserves and the Central Bank's Management of Interest Rates
-
Bidding Behavior in the SNB's Repo Auctions
-
Productivity and economic growth in Switzerland 1991-2005
-
Effects of Trade on Female Labor Force Participation
-
Banking and Transparency: Is More Information Always Better?
-
Bounded Love of Variety and Patterns of Trade
-
Bank Capital Buffer and Risk Adjustment Decisions
-
Banks and Real Estate Prices
-
Optimal Central Counterparty Risk Management
-
Capacity Utilisation, Constraints and Price Adjustments under the Microscope
-
Explaining House Price Fluctuations
-
Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
-
Forecasting realized (co)variances with a block structure Wishart autoregressive model
-
Foreign Currency Borrowing by Small Firms
-
Measurement of labor quality growth caused by unobservable characteristics
2008
-
Borrowing in Foreign Currency: Austrian Households as Carry Traders
-
The Effect of Low-Wage Import Competition on U.S. Inflationary Pressure
-
On Reputation: A Microfoundation of Contract Enforcement and Price Rigidity
-
Financial Structure and the Impact of Monetary Policy on Asset Prices
-
Price-Setting Behaviour in Switzerland Evidence from CPI Micro Data
-
What Drives the Swiss Franc?
-
Measuring growth of labour quality and the quality-adjusted unemployment rate in Switzerland
-
How to Use Industrial Policy to Sustain Trade Agreements
-
Measuring capital stocks and capital services in Switzerland
-
Extreme Coexceedances in New EU Member States' Stock Markets
-
Does FOMC News Increase Global FX Trading?
-
The Colonial and Geographic Origins of Comparative Development
-
Competition and Relational Contracts: The Role of Unemployment as a Disciplinary Device
-
Cost Pass Through in a Competitive Model of Pricing-to-Market
-
Are Weekly Inflation Forecasts Informative?
-
Foreign bank entry, institutional development and credit access: firm-level evidence from 22 transition countries
-
Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows
-
Intelligible Factors for the Yield Curve
-
The Emergence of Information Sharing in Credit Markets
2007
-
Safe Haven Currencies
-
Who Prices Locally? Survey Evidence of Swiss Exporters
-
Information Sharing and Credit: Firm-Level Evidence from Transition Countries
-
Globalization, markups and the natural rate of interest
-
Monetary Factors and Inflation in Japan
-
Communicating Policy Options at the Zero Bound
-
The reaction of asset markets to Swiss National Bank communication
-
Applying the Hirose-Kamada filter to Swiss data: Output gap and exchange rate pass-through estimates
-
The Colonial Origins of Comparative Development: Comment. A Solution to the Debate on Settler Mortality Rates
-
An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates
-
Banking Sector Reform and Interest Rates in Transition Economies: Bank-Level Evidence from Kyrgyzstan
-
Loss Aversion in Aggregate Macroeconomic Time Series
-
Maintaining Low Inflation: Money, Interest Rates, and Policy Stance
-
Why 'Basel II' May Need a Leverage Ratio Restriction
-
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
-
Federal Reserve Policy viewed through a Money Supply Lens
-
Do FX traders in Bishkek have similar perceptions to their London colleagues? Survey evidence of market practitioners' views
2006
-
Intraday Market Dynamics Around Public Information Arrivals
-
On Understanding Sources of Growth and Output Gaps for Switzerland
-
A Two-Pillar Phillips Curve for Switzerland
-
Can bank supervisors rely on market data? A critical assessment from a Swiss perspective
-
Money and the Great Disinflation
-
Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data
-
Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland
-
The Exposure of Swiss Banks to Macroeconomic Shocks - an Empirical Investigation
-
Credit Reporting, Relationship Banking, and Loan Repayment
-
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
-
Measuring Income Elasticity for Swiss Money Demand: What do the Cantons say about Financial Innovation?
2005
-
On the Inadequacy of Newswire Reports for Empirical Research on Foreign Exchange Interventions
-
The Phillips curve under state-dependent pricing