6
H index
4
i10 index
165
Citations
Schweizerische Nationalbank (SNB) | 6 H index 4 i10 index 165 Citations RESEARCH PRODUCTION: 27 Articles 31 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Nitschka. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of International Money and Finance | 3 |
German Economic Review | 2 |
International Finance | 2 |
The North American Journal of Economics and Finance | 2 |
German Economic Review | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Swiss National Bank | 17 |
Technical Reports / Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen | 2 |
Year | Title of citing document |
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2021 | Expectations and financial markets: Lessons from Brexit. (2021). Hibbert, Ann Marie ; Gu, Chen. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:279-299. Full description at Econpapers || Download paper |
2021 | The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16. Full description at Econpapers || Download paper |
2020 | Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866. Full description at Econpapers || Download paper |
2020 | Chinas liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach. (2020). Li, Min ; Zhong, Rui ; Wang, Hao ; Ji, Hao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:187-204. Full description at Econpapers || Download paper |
2020 | Predicting stock market crises using daily stock market valuation and investor sentiment indicators. (2020). Wu, Xiang ; Liu, Yufang ; Zhou, Qingling ; Fu, Junhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304108. Full description at Econpapers || Download paper |
2020 | Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157. Full description at Econpapers || Download paper |
2021 | Stock returns and carry trades. (2021). Qian, Zongxin ; Gang, Jianhua ; Chen, Zilin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001261. Full description at Econpapers || Download paper |
2021 | How puzzling is the forward premium puzzle? A meta-analysis. (2021). Zigraiova, Diana ; Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas. In: European Economic Review. RePEc:eee:eecrev:v:134:y:2021:i:c:s0014292121000672. Full description at Econpapers || Download paper |
2020 | Searching for safe-haven assets during the COVID-19 pandemic. (2020). Zhang, Dayong ; Ji, Qiang ; Zhao, Yuqian. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301708. Full description at Econpapers || Download paper |
2021 | Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?. (2021). Hassan, Kabir M ; Hasan, Md Bokhtiar ; Alhenawi, Yasser ; Rashid, Md Mamunur. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000661. Full description at Econpapers || Download paper |
2021 | The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x. Full description at Econpapers || Download paper |
2021 | How has the relationship between safe haven assets and the US stock market changed after the global financial crisis?. (2021). Sakurai, Yuji. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000706. Full description at Econpapers || Download paper |
2021 | Downside risk and the cross-section of cryptocurrency returns. (2021). Wang, Pengfei ; Xiong, Xiong ; Li, YI ; Zhang, Wei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002053. Full description at Econpapers || Download paper |
2022 | Global risk sentiment and the Swiss franc: A time-varying daily factor decomposition model. (2022). Gloede, Oliver ; Frei, Lukas ; Fink, Fabian . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s026156062100190x. Full description at Econpapers || Download paper |
2021 | Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?. (2021). Adediran, Idris ; Lakhani, Kanwal Hammad ; Yinusa, Olalekan D. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309624. Full description at Econpapers || Download paper |
2020 | Cryptocurrencies as hedges and safe-havens for US equity sectors. (2020). Hussain, Syed Jawad ; Bouri, Elie ; Roubaud, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:294-307. Full description at Econpapers || Download paper |
2021 | Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89. Full description at Econpapers || Download paper |
2021 | Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. (2021). Slim, Skander ; Boughrara, Adel ; Dahmene, Meriam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:676-699. Full description at Econpapers || Download paper |
2020 | The effect of global and regional stock market shocks on safe haven assets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Wohar, Mark E. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:54:y:2020:i:c:p:297-308. Full description at Econpapers || Download paper |
2022 | Mortgage-Backed Securities. (2022). Vickery, James ; Lucca, David ; Fuster, Andreas. In: Staff Reports. RePEc:fip:fednsr:93695. Full description at Econpapers || Download paper |
2020 | Do Capital Flows Matter for Monetary Policy Setting in Inflation Targeting Economies?. (2020). Morley, Bruce ; Arimurti, Trinil. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:139-:d:378627. Full description at Econpapers || Download paper |
2020 | Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets. (2020). Laputkova, Adriana ; Beneova, Irena ; Kotyza, Pavel ; Wielechowski, Micha ; Czech, Katarzyna. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:15:p:6282-:d:394421. Full description at Econpapers || Download paper |
