Projects & Collaborations 9 foundShow per page10 10 20 50 Policy and Goverance of the SNB Research Project | 3 Project MembersWe study the monetary policy strategy and operations of the Swiss National Bank and put it into the context of current academic research and international best practice. ECB Monetary Policy Research Project | 2 Project MembersWe study the collateral framework of the ECB and the effects it has on the transmission of monetary policy in the European Monetary Union. Term Structure Effects of Demography and Quantitative Easing Research Project | 2 Project MembersWe estimate a theoretically well-founded equilibrium model of yield curves using thirty years of data, and employing a learning formulation of expectations. We find that the decline of real rates is essentially due to demographic shifts, and the decline of nominal yields is due to the taming of inflation. The asymmetric effect of demography casts doubts on the validity of the Fisher equation as a gauge for inflation expectations. We also report evidence that yields are influenced by investors who target nominal rather than real returns, and quantify the effect of growth and inflation expectations and quantitative easing. FV-24 The Financial Crisis an the dynamics of the LIBOR/OIS and TED Spread Research Project | 2 Project MembersWährend der Finanzkrise von 2007 bis 2009 verschlechterten sich die Refinanzierungskonditionen am Interbankenmarkt dramatisch. Marktteilnehmer konnten dies u.a. am Anstieg des LIBOR/OIS Spread [1] und des TED Spread [2] beobachten. Diese beiden Spreads sind Indikatoren für die Stimmung am Interbankenmarkt und reflektierten das schwindende Vertrauen in dem Finanzsektor. Die U.S. Notenbank (Fed) reagierte und versuchte von Dezember 2007 bis März 2008, mittels Liquiditätsspritzen die angespannte Situation im Interbankenmarkt zu lockern. Mit anhaltender Krise (ab September 2008) zeigte sich die Fed zunehmend über Kreditrisiken der Finanzinstitutionen besorgt und richtete ihre Interventionen danach aus (siehe Sarkar, 2009). Forscher wie Taylor (2008) argumentieren, dass anfänglich nicht Liquiditäts- sondern Kreditrisiken eine zentrale Rolle beim Anstieg der Spreads gespielt haben und die Liquiditätsspritzen einen negativen Einfluss auf den weiteren Verlauf der Finanzkrise hatten. Seither ist eine Diskussion entfacht, ob der Anstieg der Spreads auf Liquiditäts- oder auf Kreditrisiken zurückzuführen sei. Weiter ist auch umstritten, ob und in welchem Ausmass die Notenbank-Massnahmen Einfluss auf die Spreads nahmen. [1] 3Monats US Dollar LIBOR abzgl. dem Overnight Index Swap (OIS) [2] 3Monats US Dollar LIBOR abzgl. des 3Monats Treasury Bills Banking regulation Research Project | 3 Project MembersBanking is an important industry, because it intermediates between savers and investors. As such, it is relevant for all parts of the economy. Yet, history teaches us that banking is often prone to crisis, and sometimes also seems to deepen a crisis that has may have its origins in other parts of the economy. The aim of this project is to describe the relationship between regulatory frameworks and the stability of the banking industry empirically, and, if possible, also theoretically. Term Structure of Interest Rates Research Project | 1 Project MembersInterest rates are relevant for almost all investment decisions in an economy. Because of this, interest rates are also the preferred channel through which monetary policy affects the business cycle. Because interest rates of different maturities are affected by many decision makers, these data contains a wealth of useful information about the underlying economy and the shocks it experiences. The aim of this project is to understand the term structure of interest rates and its dynamics, and to extract and interpret the information it contains. Simulations in Teaching Research Project | 1 Project MembersThis project explores the potential of using simulation in the teaching of economics. Auction theory and applications Research Project | 1 Project MembersThis project deals with a speial class of mechanisms knows as auctions. Auctions are a very old and widely used and successful method for allocating goods or contracts. This project explores the auction mechanism theoretically and empirically. Monetary Policy Research Project | 1 Project MembersThis project deals with all aspects of monetary policy strategies. 1 1
Policy and Goverance of the SNB Research Project | 3 Project MembersWe study the monetary policy strategy and operations of the Swiss National Bank and put it into the context of current academic research and international best practice.
