Template-type: ReDIF-Paper 1.0
Author-Name: David Haab
Author-Name-First: David
Author-Name-Last: Haab
Author-Name: Dr. Thomas Nitschka
Author-Name-First: Thomas
Author-Name-Last: Nitschka
Author-Person: pni214
Title: Predicting returns on asset markets of a small, open economy and the influence of global risks
Abstract: Stylized facts of asset return predictability are mainly based on evidence from the US, a large, closed economy, and, hence, are not necessarily representative of small, open economies. Furthermore, discountrate news mainly drive US asset returns. This is not the case in other economies. We use Switzerland as example to highlight the importance of these issues and to assess the impact of global risks on the predictability of asset returns of a small, open economy. We find that the forecast ability of the best Swiss predictive variable varies over time. This time variation is linked to global foreign currency risks.
Length: 67 pages
Creation-Date: 2017
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2017/working_paper_2017_14
File-Format: text/html
Number: 2017-14
Classification-JEL: E32, F31, G15, G17
Keywords: Bond market, business cycle, foreign exchange rate, predictability, risk premium, stock market
Handle: RePEc:snb:snbwpa:2017-14