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