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Thomas Nitschka

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Dr. Thomas Nitschka & David Haab, 2018. "Carry trade and forward premium puzzle from the perspective of a safe-haven currency," Working Papers 2018-17, Swiss National Bank.

    Cited by:

    1. Diana Zigraiova & Tomas Havranek & Jiri Novak, 2020. "How puzzling is the forward premium puzzle? A meta-analysis," Working Papers 46, European Stability Mechanism.

  2. Jonas Meuli & Dr. Thomas Nellen & Dr. Thomas Nitschka, 2016. "Securitisation, loan growth and bank funding: the Swiss experience since 1932," Working Papers 2016-18, Swiss National Bank.

    Cited by:

    1. Jesper Berg & Morten Bækmand Nielsen & James Vickery, 2018. "Peas in a pod? Comparing the U.S. and Danish mortgage finance systems," Economic Policy Review, Federal Reserve Bank of New York, issue 24-3, pages 63-87.
    2. Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2018. "Asset encumbrance, bank funding and fragility," LSE Research Online Documents on Economics 118919, London School of Economics and Political Science, LSE Library.
    3. Adriel Jost, 2017. "Is Monetary Policy Too Complex for the Public? Evidence from the UK," Working Papers 2017-15, Swiss National Bank.

  3. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.

    Cited by:

    1. David Haab & Dr. Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.

  4. Dr. Thomas Nitschka, 2014. "Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market," Working Papers 2014-13, Swiss National Bank.

    Cited by:

    1. Nicolas Stoffels & Cédric Tille, 2018. "Do Swiss foreign assets hedge the business cycle?," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 69(01), pages 1-40, December.
    2. Agust n S. B n trix & Philip R. Lane, "undated". "Cross-Country Exposures to the Swiss Franc," Trinity Economics Papers tep0116, Trinity College Dublin, Department of Economics.

  5. Dr. Christian Grisse & Dr. Thomas Nitschka, 2014. "Exchange rate returns and external adjustment: evidence from Switzerland," Working Papers 2014-12, Swiss National Bank.

    Cited by:

    1. Makoto Shimizu, 2020. "The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate," Open Economies Review, Springer, vol. 31(5), pages 1037-1059, November.
    2. Agust n S. B n trix & Philip R. Lane, "undated". "Cross-Country Exposures to the Swiss Franc," Trinity Economics Papers tep0116, Trinity College Dublin, Department of Economics.

  6. Victoria Galsband & Dr. Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.

    Cited by:

    1. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    2. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    3. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    4. Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022. "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
    5. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    6. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
    7. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2018. "Global idiosyncratic risk moments," Empirical Economics, Springer, vol. 55(2), pages 731-764, September.
    8. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
    9. Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    10. Victoria Dobrynskaya, 2020. "Is Downside Risk Priced In Cryptocurrency Market?," HSE Working papers WP BRP 79/FE/2020, National Research University Higher School of Economics.
    11. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    12. Victoria Atanasov, 2016. "Conditional interest rate risk and the cross‐section of excess stock returns," Review of Financial Economics, John Wiley & Sons, vol. 30(1), pages 23-32, September.
    13. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    14. Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
    15. Ziyun Zhang & Sen Guo, 2021. "What Factors Affect the RMB Carry Trade Return for Sustainability? An Empirical Analysis by Using an ARDL Model," Sustainability, MDPI, vol. 13(24), pages 1-19, December.
    16. Atanasov, Victoria, 2016. "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, vol. 30(C), pages 23-32.
    17. Lu, Wenna & Copeland, Laurence & Xu, Yongdeng, 2021. "The Pricing of Unexpected Volatility in the Currency Market," Cardiff Economics Working Papers E2021/16, Cardiff University, Cardiff Business School, Economics Section.
    18. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2018. "Common information in carry trade risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 37-47.
    19. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
    20. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
    21. Wang, Xi & Yang, Jiao-Hui & Wang, Kai-Li & Fawson, Christopher, 2017. "Dynamic information spillovers in intraregionally-focused spot and forward currency markets," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 78-110.
    22. Kanchanapoom Termkiat & Padungsaksawasdi Chaiyuth & Chunhachinda Pornchai & de Boyrie Maria E., 2018. "Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials," Global Economy Journal, De Gruyter, vol. 18(3), pages 1-11, September.
    23. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
    24. Chen, Zilin & Gang, Jianhua & Qian, Zongxin, 2021. "Stock returns and carry trades," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    25. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
    26. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    27. Victoria Dobrynskaya, 2015. "Currency Exposure to Downside Risk: Which Fundamentals Matter?," Review of International Economics, Wiley Blackwell, vol. 23(2), pages 345-360, May.
    28. Jessica Leutert, 2018. "The Swiss franc safety premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-21, December.
    29. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020. "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin 1866, DIW Berlin, German Institute for Economic Research.
    30. Dupuy, Philippe, 2015. "The tail risk premia of the carry trades," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 123-145.

