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.
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?