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Thomas Nitschka

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Personal Details

First Name: Thomas
Middle Name:
Last Name: Nitschka
Suffix:

RePEc Short-ID: pni214

Email: [This author has chosen not to make the email address public]
Homepage: http://sites.google.com/site/tnitschka/
Postal Address:
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Affiliation

Schweizerische Nationalbank (SNB)
Location: Bern/Zürich, Switzerland
Homepage: http://www.snb.ch/
Email:
Phone: +41 44 631 31 11
Fax: +41 44 631 39 11
Postal: Börsenstrasse 15, P. O. Box, CH - 8022 Zürich
Handle: RePEc:edi:snbgvch (more details at EDIRC)

Works

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Working papers

  1. 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.
  2. Nikolay Markov & Thomas Nitschka, 2013. "Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012," Working Papers 2013-08, Swiss National Bank.
  3. Christian Grisse & Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers 2013-04, Swiss National Bank.
  4. Victoria Galsband & Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
  5. 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.
  6. Thomas Nitschka, 2012. "Banking sector's international interconnectedness: Implications for consumption risk sharing in Europe," Working Papers 2012-04, Swiss National Bank.
  7. Victoria Galsband & Thomas Nitschka, 2011. "Foreign currency returns and systematic risks," Working Papers 2011-03, Swiss National Bank.
  8. Thomas Nitschka, 2010. "Momentum in stock market returns: Implications for risk premia on foreign currencies," Working Papers 2010-11, Swiss National Bank.
  9. 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.
  10. 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.
  11. Thomas Nitschka, 2008. "Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence," IEW - Working Papers 387, Institute for Empirical Research in Economics - University of Zurich.
  12. 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.
  13. 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.
  14. 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.
  15. Mathias Hoffmann & Thomas Nitschka, 2007. "The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective," IEW - Working Papers 331, Institute for Empirical Research in Economics - University of Zurich.
  16. 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.
  17. Nitschka, Thomas, 2006. "Does sensitivity to cashflow news explain the value premium on European stock markets?," Technical Reports 2006,12, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  18. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.

Articles

  1. 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.
  2. 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.
  3. Thomas Nitschka, 2013. "Momentum in stock market returns: implications for risk premia on foreign currencies," Applied Financial Economics, Taylor & Francis Journals, vol. 23(7), pages 551-560, April.
  4. 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.
  5. 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.
  6. 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.
  7. Nitschka, Thomas, 2010. "Securitization, collateral constraints and consumption risk sharing in the euro area," Economics Letters, Elsevier, vol. 106(3), pages 197-199, March.
  8. Thomas Nitschka, 2010. "Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence," Financial Markets and Portfolio Management, Springer, vol. 24(1), pages 49-65, March.
  9. 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, pages 527-544, November.

NEP Fields

16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2012-05-08
  2. NEP-BEC: Business Economics (2) 2008-07-30 2012-11-03
  3. NEP-CBA: Central Banking (2) 2008-02-09 2008-02-09
  4. NEP-CWA: Central & Western Asia (1) 2012-05-08
  5. NEP-EEC: European Economics (3) 2008-09-05 2008-09-05 2012-05-08
  6. NEP-FMK: Financial Markets (2) 2006-03-28 2008-09-05
  7. NEP-FOR: Forecasting (1) 2013-10-25
  8. NEP-IFN: International Finance (4) 2008-02-09 2008-02-09 2013-04-27 2013-07-20. Author is listed
  9. NEP-MAC: Macroeconomics (7) 2008-02-09 2008-02-09 2012-05-08 2012-11-03 2013-04-27 2013-10-25 2014-02-15. Author is listed
  10. NEP-MON: Monetary Economics (2) 2013-04-27 2013-10-25
  11. NEP-OPM: Open Economy Macroeconomics (4) 2008-07-30 2008-09-05 2012-05-08 2013-07-20. Author is listed
  12. NEP-ORE: Operations Research (1) 2013-10-25
  13. NEP-RMG: Risk Management (5) 2006-03-07 2008-02-09 2009-03-14 2013-04-27 2013-07-20. Author is listed
  14. NEP-SOG: Sociology of Economics (1) 2014-02-15
  15. NEP-URE: Urban & Real Estate Economics (2) 2008-07-30 2008-09-05

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