  7. Dr. Christian Grisse & Dr. Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers 2013-04, Swiss National Bank.

    Cited by:

    1. Chen Gu & Ann Marie Hibbert, 2021. "Expectations and financial markets: Lessons from Brexit," The Financial Review, Eastern Finance Association, vol. 56(2), pages 279-299, May.
    2. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
    3. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    4. Dr. Thomas Nitschka, 2014. "Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market," Working Papers 2014-13, Swiss National Bank.
    5. Feld, Lars P. & Köhler, Ekkehard A., 2015. "Is Switzerland an interest rate island after all? Time series and non-linear switching regime evidence," Freiburg Discussion Papers on Constitutional Economics 15/08, Walter Eucken Institut e.V..
    6. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    7. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
    8. Siemaszkiewicz Karolina, 2021. "Safe Haven Instruments – A Comparison Between the Global Financial Crisis and the Covid-19 Pandemic," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 25(4), pages 1-16, December.
    9. Janani Sri S. & Parthajit Kayal & G. Balasubramanian, 2022. "Can Equity be Safe-haven for Investment?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 32-63, March.
    10. Adrian Jäggi & Martin Schlegel & Attilio Zanetti, 2019. "Macroeconomic surprises, market environment, and safe-haven currencies," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-21, December.
    11. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    12. Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023. "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-18, December.
    13. Dao, Thong M. & McGroarty, Frank & Urquhart, Andrew, 2019. "The Brexit vote and currency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 59(C), pages 153-164.
    14. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
    15. David Haab & Dr. Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
    16. Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
    17. Gregor Bäurle & Rolf Scheufele, 2019. "Credit cycles and real activity: the Swiss case," Empirical Economics, Springer, vol. 56(6), pages 1939-1966, June.
    18. Dr. Pinar Yesin, 2016. "Exchange Rate Predictability and State-of-the-Art Models," Working Papers 2016-02, Swiss National Bank.
    19. Bruno Thiago Tomio & Guillaume Vallet, 2021. "Carry Trade and Negative Policy Rates in Switzerland : Low-lying fog or storm ?," Post-Print halshs-03669561, HAL.
    20. Pedini, Luca & Severini, Sabrina, 2022. "Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis," MPRA Paper 112339, University Library of Munich, Germany.
    21. Kim, Young Min & Lee, Seojin, 2023. "Spillover shifts in the FX market: Implication for the behavior of a safe haven currency," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    22. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    23. David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
    24. Holger Fink & Andreas Fuest & Henry Port, 2018. "The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates," Risks, MDPI, vol. 6(3), pages 1-19, August.
    25. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
    26. Rasmus Fatum & Yohei Yamamoto, 2014. "Intra-safe haven currency behavior during the global financial crisis," Globalization Institute Working Papers 199, Federal Reserve Bank of Dallas.
    27. Bouri, Elie & Hussain Shahzad, Syed Jawad & Roubaud, David, 2020. "Cryptocurrencies as hedges and safe-havens for US equity sectors," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 294-307.
    28. Hasan, Md. Bokhtiar & Rashid, Md. Mamunur & Shafiullah, Muhammad & Sarker, Tapan, 2022. "How resilient are Islamic financial markets during the COVID-19 pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    29. Jens H. E. Christensen & Simon Thinggaard Hetland, 2023. "Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance," Working Paper Series 2023-24, Federal Reserve Bank of San Francisco.
    30. Beirne, John & Sugandi, Eric, 2023. "Risk-off shocks and spillovers in safe havens," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    31. Virginie Coudert & Cyriac Guillaumin & Hélene Raymond, 2014. "Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?," Working Papers 2014-03, CEPII research center.
    32. Sakurai, Yuji, 2021. "How has the relationship between safe haven assets and the US stock market changed after the global financial crisis?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    33. MASUJIMA Yuki, 2019. "Time-Variant Safe-Haven Currency Status and Determinants," Discussion papers 19048, Research Institute of Economy, Trade and Industry (RIETI).
    34. Pınar Yeşin, 2017. "Capital Flows and the Swiss Franc," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 153(4), pages 403-436, October.
    35. Mr. Reinout De Bock & Mr. Irineu E de Carvalho Filho, 2013. "The Behavior of Currencies during Risk-off Episodes," IMF Working Papers 2013/008, International Monetary Fund.
    36. Adediran, Idris A. & Yinusa, Olalekan D. & Lakhani, Kanwal Hammad, 2021. "Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?," Resources Policy, Elsevier, vol. 70(C).
    37. Adnen Ben Nasr & Matteo Bonato & Riza Demirer & Rangan Gupta, 2019. "Investor Sentiment and Crash Risk in Safe Havens," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 97-108.
