Thomas Nitschka : Citation Profile


Are you Thomas Nitschka?

Schweizerische Nationalbank (SNB)

6

H index

4

i10 index

199

Citations

RESEARCH PRODUCTION:

30

Articles

33

Papers

RESEARCH ACTIVITY:

   18 years (2005 - 2023). See details.
   Cites by year: 11
   Journals where Thomas Nitschka has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 29 (12.72 %)

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   Permalink: http://citec.repec.org/pni214
   Updated: 2023-11-04    RAS profile: 2023-08-05    
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Relations with other researchers


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:

Sakemoto, Ryuta (12)

Byrne, Joseph (10)

GUPTA, RANGAN (8)

Demirer, Riza (7)

Yesin, Pinar (5)

Tille, Cédric (4)

Towbin, Pascal (4)

Bénétrix, Agustín (4)

Frei, Lukas (3)

Leutert, Jessica (3)

LO PRETE, Anna (3)

Cites to:

Campbell, John (115)

Cochrane, John (36)

Lustig, Hanno (35)

Hoffmann, Mathias (31)

Verdelhan, Adrien (30)

French, Kenneth (28)

Shiller, Robert (24)

West, Kenneth (24)

Lettau, Martin (23)

Lane, Philip (22)

Milesi-Ferretti, Gian Maria (21)

Main data


Where Thomas Nitschka has published?


Journals with more than one article published# docs
Journal of International Money and Finance4
The North American Journal of Economics and Finance2
Financial Markets and Portfolio Management2
German Economic Review2
Economics Letters2
German Economic Review2
International Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Swiss National Bank18
Technical Reports / Technische Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen2

Recent works citing Thomas Nitschka (2023 and 2022)


YearTitle of citing document
2022Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489.

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2022Will monetary policy affect energy security? Evidence from Asian countries. (2022). Wang, Quan-Jing. In: Journal of Asian Economics. RePEc:eee:asieco:v:81:y:2022:i:c:s104900782200063x.

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2023Price fairness: Clean energy stocks and the overall market. (2023). Ahn, Kwangwon ; Yi, Eojin ; Park, Kwangyeol ; Choi, Gahyun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:168:y:2023:i:c:s0960077922012280.

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2023Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period. (2023). Yousaf, Imran ; GUPTA, RANGAN ; Bouri, Elie ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001796.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2022Uncovered interest rate parity redux: Non-uniform effects. (2022). Cheung, Yin-Wong ; Wang, Wenhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:133-151.

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2022Safe haven properties of green, Islamic, and crypto assets and investors proclivity towards treasury and gold. (2022). Umar, Muhammad ; Mirza, Nawazish ; Naqvi, Bushra ; Abbas, Syed Kumail. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005254.

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2022The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?. (2022). Szulczyk, Kenneth R ; Faff, Robert ; Cheema, Muhammad A. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002691.

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2023Safe haven for crude oil: Gold or currencies?. (2023). Dong, Minyi ; Yang, Shenggang ; Tian, Xinyi ; Ming, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001666.

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2022What lies beneath—Negative interest rates and bank lending. (2022). Towbin, Pascal ; Schelling, Tan. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:51:y:2022:i:c:s1042957322000225.

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2022Global 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.

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2022The time-varying risk price of currency portfolios. (2022). Sakemoto, Ryuta ; Ibrahim, Boulis Maher ; Byrne, Joseph P. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000390.

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2023An investment-based explanation of currency excess returns. (2023). Smallwood, Aaron D ; Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000311.

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2022Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?. (2022). Kamal, Javed Bin ; Wohar, Mark. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003646.

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2022How resilient are Islamic financial markets during the COVID-19 pandemic?. (2022). Sarker, Tapan ; Shafiullah, Muhammad ; Rashid, Md Mamunur ; Hasan, Md Bokhtiar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001123.

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2022When complexity meets finance: A contribution to the study of the macroeconomic effects of complex financial systems. (2022). Russo, Alberto ; Caverzasi, Eugenio ; Botta, Alberto. In: Research Policy. RePEc:eee:respol:v:51:y:2022:i:8:s0048733320300706.

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2022False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network. (2022). Będowska-Sójka, Barbara ; Perez, Katarzyna ; Grobelny, Przemysaw ; Bdowska-Sojka, Barbara ; Kaczmarek, Tomasz. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002312.

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2022Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions. (2022). Just, Magorzata ; Echaust, Krzysztof. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s027553192200174x.

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2023Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia. (2023). Zhang, Xin ; Mirkov, Nikola. In: Working Paper Series. RePEc:fip:fedfwp:96602.

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2023Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance. (2023). Hetland, Simon Thinggaard. In: Working Paper Series. RePEc:fip:fedfwp:96604.

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2022Mortgage-Backed Securities. (2022). Vickery, James ; Lucca, David ; Fuster, Andreas. In: Staff Reports. RePEc:fip:fednsr:93695.

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2023Market Timing and Predictability in FX Markets. (2023). Tran, Ngoc-Khanh ; To, Thuy-Duong ; Maurer, Thomas A. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:223-246..

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2022Exploring 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.

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2022Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500. (2022). Gupta, Rangan ; Bouri, Elie ; Plakandaras, Vasilios ; Yousaf, Imran. In: Working Papers. RePEc:pre:wpaper:202227.

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2022Can 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.

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2022The exchange rate elasticity of the Swiss current account. (2022). Eugster, Johannes ; Donato, Giovanni. In: Working Papers. RePEc:snb:snbwpa:2022-14.

