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Daytime is money
Kraenzlin, Sébastien; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2010
-versus-payment substitute credit risk with liquidity risk which in turn increases the value of intraday liquidity. The analysis is central bank …
Persistent link: https://www.econbiz.de/10008515787
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Access policy and money market segmentation
Kraenzlin, Sébastien Philippe; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2012
We analyse deviations between interest rates paid in the Swiss franc unsecured money market and the respective Libor rate. First, banks that have access to the secured interbank market and the SNB's monetary policy operations pay less than banks without access. Second, domestically unchartered,...
Persistent link: https://www.econbiz.de/10010583705
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Daytime is money
Kraenzlin, Sébastien; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2010
-versus-payment substitute credit risk with liquidity risk which in turn increases the value of intraday liquidity. The analysis is central bank …
Persistent link: https://www.econbiz.de/10008917453
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Bargaining Power in the Repo Market
Kraenzlin, Sébastien Philippe; von Scarpatetti, Benedikt - Schweizerische Nationalbank (SNB) - 2011
In this paper, we analyze the price setting behavior of banks in the Swiss franc repo market by means of network topology concepts and measures. The sample ranges from October 1999 to December 2009. Hence, it covers a large part of the money market turmoil that started in August 2007. Among...
Persistent link: https://www.econbiz.de/10010895106
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Interoperability between central counterparties
Mägerle, Jürg; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2011
In reaction to recent requests for interoperability between central counterparties of European stock markets, regulators have issued new guidelines to contain systemic risk. Our analysis confirms that the currently applied cross-CCP risk management model can be a source of contagion,...
Persistent link: https://www.econbiz.de/10009367191
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Liquidity Effects of Quantitative Easing on Long-Term Interest Rates
Krogstrup, Signe; Reynard, Samuel; Sutter, Barbara - Schweizerische Nationalbank (SNB) - 2012
This paper argues that the expansion in reserves following recent quantitative easing programs of the Federal Reserve may have affected long-term interest rates through liquidity effects. The data lends some support for liquidity effects, in that reserves were negatively correlated with...
Persistent link: https://www.econbiz.de/10010542048
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Monerary Policy Response to Oil Price Shocks
Natal, Jean-Marc - Schweizerische Nationalbank (SNB) - 2010
How should monetary authorities react to an oil price shock? The New Keynesian literature has concluded that ensuring perfect price stability is optimal. Yet, the contrast between theory and practice is striking: Inflation targeting central banks typically favor a longer run approach to price...
Persistent link: https://www.econbiz.de/10008738787
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Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012
Nitschka, Thomas; Markov, Nikolay - Schweizerische Nationalbank (SNB) - 2013
This paper estimates Taylor rules using real-time inflation forecasts of the Swiss National Bank's (SNB) ARIMA model … inflation responsiveness of the SNB than found with the central bank's data. Third, the best fitting specification includes a … bank reacts to movements in the output gap and the exchange rate to the extent that they become a concern for price …
Persistent link: https://www.econbiz.de/10010815196
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Bidding Behavior in the SNB's Repo Auctions
Kraenzlin, Sébastien; Schlegel, Martin - Schweizerische Nationalbank (SNB) - 2009
The Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. We analyze the …. Therefore, we estimate bidding functions for banks which participate regularly in the SNB’s auctions. We find that a bank’s bids …
Persistent link: https://www.econbiz.de/10008513044
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DSGE-CH: A dynamic stochastic general equilibrium model for Switzerland
Dellas, Harris; Natal, Jean-Marc; Cuche-Curti, Nicolas A. - Schweizerische Nationalbank (SNB) - 2009
monetary policy decision process at the Swiss National Bank. In addition to forecasting the likely course of main macro …
Persistent link: https://www.econbiz.de/10008471879