    38. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    39. Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simón, 2018. "Volatility spillovers between foreign exchange and stock markets in industrialized countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 121-136.
    40. Michael Funke & Julius Loermann & Richhild Moessner, 2017. "The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?," BIS Working Papers 652, Bank for International Settlements.
    41. Katarzyna Czech & Michał Wielechowski & Pavel Kotyza & Irena Benešová & Adriana Laputková, 2020. "Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets," Sustainability, MDPI, vol. 12(15), pages 1-19, August.
    42. Tachibana, Minoru, 2018. "Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach," Global Finance Journal, Elsevier, vol. 35(C), pages 82-96.
    43. Kaczmarek, Tomasz & Będowska-Sójka, Barbara & Grobelny, Przemysław & Perez, Katarzyna, 2022. "False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network," Research in International Business and Finance, Elsevier, vol. 60(C).
    44. Thomas Nitschka, 2016. "Risk premia on Swiss government bonds and sectoral stock indexes during international crises:," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 67(02), pages 51-67, August.
    45. Dr. Christian Grisse & Dr. Thomas Nitschka, 2014. "Exchange rate returns and external adjustment: evidence from Switzerland," Working Papers 2014-12, Swiss National Bank.
    46. Cheema, Muhammad A. & Faff, Robert & Szulczyk, Kenneth R., 2022. "The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    47. Dimitris Anastasiou & Panayotis Kapopoulos & Kalliopi-Maria Zekente, 2023. "Sentimental Shocks and House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 627-655, November.
    48. Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2022. "Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500," Working Papers 202227, University of Pretoria, Department of Economics.
    49. Nader Trabelsi, 2018. "Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?," JRFM, MDPI, vol. 11(4), pages 1-17, October.
    50. Alexandra Janssen & Rahel Studer, 2014. "The Swiss franc's honeymoon," ECON - Working Papers 170, Department of Economics - University of Zurich, revised Jan 2017.
    51. Balcilar, Mehmet & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2020. "The effect of global and regional stock market shocks on safe haven assets," Structural Change and Economic Dynamics, Elsevier, vol. 54(C), pages 297-308.
    52. Dr. Fabian Fink & Dr. Lukas Frei & Dr. Oliver Gloede, 2020. "Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc," Working Papers 2020-21, Swiss National Bank.
    53. Brian D. Deaton, 2018. "Effects of the Swiss Franc/Euro Exchange Rate Floor on the Calibration of Probability Forecasts," Forecasting, MDPI, vol. 1(1), pages 1-23, May.
    54. Jens H. E. Christensen & Nikola Mirkov & Xin Zhang, 2023. "Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia," Working Paper Series 2023-23, Federal Reserve Bank of San Francisco.
    55. Ji, Qiang & Zhang, Dayong & Zhao, Yuqian, 2020. "Searching for safe-haven assets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 71(C).
    56. Yousaf, Imran & Plakandaras, Vasilios & Bouri, Elie & Gupta, Rangan, 2023. "Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    57. Johannes Eugster & Giovanni Donato, 2022. "The exchange rate elasticity of the Swiss current account," Working Papers 2022-14, Swiss National Bank.
    58. Hasan, Md. Bokhtiar & Hassan, M. Kabir & Rashid, Md. Mamunur & Alhenawi, Yasser, 2021. "Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?," Global Finance Journal, Elsevier, vol. 50(C).
    59. Streit, Daniel, 2016. "Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 289-312.
    60. Dr. Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.
    61. Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad, 2022. "Safe haven properties of green, Islamic, and crypto assets and investor's proclivity towards treasury and gold," Energy Economics, Elsevier, vol. 115(C).
    62. Parthajit Kayal & Janani Sri SG, 2020. "Going Beyond Gold: Can Equities be Safe-Haven?," Working Papers 2020-203, Madras School of Economics,Chennai,India.
    63. Fink, Fabian & Frei, Lukas & Gloede, Oliver, 2022. "Global risk sentiment and the Swiss franc: A time-varying daily factor decomposition model," Journal of International Money and Finance, Elsevier, vol. 122(C).
    64. Mollick, André Varella & Sakaki, Hamid, 2019. "Exchange rates, oil prices and world stock returns," Resources Policy, Elsevier, vol. 61(C), pages 585-602.
    65. Výrost, Tomas & Lyócsa, Štefan & Baumöhl, Eduard, 2019. "Network-based asset allocation strategies," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 516-536.
    66. Echaust, Krzysztof & Just, Małgorzata, 2022. "Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions," Research in International Business and Finance, Elsevier, vol. 63(C).
    67. Jessica Leutert, 2018. "The Swiss franc safety premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-21, December.
    68. Mile Bošnjak, 2018. "Swiss Franc from the Croatian Perspective," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(3), pages 41-56.
    69. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach," Working Papers 201915, University of Pretoria, Department of Economics.
    70. Ming, Lei & Yang, Ping & Tian, Xinyi & Yang, Shenggang & Dong, Minyi, 2023. "Safe haven for crude oil: Gold or currencies?," Finance Research Letters, Elsevier, vol. 54(C).