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2022U.S. monetary policy and the predictability of global economic synchronization patterns. (2022). Demirer, Riza ; Balcilar, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:46:y:2022:i:3:d:10.1007_s12197-022-09577-9.

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2023Regime-dependent drivers of the EUR/CHF exchange rate. (2023). Stockl, Sebastian ; Hanke, Michael ; Kotlarz, Piotr. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00107-w.

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2022The 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.

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Works by Thomas Nitschka:


YearTitleTypeCited
2010International Evidence for Return Predictability and the Implications for Long?Run Covariation of the G7 Stock Markets In: German Economic Review.
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2010International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets.(2010) In: German Economic Review.
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2007International evidence for return predictability and the implications for long-run covariation of the G7 stock markets.(2007) In: IEW - Working Papers.
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2016Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland In: German Economic Review.
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article1
2016Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland.(2016) In: German Economic Review.
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This paper has another version. Agregated cites: 1
article
2016Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks? In: International Finance.
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2015Is there a too-big-to-fail discount in excess returns on German banks stocks?.(2015) In: Working Papers.
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2021Covered bonds, loan growth and bank funding: The Swiss experience since 1932 In: International Finance.
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article1
2020Carry trade and forward premium puzzle from the perspective of a safe?haven currency In: Review of International Economics.
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article1
2018Carry trade and forward premium puzzle from the perspective of a safe-haven currency.(2018) In: Working Papers.
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2009Securitization of Mortgage Debt, Asset Prices and International Risk Sharing In: CESifo Working Paper Series.
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2008Securitization of Mortgage Debt, Asset Prices and International Risk Sharing.(2008) In: IEW - Working Papers.
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This paper has another version. Agregated cites: 7
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2012Securitization of mortgage debt, domestic lending, and international risk sharing In: Canadian Journal of Economics.
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2012Securitization of mortgage debt, domestic lending, and international risk sharing.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has another version. Agregated cites: 6
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2015Foreign Currency Returns and Systematic Risks In: Journal of Financial and Quantitative Analysis.
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2011Foreign currency returns and systematic risks.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 13
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2011About the soundness of the US-cay indicator for predicting international banking crises In: The North American Journal of Economics and Finance.
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article1
2017Firm size, economic risks, and the cross-section of international stock returns In: The North American Journal of Economics and Finance.
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article4
2010Securitization, collateral constraints and consumption risk sharing in the euro area In: Economics Letters.
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article3
2023Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy In: Economics Letters.
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2015On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance.
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2013On financial risk and the safe haven characteristics of Swiss franc exchange rates.(2013) In: Working Papers.
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2014Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns In: Journal of Banking & Finance.
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2023Stock market evidence on the international transmission channels of US monetary policy surprises In: Journal of International Money and Finance.
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2020Stock market evidence on the international transmission channels of US monetary policy surprises.(2020) In: Working Papers.
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2010Cashflow news, the value premium and an asset pricing view on European stock market integration In: Journal of International Money and Finance.
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2007Cashflow news, the value premium and an asset pricing view on European stock market integration.(2007) In: IEW - Working Papers.
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2014Currency excess returns and global downside market risk In: Journal of International Money and Finance.
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article31
2013Currency excess returns and global downside market risk.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 31
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2018Bond 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.
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2013The 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.
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2013The 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.
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This paper has another version. Agregated cites: 4
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2010Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence In: Financial Markets and Portfolio Management.
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2022China’s anti-corruption campaign and stock returns of luxury goods firms In: Financial Markets and Portfolio Management.
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2016Exchange Rate Returns and External Adjustment: Evidence from Switzerland In: Open Economies Review.
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2014Exchange rate returns and external adjustment: evidence from Switzerland.(2014) In: Working Papers.
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2005The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability In: Money Macro and Finance (MMF) Research Group Conference 2005.
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2006The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability.(2006) In: Technical Reports.
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2014What News Drive Variation in Swiss and US Bond and Stock Excess Returns? In: Swiss Journal of Economics and Statistics (SJES).
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2010Momentum in stock market returns: Implications for risk premia on foreign currencies In: Working Papers.
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2012Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe In: Working Papers.
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2011Banking 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.
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2012Global and country-specific business cycle risk in time-varying excess returns on asset markets In: Working Papers.
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2013Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012 In: Working Papers.
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2014The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns? In: Working Papers.
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2014Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market In: Working Papers.
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2016Securitisation, loan growth and bank funding: the Swiss experience since 1932 In: Working Papers.
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2017Predicting returns on asset markets of a small, open economy and the influence of global risks In: Working Papers.
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2018Did Chinas anti-corruption campaign affect the risk premium on stocks of global luxury goods firms? In: Working Papers.
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2021Habits die hard: implications for bond and stock markets internationally In: Working Papers.
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2022Responses of Swiss bond yields and stock prices to ECB policy surprises In: Working Papers.
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2019What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets In: Swiss Journal of Economics and Statistics.
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2021Central bank reserves and bank lending spreads In: Applied Economics Letters.
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2013Momentum in stock market returns: implications for risk premia on foreign currencies In: Applied Financial Economics.
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2013The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns In: Tinbergen Institute Discussion Papers.
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2016Risk premia on Swiss government bonds and sectoral stock indexes during international crises: In: Aussenwirtschaft.
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2006Does sensitivity to cashflow news explain the value premium on European stock markets? In: Technical Reports.
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In: .
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2007The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective In: IEW - Working Papers.
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2007Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies In: IEW - Working Papers.
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2008The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate In: IEW - Working Papers.
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2009Momentum in stock market returns, risk premia on foreign currencies and international financial integration In: IEW - Working Papers.
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