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Thomas Nitschka

Personal Details

First Name:Thomas
Middle Name:
Last Name:Nitschka
Suffix:
RePEc Short-ID:pni214
[This author has chosen not to make the email address public]
http://sites.google.com/site/tnitschka/
Terminal Degree:2007 Wirtschafts- und Sozialwissenschaftliche Fakultät; Universität Dortmund (from RePEc Genealogy)

Affiliation

Schweizerische Nationalbank (SNB)

Bern/Zürich, Switzerland
http://www.snb.ch/
RePEc:edi:snbgvch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Thomas Nitschka & Shajivan Satkurunathan, 2021. "Habits die hard: implications for bond and stock markets internationally," Working Papers 2021-08, Swiss National Bank.
  2. Tim D. Maurer & Thomas Nitschka, 2020. "Stock market evidence on the international transmission channels of US monetary policy surprises," Working Papers 2020-10, Swiss National Bank.
  3. Thomas Nitschka & David R. Haab, 2018. "Carry trade and forward premium puzzle from the perspective of a safe-haven currency," Working Papers 2018-17, Swiss National Bank.
  4. Thomas Nitschka, 2018. "Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?," Working Papers 2018-09, Swiss National Bank.
  5. David Haab & 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.
  6. Jonas Meuli & Thomas Nellen & Thomas Nitschka, 2016. "Securitisation, loan growth and bank funding: the Swiss experience since 1932," Working Papers 2016-18, Swiss National Bank.
  7. 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.
  8. 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.
  9. Christian Grisse & Thomas Nitschka, 2014. "Exchange rate returns and external adjustment: evidence from Switzerland," Working Papers 2014-12, Swiss National Bank.
  10. 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.
  11. 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.
  12. Victoria Galsband & Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
  13. Nikolay Markov & Thomas Nitschka, 2013. "Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012," Working Papers 2013-08, Swiss National Bank.
  14. 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.
  15. Thomas Nitschka, 2012. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Working Papers 2012-04, Swiss National Bank.
  16. 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.
  17. Victoria Galsband & Thomas Nitschka, 2011. "Foreign currency returns and systematic risks," Working Papers 2011-03, Swiss National Bank.
  18. Thomas Nitschka, 2010. "Momentum in stock market returns: Implications for risk premia on foreign currencies," Working Papers 2010-11, Swiss National Bank.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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. Thomas Nitschka, 2022. "China’s anti-corruption campaign and stock returns of luxury goods firms," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 159-177, June.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Thomas Nitschka, 2016. "Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks?," International Finance, Wiley Blackwell, vol. 19(3), pages 292-310, December.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Nitschka, Thomas, 2010. "Securitization, collateral constraints and consumption risk sharing in the euro area," Economics Letters, Elsevier, vol. 106(3), pages 197-199, March.
  22. 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.
  23. 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.
  24. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 22 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (10) 2008-02-09 2008-02-09 2012-05-08 2012-11-03 2013-04-27 2013-10-25 2014-02-15 2017-01-01 2017-12-03 2020-08-24. Author is listed
  2. NEP-FMK: Financial Markets (6) 2006-03-05 2008-09-05 2015-07-11 2018-07-30 2020-08-24 2021-04-26. Author is listed
  3. NEP-IFN: International Finance (5) 2008-02-09 2008-02-09 2010-08-06 2013-04-27 2013-07-20. Author is listed
  4. NEP-RMG: Risk Management (5) 2006-03-05 2008-02-09 2009-03-14 2013-04-27 2013-07-20. Author is listed
  5. NEP-CBA: Central Banking (3) 2008-02-09 2008-02-09 2020-08-24
  6. NEP-MON: Monetary Economics (3) 2013-04-27 2013-10-25 2020-08-24
  7. NEP-OPM: Open Economy Macroeconomics (3) 2008-07-30 2012-05-08 2013-07-20
  8. NEP-BEC: Business Economics (2) 2008-07-30 2012-11-03
  9. NEP-CWA: Central & Western Asia (2) 2012-05-08 2021-04-26
  10. NEP-EEC: European Economics (2) 2008-09-05 2012-05-08
  11. NEP-FOR: Forecasting (2) 2013-10-25 2017-12-03
  12. NEP-URE: Urban & Real Estate Economics (2) 2008-07-30 2008-09-05
  13. NEP-ACC: Accounting & Auditing (1) 2017-01-01
  14. NEP-BAN: Banking (1) 2012-05-08
  15. NEP-CFN: Corporate Finance (1) 2014-12-24
  16. NEP-CNA: China (1) 2018-07-30
  17. NEP-FDG: Financial Development & Growth (1) 2021-11-15
  18. NEP-HIS: Business, Economic & Financial History (1) 2017-01-01
  19. NEP-ORE: Operations Research (1) 2013-10-25
  20. NEP-SOG: Sociology of Economics (1) 2014-02-15
  21. NEP-TRA: Transition Economics (1) 2018-07-30

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