  8. Nikolay Markov & Dr. Thomas Nitschka, 2013. "Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012," Working Papers 2013-08, Swiss National Bank.

    Cited by:

    1. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
    2. Matthieu Verstraete & Lena Suchanek, 2017. "Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey," Staff Working Papers 17-24, Bank of Canada.

  9. Dr. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.

    Cited by:

    1. Nitschka, Thomas, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, Elsevier, vol. 22(3), pages 118-124.
    2. Stelios Bekiros & Syed Jawad Hussain Shahzad & Jose Arreola-Hernandez & Mobeen Ur Rehman, 2018. "Directional predictability and time-varying spillovers between stock markets and economic cycles," Post-Print hal-01996787, HAL.
    3. Si, Deng-Kui & Liu, Xi-Hua & Kong, Xianli, 2019. "The comovement and causality between stock market cycle and business cycle in China: Evidence from a wavelet analysis," Economic Modelling, Elsevier, vol. 83(C), pages 17-30.
    4. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
    5. Møller, Stig V. & Nørholm, Henrik & Rangvid, Jesper, 2014. "Consumer confidence or the business cycle: What matters more for European expected returns?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 230-248.

  10. Victoria Galsband & Dr. Thomas Nitschka, 2011. "Foreign currency returns and systematic risks," Working Papers 2011-03, Swiss National Bank.

