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Foreign currency returns and systematic risks
Victoria Galsband and Thomas NitschkaThe views expressed in this paper are those of the author(s) and do not necessarily represent those of the Swiss National Bank. Working Papers describe research in progress. Their aim is to elicit comments and to further debate.
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2004-1 Samuel Reynard: Financial Market Participation and the Apparent Instability of Money Demand
2004-2 Urs W. Birchler and Diana Hancock: What Does the Yield on Subordinated
Bank Debt Measure?
2005-1 Hasan Bakhshi, Hashmat Khan and Barbara Rudolf: The Phillips curve under
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2005-2 Andreas M. Fischer: On the Inadequacy of Newswire Reports for Empirical Research on Foreign Exchange Interventions
2006-1 Andreas M. Fischer: Measuring Income Elasticity for Swiss Money Demand:
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2006-2 Charlotte Christiansen and Angelo Ranaldo: Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
2006-3 Martin Brown and Christian Zehnder: Credit Reporting, Relationship Banking, and Loan Repayment
2006-4 Hansjörg Lehmann and Michael Manz: The Exposure of Swiss Banks to
Macroeconomic Shocks – an Empirical Investigation
2006-5 Katrin Assenmacher-Wesche and Stefan Gerlach: Money Growth, Output Gaps and
Inflation at Low and High Frequency: Spectral Estimates for Switzerland
2006-6 Marlene Amstad and Andreas M. Fischer: Time-Varying Pass-Through from Import
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2006-7 Samuel Reynard: Money and the Great Disinflation
2006-8 Urs W. Birchler and Matteo Facchinetti: Can bank supervisors rely on market data? A critical assessment from a Swiss perspective
2006-9 Petra Gerlach-Kristen: A Two-Pillar Phillips Curve for Switzerland
2006-10 Kevin J. Fox and Mathias Zurlinden: On Understanding Sources of Growth and Output Gaps for Switzerland
2007-2 Ibrahim Chowdhury and Andreas Schabert: Federal Reserve Policy viewed through a Money Supply Lens
2007-3 Angelo Ranaldo: Segmentation and Time-of-Day Patterns in Foreign Exchange
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2007-4 Jürg M. Blum: Why ‘Basel II’ May Need a Leverage Ratio Restriction
2007-5 Samuel Reynard: Maintaining Low Inflation: Money, Interest Rates, and Policy Stance
2007-6 Rina Rosenblatt-Wisch: Loss Aversion in Aggregate Macroeconomic Time Series
2007-7 Martin Brown, Maria Rueda Maurer, Tamara Pak and Nurlanbek Tynaev: Banking
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2007-8 Hans-Jürg Büttler: An Orthogonal Polynomial Approach to Estimate the Term
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2007-9 Raphael Auer: The Colonial Origins Of Comparative Development: Comment.
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2007-10 Franziska Bignasca and Enzo Rossi: Applying the Hirose-Kamada filter to Swiss data: Output gap and exchange rate pass-through estimates
2007-11 Angelo Ranaldo and Enzo Rossi: The reaction of asset markets to Swiss National Bank communication
2007-12 Lukas Burkhard and Andreas M. Fischer: Communicating Policy Options at the Zero Bound
2007-13 Katrin Assenmacher-Wesche, Stefan Gerlach, and Toshitaka Sekine: Monetary
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2007-14 Jean-Marc Natal and Nicolas Stoffels: Globalization, markups and the natural rate of interest
2007-15 Martin Brown, Tullio Jappelli and Marco Pagano: Information Sharing and Credit: Firm-Level Evidence from Transition Countries
2007-16 Andreas M. Fischer, Matthias Lutz and Manuel Wälti: Who Prices Locally? Survey Evidence of Swiss Exporters
2008-1 Martin Brown and Christian Zehnder: The Emergence of Information Sharing in Credit Markets
2008-2 Yvan Lengwiler and Carlos Lenz: Intelligible Factors for the Yield Curve
2008-3 Katrin Assenmacher-Wesche and M. Hashem Pesaran: Forecasting the Swiss
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2008-4 Maria Clara Rueda Maurer: Foreign bank entry, institutional development and credit access: firm-level evidence from 22 transition countries
2008-5 Marlene Amstad and Andreas M. Fischer: Are Weekly Inflation Forecasts Informative?