2020 | Is Downside Risk Priced In Cryptocurrency Market?. (2020). Dobrynskaya, Victoria. In: HSE Working papers. RePEc:hig:wpaper:79/fe/2020. Full description at Econpapers || Download paper |
2020 | The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate. (2020). Shimizu, Makoto. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:5:d:10.1007_s11079-020-09582-7. Full description at Econpapers || Download paper |
2020 | Globalization – Reflective Outlook. (2020). Cirella, Giuseppe T ; Kumar, Polsitty R. In: Journal of Applied Management and Investments. RePEc:ods:journl:v:9:y:2020:i:1:p:42-50. Full description at Econpapers || Download paper |
2022 | Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis. (2022). Pedini, Luca ; Severini, Sabrina. In: MPRA Paper. RePEc:pra:mprapa:112339. Full description at Econpapers || Download paper |
2020 | The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497. Full description at Econpapers || Download paper |
2022 | Can Equity be Safe-haven for Investment?. (2022). Balasubramanian, G ; Kayal, Parthajit ; Sri, Janani. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:21:y:2022:i:1:p:32-63. Full description at Econpapers || Download paper |
2020 | The impact of SNB monetary policy on the Swiss franc and longer-term interest rates. (2020). Zehnder, Tanja ; Maag, Thomas ; Frei, Lukas ; Fink, Fabian. In: Working Papers. RePEc:snb:snbwpa:2020-01. Full description at Econpapers || Download paper |
2020 | Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc. (2020). Gloede, Oliver ; Frei, Lukas ; Fink, Fabian. In: Working Papers. RePEc:snb:snbwpa:2020-21. Full description at Econpapers || Download paper |
2021 | The dynamics of bank rates in a negative-rate environment - the Swiss case. (2021). Tenhofen, Jörn ; Gerlach-Kristen, Petra ; Fuhrer, Lucas ; Baeriswyl, Romain. In: Working Papers. RePEc:snb:snbwpa:2021-05. Full description at Econpapers || Download paper |
2021 | Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment. (2021). Towbin, Pascal ; Schelling, Tan ; Fuster, Andreas. In: Working Papers. RePEc:snb:snbwpa:2021-10. Full description at Econpapers || Download paper |
2021 | Market news co-moments and currency returns. (2021). Mallik, Girijasankar ; Baghdadabad, Mohammadreza Tavakoli ; Mohammad Reza Tavakoli Baghdadabad, . In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:4:d:10.1007_s00181-020-01951-y. Full description at Econpapers || Download paper |
2021 | Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. (2021). Umar, Zaghum ; Aharon, David Y ; Vo, Xuan Vinh. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00274-w. Full description at Econpapers || Download paper |
2021 | Flexibility and Resilience in Corporate Decision Making: A New Sustainability-Based Risk Management System in Uncertain Times. (2021). Garcia-Muia, Fernando E ; Medina-Salgado, Sonia ; Gonzalez-Sanchez, Rocio ; Settembre-Blundo, Davide. In: Global Journal of Flexible Systems Management. RePEc:spr:gjofsm:v:22:y:2021:i:2:d:10.1007_s40171-021-00277-7. Full description at Econpapers || Download paper |
2021 | The term structure of sovereign credit default swap and the cross?section of exchange rate predictability. (2021). Zeng, Ming ; Calice, Giovanni. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:445-458. Full description at Econpapers || Download paper |
2020 | The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles. (2020). GUPTA, RANGAN ; Demirer, Riza ; Sun, Xiaojin ; Bouri, Elie. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:957-965. Full description at Econpapers || Download paper |
2021 | Intermediary asset pricing in currency carry trade returns. (2021). Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1241-1267. Full description at Econpapers || Download paper |
2022 | The Term Structure of Currency Futures Risk Premia. (2022). Bernoth, Kerstin ; de Vries, Casper ; von Hagen, Jurgen ; Vonhagen, Jurgen. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:5-38. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2010 | International Evidence for Return Predictability and the Implications for Long?Run Covariation of the G7 Stock Markets In: German Economic Review. [Full Text][Citation analysis] | article | 11 |
2010 | International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets.(2010) In: German Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2007 | International evidence for return predictability and the implications for long-run covariation of the G7 stock markets.(2007) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2016 | Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland In: German Economic Review. [Full Text][Citation analysis] | article | 1 |
2016 | Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland.(2016) In: German Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2016 | Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks? In: International Finance. [Full Text][Citation analysis] | article | 0 |
2015 | Is there a too-big-to-fail discount in excess returns on German banks stocks?.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Covered bonds, loan growth and bank funding: The Swiss experience since 1932 In: International Finance. [Full Text][Citation analysis] | article | 1 |
2020 | Carry trade and forward premium puzzle from the perspective of a safe?haven currency In: Review of International Economics. [Full Text][Citation analysis] | article | 1 |