    Cited by:

    1. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
    2. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    3. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    4. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    5. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    6. Daniel Danau, 2018. "Prudence and preference for flexibility gain," Working Papers hal-01806743, HAL.
    7. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
    8. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    9. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
    10. Polsitty R. Kumar & Giuseppe T. Cirella, 2020. "Globalization – Reflective Outlook," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 9(1), pages 42-50, March.
    11. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
    12. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    13. Tan Le & Franck Martin & Duc Nguyen, 2018. "Dynamic connectedness of global currencies: a conditional Granger-causality approach," Working Papers hal-01806733, HAL.

  11. Dr. Thomas Nitschka, 2010. "Momentum in stock market returns: Implications for risk premia on foreign currencies," Working Papers 2010-11, Swiss National Bank.

    Cited by:

    1. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.

  12. Mathias Hoffmann & Thomas Nitschka, 2009. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," CESifo Working Paper Series 2527, CESifo.

    Cited by:

    1. Markus Leibrecht & Johann Scharler, 2009. "Banks, Financial Markets and International Consumption Risk Sharing," Economics working papers 2009-14, Department of Economics, Johannes Kepler University Linz, Austria.
    2. Sa, Filipa & Towbin, Pascal & wieladek, tomasz, 2011. "Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation," Bank of England working papers 411, Bank of England.
    3. Dr. Thomas Nitschka, 2012. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Working Papers 2012-04, Swiss National Bank.
    4. Zhu, Bing & Betzinger, Michael & Sebastian, Steffen, 2017. "Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area," Journal of Housing Economics, Elsevier, vol. 37(C), pages 1-21.
    5. Nitschka, Thomas, 2010. "Securitization, collateral constraints and consumption risk sharing in the euro area," Economics Letters, Elsevier, vol. 106(3), pages 197-199, March.
    6. Heike Joebges & Sebastian Dullien & Alejandro Márquez-Velázquez, 2015. "What causes housing bubbles?," IMK Studies 43-2015, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    7. Heike Joebges & Sebastian Dullien & Alejandro Márquez-Velázquez, 2015. "What causes housing bubbles? A theoretical and empirical inquiry," Competence Centre on Money, Trade, Finance and Development 1501, Hochschule fuer Technik und Wirtschaft, Berlin.
    8. Filipa Sá & Pascal Towbin & Tomasz Wieladek, 2014. "Capital Inflows, Financial Structure And Housing Booms," Journal of the European Economic Association, European Economic Association, vol. 12(2), pages 522-546, April.
    9. Nitschka, Thomas, 2011. "About the soundness of the US-cay indicator for predicting international banking crises," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 237-256.

  13. Thomas Nitschka, 2008. "The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate," IEW - Working Papers 385, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers 376, Institute for Empirical Research in Economics - University of Zurich.
    2. Nitschka, Thomas, 2010. "Securitization, collateral constraints and consumption risk sharing in the euro area," Economics Letters, Elsevier, vol. 106(3), pages 197-199, March.
    3. Mathias Hoffmann & Toshihiro Okubo, 2021. "Comparative advantage and pathways to financial development: evidence from Japan’s silk-reeling industry," IEW - Working Papers 387, Institute for Empirical Research in Economics - University of Zurich.

  14. Thomas Nitschka, 2007. "Cashflow news, the value premium and an asset pricing view on European stock market integration," IEW - Working Papers 339, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Dr. Thomas Nitschka, 2014. "Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market," Working Papers 2014-13, Swiss National Bank.
    2. David Haab & Dr. Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
    3. Dr. Thomas Nitschka, 2015. "Is there a too-big-to-fail discount in excess returns on German banks' stocks?," Working Papers 2015-08, Swiss National Bank.
    4. David R. Haab & Thomas Nitschka, 2019. "What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.
    5. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
    6. Maurer, Tim D. & Nitschka, Thomas, 2023. "Stock market evidence on the international transmission channels of US monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 136(C).
    7. Victoria Atanasov & Thomas Nitschka, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
    8. Yamani, Ehab A. & Swanson, Peggy E., 2014. "Financial crises and the global value premium: Revisiting Fama and French," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 115-136.

