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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/

: +41 58 631 31 11
+41 58 631 39 11
Börsenstrasse 15, P. O. Box, CH - 8022 Zürich
RePEc:edi:snbgvch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. 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.
  2. 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.
  3. 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. 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. Christian Grisse & Thomas Nitschka, 2014. "Exchange rate returns and external adjustment: evidence from Switzerland," Working Papers 2014-12, Swiss National Bank.
  6. 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.
  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. Victoria Galsband & Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
  9. Nikolay Markov & Thomas Nitschka, 2013. "Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012," Working Papers 2013-08, Swiss National Bank.
  10. 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.
  11. Thomas Nitschka, 2012. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Working Papers 2012-04, Swiss National Bank.
  12. 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.
  13. Victoria Galsband & Thomas Nitschka, 2011. "Foreign currency returns and systematic risks," Working Papers 2011-03, Swiss National Bank.
  14. Thomas Nitschka, 2010. "Momentum in stock market returns: Implications for risk premia on foreign currencies," Working Papers 2010-11, Swiss National Bank.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  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. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Nitschka, Thomas, 2010. "Securitization, collateral constraints and consumption risk sharing in the euro area," Economics Letters, Elsevier, vol. 106(3), pages 197-199, March.
  16. 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.
  17. 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.
  18. 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.

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. 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.

    Cited by:

    1. Adriel Jost, 2017. "Is Monetary Policy Too Complex for the Public? Evidence from the UK," Working Papers 2017-15, Swiss National Bank.

  2. 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. Agustín S. Bénétrix & Philip R. Lane, "undated". "Cross-Country Exposures to the Swiss Franc," Trinity Economics Papers tep0116, Trinity College Dublin, Department of Economics.

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

    Cited by:

    1. Agustín S. Bénétrix & Philip R. Lane, "undated". "Cross-Country Exposures to the Swiss Franc," Trinity Economics Papers tep0116, Trinity College Dublin, Department of Economics.

  4. 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 & 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.

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

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
    5. 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.
    6. Dupuy, Philippe, 2015. "The tail risk premia of the carry trades," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 123-145.

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

    Cited by:

    1. 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.

  7. 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.

    Cited by:

    1. De Bock, Reinout & de Carvalho Filho, Irineu, 2015. "The behavior of currencies during risk-off episodes," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 218-234.
    2. 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. 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.
    4. 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. 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.
    6. Fatum, Rasmus & Yamamoto, Yohei, 2016. "Intra-safe haven currency behavior during the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 49-64.
    7. 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..
    8. 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.
    9. 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.
    10. Christian Grisse & Thomas Nitschka, 2014. "Exchange rate returns and external adjustment: evidence from Switzerland," Working Papers 2014-12, Swiss National Bank.
    11. 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.
    12. Virginie Coudert & Cyriac Guillaumin & Hélène Raymond, 2014. "Looking at the other side of carry trades: Are there any safe haven currencies?," EconomiX Working Papers 2014-13, University of Paris Nanterre, EconomiX.
    13. Alexandra Janssen & Rahel Studer, 2014. "The Swiss franc's honeymoon," ECON - Working Papers 170, Department of Economics - University of Zurich, revised Jan 2017.
    14. Pinar Yesin, 2016. "Exchange Rate Predictability and State-of-the-Art Models," Working Papers 2016-02, Swiss National Bank.
    15. Adrian Jäggi & Martin Schlegel & Attilio Zanetti, 2016. "Macroeconomic surprises, market environment and safe-haven currencies," Working Papers 2016-15, Swiss National Bank.
    16. Fatum, Rasmus & Yamamoto, Yohei, 2014. "Intra-safe haven currency behavior during the global financial crisis," Globalization and Monetary Policy Institute Working Paper 199, Federal Reserve Bank of Dallas.
    17. Pinar Yesin, 2016. "Capital Flows and the Swiss Franc," Working Papers 2016-08, Swiss National Bank.
    18. 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.
    19. Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.

  8. 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. 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.
    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. 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.