2018 | Carry trade and forward premium puzzle from the perspective of a safe-haven currency.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | Securitization of Mortgage Debt, Asset Prices and International Risk Sharing In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
2008 | Securitization of Mortgage Debt, Asset Prices and International Risk Sharing.(2008) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2012 | Securitization of mortgage debt, domestic lending, and international risk sharing In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 5 |
2012 | Securitization of mortgage debt, domestic lending, and international risk sharing.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2015 | Foreign Currency Returns and Systematic Risks In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 13 |
2011 | Foreign currency returns and systematic risks.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2011 | About the soundness of the US-cay indicator for predicting international banking crises In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2017 | Firm size, economic risks, and the cross-section of international stock returns In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
2010 | Securitization, collateral constraints and consumption risk sharing in the euro area In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
2015 | On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 50 |
2013 | On financial risk and the safe haven characteristics of Swiss franc exchange rates.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2014 | Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
2010 | Cashflow news, the value premium and an asset pricing view on European stock market integration In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
2007 | Cashflow news, the value premium and an asset pricing view on European stock market integration.(2007) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2014 | Currency excess returns and global downside market risk In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 26 |
2013 | Currency excess returns and global downside market risk.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2018 | Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
2013 | The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization In: Review of Financial Economics. [Full Text][Citation analysis] | article | 4 |
2013 | The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization.(2013) In: Review of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2010 | Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 0 |
2016 | Exchange Rate Returns and External Adjustment: Evidence from Switzerland In: Open Economies Review. [Full Text][Citation analysis] | article | 4 |
2014 | Exchange rate returns and external adjustment: evidence from Switzerland.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2005 | The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] | paper | 0 |
2006 | The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability.(2006) In: Technical Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2014 | What News Drive Variation in Swiss and US Bond and Stock Excess Returns? In: Swiss Journal of Economics and Statistics (SJES). [Full Text][Citation analysis] | article | 1 |
2010 | Momentum in stock market returns: Implications for risk premia on foreign currencies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Momentum in stock market returns: implications for risk premia on foreign currencies.(2013) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2012 | Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe.(2011) In: VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2012 | Global and country-specific business cycle risk in time-varying excess returns on asset markets In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2013 | Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012 In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Securitisation, loan growth and bank funding: the Swiss experience since 1932 In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Predicting returns on asset markets of a small, open economy and the influence of global risks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Did Chinas anti-corruption campaign affect the risk premium on stocks of global luxury goods firms? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Stock market evidence on the international transmission channels of US monetary policy surprises In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Habits die hard: implications for bond and stock markets internationally In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | ||
2019 | What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets In: Swiss Journal of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2021 | Central bank reserves and bank lending spreads In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
2013 | The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Risk premia on Swiss government bonds and sectoral stock indexes during international crises: In: Aussenwirtschaft. [Full Text][Citation analysis] | article | 3 |
2006 | Does sensitivity to cashflow news explain the value premium on European stock markets? In: Technical Reports. [Full Text][Citation analysis] | paper | 0 |
2007 | The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Momentum in stock market returns, risk premia on foreign currencies and international financial integration In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
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