  15. Thomas Nitschka, 2007. "International evidence for return predictability and the implications for long-run covariation of the G7 stock markets," IEW - Working Papers 338, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 309-318.
    2. Choi, Gahyun & Park, Kwangyeol & Yi, Eojin & Ahn, Kwangwon, 2023. "Price fairness: Clean energy stocks and the overall market," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    3. Castro, Andressa Monteiro de & Issler, João Victor, 2016. "Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
    4. Dr. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
    5. Nitschka, Thomas, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, Elsevier, vol. 22(3), pages 118-124.
    6. Khurshid M. Kiani, 2016. "On Modelling and Forecasting Predictable Components in European Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 487-502, October.
    7. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers 376, Institute for Empirical Research in Economics - University of Zurich.
    8. Dr. Thomas Nitschka, 2012. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Working Papers 2012-04, Swiss National Bank.
    9. H. -L. Shi & W. -X. Zhou, 2017. "Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets," Papers 1707.05552, arXiv.org.
    10. Thomas Nitschka, 2007. "Cashflow news, the value premium and an asset pricing view on European stock market integration," IEW - Working Papers 339, Institute for Empirical Research in Economics - University of Zurich.
    11. Nitschka, Thomas, 2010. "Securitization, collateral constraints and consumption risk sharing in the euro area," Economics Letters, Elsevier, vol. 106(3), pages 197-199, March.
    12. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    13. Su, Xianfang, 2020. "Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    14. Dr. Alain Galli, 2016. "How reliable are cointegration-based estimates for wealth effects on consumption? Evidence from Switzerland," Working Papers 2016-03, Swiss National Bank.
    15. Thomas Nitschka, 2010. "Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(1), pages 49-65, March.
    16. Nitschka, Thomas, 2014. "Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 76-82.
    17. Nitschka, Thomas, 2011. "About the soundness of the US-cay indicator for predicting international banking crises," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 237-256.
    18. Thomas Nitschka, 2008. "The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate," IEW - Working Papers 385, Institute for Empirical Research in Economics - University of Zurich.

  16. Thomas Nitschka, 2007. "Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies," IEW - Working Papers 340, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Olga Klinkowska & Angelica Gonzalez & Abhay Abhyankar, 2012. "Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information," 2012 Meeting Papers 56, Society for Economic Dynamics.

Articles

  1. Lucas Marc Fuhrer & Thomas Nitschka & Dan Wunderli, 2021. "Central bank reserves and bank lending spreads," Applied Economics Letters, Taylor & Francis Journals, vol. 28(15), pages 1301-1305, September.

    Cited by:

    1. Wang, Ke & Wang, Yi-Wei & Wang, Quan-Jing, 2022. "Will monetary policy affect energy security? Evidence from Asian countries," Journal of Asian Economics, Elsevier, vol. 81(C).
    2. Nicole Aregger & Jessica Leutert, 2023. "Countering Appreciation Pressure with Unconventional Monetary Policy: The Role of Financial Frictions," International Journal of Central Banking, International Journal of Central Banking, vol. 19(4), pages 251-337, October.
    3. Schelling, Tan & Towbin, Pascal, 2022. "What lies beneath—Negative interest rates and bank lending," Journal of Financial Intermediation, Elsevier, vol. 51(C).
    4. Dr. Romain Baeriswyl & Dr. Lucas Marc Fuhrer & Dr. Petra Gerlach & Dr. Jörn Tenhofen, 2021. "The dynamics of bank rates in a negative-rate environment - the Swiss case," Working Papers 2021-05, Swiss National Bank.
    5. Dr. Andreas Fuster & Tan Schelling & Dr. Pascal Towbin, 2021. "Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment," Working Papers 2021-10, Swiss National Bank.

  2. Jonas Meuli & Thomas Nellen & Thomas Nitschka, 2021. "Covered bonds, loan growth and bank funding: The Swiss experience since 1932," International Finance, Wiley Blackwell, vol. 24(1), pages 77-94, April.

    Cited by:

    1. Lucca, David & Vickery, James, 2022. "Mortgage-Backed Securities," CEPR Discussion Papers 16989, C.E.P.R. Discussion Papers.

  3. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
    See citations under working paper version above.
  4. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.

