Swiss Journal of Economics and Statistics最新文献

This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies 1:41-66, 1988). In addition, they may be used in overlapping return variance or skewness ratio tests as in Charles and Darné (Journal of Economic Surveys 3:503-527, 2009) and Wong (Cardiff Economics Working Papers, 2016). An example using synthetic overlapping returns from a model fit to data from the SPY S&P 500 exchange traded fund is given in order to demonstrate under which circumstances the unbiased correction becomes significant in skewness estimation. Finally, we compare the effect of the HAC weighting schemes of Andrews (Econometrica 53:817-858, 1991) as a function of sample size and overlapping return window length.

The sovereign money initiative will be submitted to the Swiss people in 2018. This paper reviews the arguments behind the initiative and discusses its potential impact. I argue that several arguments are inconsistent with empirical evidence or with economic logic. In particular, controlling sight deposits neither stabilizes credit nor avoids financial crises. Also, assuming that deposits at the central bank are not a liability has implications for fiscal and monetary policy, and Benes and Kumhof (The Chicago Plan Revisited, 2012) do not provide support for the reform as they do not analyze the proposed Swiss monetary reform and their closed-economy model does not fit the Swiss economy. Then, using a simple model with monopolistically competitive banks, the paper assesses quantitatively the impact of removing sight deposits from commercial banks' balance sheets. Even though there is a gain for the state, the overall impact is negative, especially because depositors would face a negative return. Moreover, the initiative goes much beyond what would be the equivalent of full reserve requirement and would impose severe constraints on monetary policy; it would weaken financial stability rather than reinforce it; and it would threaten the trust in the Swiss monetary system. Finally, there is high uncertainty both on the details of the reform and on its impact.

Ten years after the worst financial crisis of the post-war period, Switzerland has established a Too-Big-To-Fail (TBTF) framework. Under this framework, the two large Swiss banks are subject to substantial capital requirements. It is not obvious whether the TBTF capital requirements are sufficient to prevent banks from plunging the country into a financial crisis once again. We estimate the social costs and benefits of higher capital requirements for the two large Swiss banks and derive socially optimal capital ratios from the cost-benefit trade-off. Our results show that Swiss TBTF capital requirements still fall short of socially optimal capital ratios.

We estimate the size of inheritance flows in Switzerland over a long span of data, in close analogy to the study for France by Piketty (Q J Econ 126(3):1071-1131, 2011). We find that inheritance flows had been growing more slowly than national income up until the 1970s, but have been outpacing income growth since. According to our central estimates, the annual flow of inheritance amounted to 13.2% of national income in 2011. The share of total wealth that is attributable to inheritance has remained relatively stable over time, fluctuating between 45 and 60%.

This paper analyzes the connection between openness and economic performance in Switzerland. Considering different dimensions of openness, we show that the Swiss economy is classified as relatively open. Nevertheless, there still is potential to further increase international integration, particularly through deregulation in the services sector. We also show that for some branches in the Swiss manufacturing sector, increases in international trade are associated with higher productivity in the long run. With regard to financial openness, we show that in the aftermath of the financial crisis, Switzerland mainly suffered from capital retrenchment. Foreign capital inflows were of minor importance. Short-run costs due to high volatility of capital flows might therefore be lower than widely perceived.

In many contexts we may be interested in understanding whether direct connections between agents, such as declared friendships in a classroom or family links in a rural village, affect their outcomes. In this paper, we review the literature studying econometric methods for the analysis of linear models of social effects, a class that includes the 'linear-in-means' local average model, the local aggregate model, and models where network statistics affect outcomes. We provide an overview of the underlying theoretical models, before discussing conditions for identification using observational and experimental/quasi-experimental data.

This paper examines interest-parity conditions that arguably held as regards the investment demand for bills of exchange during the classical gold standard (1880-1914). Contemporaneous guides to the foreign exchanges report that close connections between the exchange and discount rates arose mainly with bills traded in London and the major financial centres on the European continent. As implied by the interest-parity condition, and in particular when future exchange-rate movements were covered by a suitable long-bill transaction, weekly data do suggest that between Paris, Amsterdam, Berlin, Brussels, and London, the return from discounting bills of exchange in the local money market was roughly equivalent to the return from investing in foreign currency bills.