2008-6 Raphael Auer and Thomas Chaney: Cost Pass Through in a Competitive Model of
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2008-7 Martin Brown, Armin Falk and Ernst Fehr: Competition and Relational Contracts: The Role of Unemployment as a Disciplinary Device
2008-8 Raphael Auer: The Colonial and Geographic Origins of Comparative Development
2008-9 Andreas M. Fischer and Angelo Ranaldo: Does FOMC News Increase Global FX
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2008-10 Charlotte Christiansen and Angelo Ranaldo: Extreme Coexceedances in New EU
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2008-11 Barbara Rudolf and Mathias Zurlinden: Measuring capital stocks and capital services in Switzerland
2008-12 Philip Sauré: How to Use Industrial Policy to Sustain Trade Agreements
2008-13 Thomas Bolli and Mathias Zurlinden: Measuring growth of labour quality and the quality-adjusted unemployment rate in Switzerland
2008-14 Samuel Reynard: What Drives the Swiss Franc?
2008-15 Daniel Kaufmann: Price-Setting Behaviour in Switzerland – Evidence from CPI Micro Data
2008-16 Katrin Assenmacher-Wesche and Stefan Gerlach: Financial Structure and the Impact of Monetary Policy on Asset Prices
2008-18 Raphael Auer and Andreas M. Fischer: The Effect of Low-Wage Import Competition on U.S. Inflationary Pressure
2008-19 Christian Beer, Steven Ongena and Marcel Peter: Borrowing in Foreign Currency: Austrian Households as Carry Traders
2009-1 Thomas Bolli and Mathias Zurlinden: Measurement of labor quality growth caused
by unobservable characteristics
2009-2 Martin Brown, Steven Ongena and Pinar Yesin: Foreign Currency Borrowing by
Small Firms
2009-3 Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo: Forecasting realized
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2009-4 Paul Söderlind: Inflation Risk Premia and Survey Evidence on Macroeconomic
Uncertainty
2009-5 Christian Hott: Explaining House Price Fluctuations
2009-6 Sarah M. Lein and Eva Köberl: Capacity Utilisation, Constraints and Price Adjustments under the Microscope
2009-7 Philipp Haene and Andy Sturm: Optimal Central Counterparty Risk Management
2009-8 Christian Hott: Banks and Real Estate Prices
2009-9 Terhi Jokipii and Alistair Milne: Bank Capital Buffer and Risk Adjustment Decisions
2009-10 Philip Sauré: Bounded Love of Variety and Patterns of Trade 2009-11 Nicole Allenspach: Banking and Transparency: Is More Information
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2009-12 Philip Sauré and Hosny Zoabi: Effects of Trade on Female Labor Force Participation 2009-13 Barbara Rudolf and Mathias Zurlinden: Productivity and economic growth in
Switzerland 1991-2005
2009-14 Sébastien Kraenzlin and Martin Schlegel: Bidding Behavior in the SNB's Repo Auctions
2009-15 Martin Schlegel and Sébastien Kraenzlin: Demand for Reserves and the Central Bank's Management of Interest Rates
2010-1 Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind: The Time-Varying Systematic Risk of Carry Trade Strategies
2010-2 Daniel Kaufmann: The Timing of Price Changes and the Role of Heterogeneity
2010-3 Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer: Liquidity in the Foreign
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2010-4 Samuel Reynard and Andreas Schabert: Modeling Monetary Policy
2010-5 Pierre Monnin and Terhi Jokipii: The Impact of Banking Sector Stability on the Real Economy
2010-6 Sébastien Kraenzlin and Thomas Nellen: Daytime is money
2010-7 Philip Sauré: Overreporting Oil Reserves
2010-8 Elizabeth Steiner: Estimating a stock-flow model for the Swiss housing market
2010-9 Martin Brown, Steven Ongena, Alexander Popov, and Pinar Yesin: Who Needs
Credit and Who Gets Credit in Eastern Europe?
2010-10 Jean-Pierre Danthine and André Kurmann: The Business Cycle Implications of Reciprocity in Labor Relations
2010-11 Thomas Nitschka: Momentum in stock market returns: Implications for risk premia on foreign currencies
2010-12 Petra Gerlach-Kristen and Barbara Rudolf: Macroeconomic and interest rate volatility under alternative monetary operating procedures
2010-13 Raphael Auer: Consumer Heterogeneity and the Impact of Trade Liberalization: How Representative is the Representative Agent Framework?
2010-14 Tommaso Mancini Griffoli and Angelo Ranaldo: Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity
2010-15 Jean-Marc Natal: Monetary Policy Response to Oil Price Shocks
2010-16 Kathrin Degen and Andreas M. Fischer: Immigration and Swiss House Prices 2010-17 Andreas M. Fischer: Immigration and large banknotes
2010-19 Jean-Pierre Danthine and John B. Donaldson: Executive Compensation: A General Equilibrium Perspective
2011-1 Thorsten Beck and Martin Brown: Which Households Use Banks? Evidence from the
Transition Economies
2011-2 Martin Brown, Karolin Kirschenmann and Steven Ongena: Foreign Currency Loans –
Demand or Supply Driven?
2011-3 Victoria Galsband and Thomas Nitschka: Foreign currency returns and systematic risks