    Cited by:

    1. Adam Zaremba & George Kambouris, 2019. "The sources of momentum in international government bond returns," Applied Economics, Taylor & Francis Journals, vol. 51(8), pages 848-857, February.
    2. Shaozhen Chen & Bangqian Zhang & Jinjin Deng, 2018. "Research on Risk Measurement in Financial Market Based on GARCH-VaR and FHS¡ª¡ªAn Example of Chinese Bond Market," Applied Economics and Finance, Redfame publishing, vol. 5(4), pages 102-116, July.

  5. Atanasov, Victoria & Nitschka, Thomas, 2017. "Firm size, economic risks, and the cross-section of international stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 110-126.

    Cited by:

    1. Davide Settembre-Blundo & Rocío González-Sánchez & Sonia Medina-Salgado & Fernando E. García-Muiña, 2021. "Flexibility and Resilience in Corporate Decision Making: A New Sustainability-Based Risk Management System in Uncertain Times," Global Journal of Flexible Systems Management, Springer;Global Institute of Flexible Systems Management, vol. 22(2), pages 107-132, December.
    2. Ni, Yensen & Huang, Paoyu & Chen, Yuhsin, 2019. "Board structure, considerable capital, and stock price overreaction informativeness in terms of technical indicators," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 514-528.
    3. Marie Ligocka, 2019. "The E?ect of Financial Ratios on the Stock Prices: Evidence from the Polish Stock Exchange," ACTA VSFS, University of Finance and Administration, vol. 13(1), pages 44-60.
    4. Jung Park, Yuen & Kutan, Ali M. & Ryu, Doojin, 2019. "The impacts of overseas market shocks on the CDS-option basis," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 622-636.

  6. Christian Grisse & Thomas Nitschka, 2016. "Exchange Rate Returns and External Adjustment: Evidence from Switzerland," Open Economies Review, Springer, vol. 27(2), pages 317-339, April.
    See citations under working paper version above.
  7. Thomas Nitschka & Nikolay Markov, 2016. "Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland," German Economic Review, Verein für Socialpolitik, vol. 17(4), pages 478-490, November.

    Cited by:

    1. Dr. Fabian Fink & Dr. Lukas Frei & Dr. Thomas Maag & Dr. Tanja Zehnder, 2020. "The impact of SNB monetary policy on the Swiss franc and longer-term interest rates," Working Papers 2020-01, Swiss National Bank.

  8. Thomas Nitschka, 2016. "Risk premia on Swiss government bonds and sectoral stock indexes during international crises:," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 67(02), pages 51-67, August.

    Cited by:

    1. Tille, Cédric, 2017. "The changing international linkages of Switzerland: An overview," Kiel Working Papers 2088, Kiel Institute for the World Economy (IfW Kiel).
    2. Raphael A. Auer & Cedric Tille, 2016. "The banking sector and the Swiss financial account during the financial and European debt crises:," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 67(02), pages 69-97, August.
    3. David R. Haab & Thomas Nitschka, 2019. "What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.

  9. Atanasov, Victoria & Nitschka, Thomas, 2015. "Foreign Currency Returns and Systematic Risks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(1-2), pages 231-250, April.
    See citations under working paper version above.
  10. Grisse, Christian & Nitschka, Thomas, 2015. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 153-164.
    See citations under working paper version above.
  11. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.

    Cited by:

    1. David Haab & Dr. Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
    2. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    3. Thomas Nitschka, 2016. "Risk premia on Swiss government bonds and sectoral stock indexes during international crises:," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 67(02), pages 51-67, August.
    4. David R. Haab & Thomas Nitschka, 2019. "What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.

  12. Nitschka, Thomas, 2014. "Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 76-82.

    Cited by:

    1. Elie Bouri & Riza Demirer & Rangan Gupta & Xiaojin Sun, 2019. "The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles," Working Papers 201938, University of Pretoria, Department of Economics.
    2. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
    3. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
    4. Ahmad, Wasim & Sharma, Sumit Kumar, 2018. "Testing output gap and economic uncertainty as an explicator of stock market returns," Research in International Business and Finance, Elsevier, vol. 45(C), pages 293-306.
    5. Prabheesh, K.P. & Vidya, C.T., 2018. "Do business cycles, investment-specific technology shocks matter for stock returns?," Economic Modelling, Elsevier, vol. 70(C), pages 511-524.
    6. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    7. Mehmet Balcilar & Riza Demirer, 2022. "U.S. monetary policy and the predictability of global economic synchronization patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 473-492, July.