ECB Monetary Policy Research Project | 2 Project MembersWe study the collateral framework of the ECB and the effects it has on the transmission of monetary policy in the European Monetary Union.
Term Structure Effects of Demography and Quantitative Easing Research Project | 2 Project MembersWe estimate a theoretically well-founded equilibrium model of yield curves using thirty years of data, and employing a learning formulation of expectations. We find that the decline of real rates is essentially due to demographic shifts, and the decline of nominal yields is due to the taming of inflation. The asymmetric effect of demography casts doubts on the validity of the Fisher equation as a gauge for inflation expectations. We also report evidence that yields are influenced by investors who target nominal rather than real returns, and quantify the effect of growth and inflation expectations and quantitative easing.
FV-24 The Financial Crisis an the dynamics of the LIBOR/OIS and TED Spread Research Project | 2 Project MembersWährend der Finanzkrise von 2007 bis 2009 verschlechterten sich die Refinanzierungskonditionen am Interbankenmarkt dramatisch. Marktteilnehmer konnten dies u.a. am Anstieg des LIBOR/OIS Spread [1] und des TED Spread [2] beobachten. Diese beiden Spreads sind Indikatoren für die Stimmung am Interbankenmarkt und reflektierten das schwindende Vertrauen in dem Finanzsektor. Die U.S. Notenbank (Fed) reagierte und versuchte von Dezember 2007 bis März 2008, mittels Liquiditätsspritzen die angespannte Situation im Interbankenmarkt zu lockern. Mit anhaltender Krise (ab September 2008) zeigte sich die Fed zunehmend über Kreditrisiken der Finanzinstitutionen besorgt und richtete ihre Interventionen danach aus (siehe Sarkar, 2009). Forscher wie Taylor (2008) argumentieren, dass anfänglich nicht Liquiditäts- sondern Kreditrisiken eine zentrale Rolle beim Anstieg der Spreads gespielt haben und die Liquiditätsspritzen einen negativen Einfluss auf den weiteren Verlauf der Finanzkrise hatten. Seither ist eine Diskussion entfacht, ob der Anstieg der Spreads auf Liquiditäts- oder auf Kreditrisiken zurückzuführen sei. Weiter ist auch umstritten, ob und in welchem Ausmass die Notenbank-Massnahmen Einfluss auf die Spreads nahmen. [1] 3Monats US Dollar LIBOR abzgl. dem Overnight Index Swap (OIS) [2] 3Monats US Dollar LIBOR abzgl. des 3Monats Treasury Bills
Banking regulation Research Project | 3 Project MembersBanking is an important industry, because it intermediates between savers and investors. As such, it is relevant for all parts of the economy. Yet, history teaches us that banking is often prone to crisis, and sometimes also seems to deepen a crisis that has may have its origins in other parts of the economy. The aim of this project is to describe the relationship between regulatory frameworks and the stability of the banking industry empirically, and, if possible, also theoretically.
Term Structure of Interest Rates Research Project | 1 Project MembersInterest rates are relevant for almost all investment decisions in an economy. Because of this, interest rates are also the preferred channel through which monetary policy affects the business cycle. Because interest rates of different maturities are affected by many decision makers, these data contains a wealth of useful information about the underlying economy and the shocks it experiences. The aim of this project is to understand the term structure of interest rates and its dynamics, and to extract and interpret the information it contains.
Simulations in Teaching Research Project | 1 Project MembersThis project explores the potential of using simulation in the teaching of economics.
Auction theory and applications Research Project | 1 Project MembersThis project deals with a speial class of mechanisms knows as auctions. Auctions are a very old and widely used and successful method for allocating goods or contracts. This project explores the auction mechanism theoretically and empirically.
Monetary Policy Research Project | 1 Project MembersThis project deals with all aspects of monetary policy strategies.