  9. Victoria Galsband & 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. 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. 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.
    4. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    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. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
    7. 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.

  10. 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.

  11. 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. 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.
    2. Mathias Hoffmann & Thomas Nitschka, 2009. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," CESifo Working Paper Series 2527, CESifo Group Munich.
    3. 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. 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.

    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. 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.
    4. 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.
    5. 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.

  13. 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.

    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.

  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. 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. 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.
    3. 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.
    4. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
    5. 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.
    6. 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. "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.

  16. 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. Nitschka, Thomas, 2011. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48684, Verein für Socialpolitik / German Economic Association.
    2. 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.
    3. 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.
    4. 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, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 70(4), December.
    5. Mathias Hoffmann & Thomas Nitschka, 2009. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," CESifo Working Paper Series 2527, CESifo Group Munich.
    6. 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.
    7. 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.
    8. Alain Galli, 2016. "How reliable are cointegration-based estimates for wealth effects on consumption? Evidence from Switzerland," Working Papers 2016-03, Swiss National Bank.
    9. 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.
    10. 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.
    11. 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.
    12. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 397-407.
    13. 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.
    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.
    15. 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. Huai-Long Shi & Wei-Xing Zhou, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Papers 1702.07374, arXiv.org.
    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.

Articles

  1. 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.
  2. 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. Raphael Anton Auer & Cédric Tille, 2016. "The banking sector and the Swiss financial account during the financial and European debt crises," Working Papers 2016-05, Swiss National Bank.

  3. 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.
  4. 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.
  5. 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. 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.
    2. 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. 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. 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.
    2. Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.

  7. 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.
  8. 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. See citations under working paper version above.
  9. 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. Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.

  10. 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. Nitschka, Thomas, 2011. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48684, Verein für Socialpolitik / German Economic Association.
    2. Devereux, Michael B. & Kollmann, Robert, 2012. "International Risk Sharing," MPRA Paper 70129, University Library of Munich, Germany.
    3. De Grauwe, Paul & Ji, Yuemei, 2016. "Flexibility versus stability. A difficult trade-off in the Eurozone," CEPR Discussion Papers 11372, C.E.P.R. Discussion Papers.

  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.

    Cited by:

    1. Nitschka, Thomas, 2011. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48684, Verein für Socialpolitik / German Economic Association.
    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.

  12. 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.
    See citations under working paper version above.
  13. 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.
  14. 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.
    See citations under working paper version above.

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 23 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 (9) 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. Author is listed
  2. NEP-IFN: International Finance (5) 2008-02-09 2008-02-09 2010-08-06 2013-04-27 2013-07-20. Author is listed
  3. NEP-RMG: Risk Management (5) 2006-03-05 2008-02-09 2009-03-14 2013-04-27 2013-07-20. Author is listed
  4. NEP-OPM: Open Economy Macroeconomics (4) 2008-07-30 2008-09-05 2012-05-08 2013-07-20
  5. NEP-EEC: European Economics (3) 2008-09-05 2008-09-05 2012-05-08
  6. NEP-FMK: Financial Markets (3) 2006-03-05 2008-09-05 2015-07-11
  7. NEP-BEC: Business Economics (2) 2008-07-30 2012-11-03
  8. NEP-CBA: Central Banking (2) 2008-02-09 2008-02-09
  9. NEP-FOR: Forecasting (2) 2013-10-25 2017-12-03
  10. NEP-MON: Monetary Economics (2) 2013-04-27 2013-10-25
  11. NEP-URE: Urban & Real Estate Economics (2) 2008-07-30 2008-09-05
  12. NEP-ACC: Accounting & Auditing (1) 2017-01-01
  13. NEP-BAN: Banking (1) 2012-05-08
  14. NEP-CFN: Corporate Finance (1) 2014-12-24
  15. NEP-CWA: Central & Western Asia (1) 2012-05-08
  16. NEP-HIS: Business, Economic & Financial History (1) 2017-01-01
  17. NEP-ORE: Operations Research (1) 2013-10-25
  18. NEP-SOG: Sociology of Economics (1) 2014-02-15

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