  13. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    See citations under working paper version above.
  14. Nitschka, Thomas, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, Elsevier, vol. 22(3), pages 118-124.

    Cited by:

    1. Emah Patrick Etokudoh & Mehraz Boolaky & Mridula Gungaphul, 2017. "Third Party Logistics Outsourcing: An Exploratory Study of the Oil and Gas Industry in Nigeria," SAGE Open, , vol. 7(4), pages 21582440177, October.
    2. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
    3. Prabheesh, K.P. & Vidya, C.T., 2018. "Do business cycles, investment-specific technology shocks matter for stock returns?," Economic Modelling, Elsevier, vol. 70(C), pages 511-524.
    4. Mohammadi, H. & Abolhasani, L. & Shahnoushi, N. & Shabanian, F., 2018. "The effects of business cycle indicators on stock market indices of food industry in Iran," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277425, International Association of Agricultural Economists.

  15. Mathias Hoffmann & Thomas Nitschka, 2012. "Securitization of mortgage debt, domestic lending, and international risk sharing," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 493-508, May.

    Cited by:

    1. Devereux, Michael B. & Kollmann, Robert, 2012. "International Risk Sharing," MPRA Paper 70129, University Library of Munich, Germany.
    2. De Grauwe, Paul & Ji, Yuemei, 2016. "Flexibility versus Stability: A difficult trade-off in the eurozone," CEPS Papers 11530, Centre for European Policy Studies.
    3. Dr. Thomas Nitschka, 2012. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Working Papers 2012-04, Swiss National Bank.
    4. Alberto Botta & Eugenio Caverzasi & Alberto Russo, 2019. "When complexity meets finance: A contribution to the study of the macroeconomic effects of complex financial systems," Working Papers PKWP1909, Post Keynesian Economics Society (PKES).
    5. De Grauwe Paul & Ji Yuemei, 2018. "Core-Periphery Relations in the Eurozone," The Economists' Voice, De Gruyter, vol. 15(1), pages 1-15, December.
    6. Alla Koblyakova & Michael White, 2017. "Supply driven mortgage choice," Urban Studies, Urban Studies Journal Limited, vol. 54(5), pages 1194-1210, April.

  16. Nitschka, Thomas, 2011. "About the soundness of the US-cay indicator for predicting international banking crises," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 237-256.

    Cited by:

    1. Fu, Junhui & Zhou, Qingling & Liu, Yufang & Wu, Xiang, 2020. "Predicting stock market crises using daily stock market valuation and investor sentiment indicators," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

  17. Nitschka, Thomas, 2010. "Securitization, collateral constraints and consumption risk sharing in the euro area," Economics Letters, Elsevier, vol. 106(3), pages 197-199, March.

    Cited by:

    1. Dr. Thomas Nitschka, 2012. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Working Papers 2012-04, Swiss National Bank.
    2. Anna Lo Prete, 2016. "Labour Market Institutions and Household Consumption Insurance within OECD Countries," The World Economy, Wiley Blackwell, vol. 39(6), pages 755-771, June.

  18. Thomas Nitschka, 2010. "Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(1), pages 49-65, March.

    Cited by:

    1. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers 405, Institute for Empirical Research in Economics - University of Zurich.

  19. Thomas Nitschka, 2010. "International Evidence for Return Predictability and the Implications for Long‐Run Covariation of the G7 Stock Markets," German Economic Review, Verein für Socialpolitik, vol. 11(4), pages 527-544, November.
    See citations under working paper version above.
  20. Nitschka, Thomas, 2010. "Cashflow news, the value premium and an asset pricing view on European stock market integration," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1406-1423, November.
    See citations under working paper version above.
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