6
H index
4
i10 index
199
Citations
Thomas Nitschka : Citation Profile
Schweizerische Nationalbank (SNB) | RESEARCH PRODUCTION: 30 Articles 33 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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18 years (2005 - 2023). 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:
| Cites to:
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Main data
Where Thomas Nitschka has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of International Money and Finance | 4 |
| The North American Journal of Economics and Finance | 2 |
| Financial Markets and Portfolio Management | 2 |
| German Economic Review | 2 |
| Economics Letters | 2 |
| German Economic Review | 2 |
| International Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Swiss National Bank | 18 |
| Technical Reports / Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen | 2 |
Recent works citing Thomas Nitschka (2023 and 2022)
| Year | Title of citing document |
|---|---|
| 2022 | Foreign 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. Full description at Econpapers || Download paper |
| 2022 | Will 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. Full description at Econpapers || Download paper |
| 2023 | Price 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. Full description at Econpapers || Download paper |
| 2023 | Hedge 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. Full description at Econpapers || Download paper |
| 2023 | Spillover 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. Full description at Econpapers || Download paper |
| 2022 | Uncovered 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. Full description at Econpapers || Download paper |
| 2022 | Safe 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. Full description at Econpapers || Download paper |
| 2022 | The 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. Full description at Econpapers || Download paper |
| 2023 | Safe 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. Full description at Econpapers || Download paper |
| 2022 | What 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. 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 |
| 2022 | The 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. Full description at Econpapers || Download paper |
| 2023 | An 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. Full description at Econpapers || Download paper |
| 2022 | Do 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. Full description at Econpapers || Download paper |
| 2022 | How 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. Full description at Econpapers || Download paper |
| 2022 | When 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. Full description at Econpapers || Download paper |
| 2022 | False 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. Full description at Econpapers || Download paper |
| 2022 | Is 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. Full description at Econpapers || Download paper |
| 2023 | Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia. (2023). Zhang, Xin ; Mirkov, Nikola. In: Working Paper Series. RePEc:fip:fedfwp:96602. Full description at Econpapers || Download paper |
| 2023 | Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance. (2023). Hetland, Simon Thinggaard. In: Working Paper Series. RePEc:fip:fedfwp:96604. 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 |
| 2023 | Market 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.. 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 |
| 2022 | Hedge 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. 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 |
| 2022 | The exchange rate elasticity of the Swiss current account. (2022). Eugster, Johannes ; Donato, Giovanni. In: Working Papers. RePEc:snb:snbwpa:2022-14. Full description at Econpapers || Download paper |
| 2022 | U.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. Full description at Econpapers || Download paper |
| 2023 | Regime-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. 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 |
Works by Thomas Nitschka:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 14 |
| 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: 14 | 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: 14 | 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 | 6 |
| 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: 6 | 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 |
| 2023 | Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2015 | On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 70 |
| 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: 70 | 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 | 8 |
| 2023 | Stock market evidence on the international transmission channels of US monetary policy surprises In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Stock market evidence on the international transmission channels of US monetary policy surprises.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 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 | 31 |
| 2013 | Currency excess returns and global downside market risk.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | 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 |
| 2022 | China’s anti-corruption campaign and stock returns of luxury goods firms 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 |
| 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 | 4 |
| 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 |
| 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 | ||
| 2022 | Responses of Swiss bond yields and stock prices to ECB policy surprises In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 5 |
| 2013 | Momentum in stock market returns: implications for risk premia on foreign currencies In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 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 |
| In: . [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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