We analyze the forecasting ability of financial variables to predict the state of the Swiss business cycle up to eight quarters ahead. Overall, our results suggest that financial variables convey ...leading information for the prediction of business cycles, even when applied to a small open economy. However, we clearly find that model specifications need to be extended to include variables accounting for external shocks, such as exchange rates or international commodity prices. It also appears that the forecasting contribution of individual variables changes over time. Specifically, in the last two decades, stock market liquidity has replaced the term spread as the best single predictor.PUBLICATION ABSTRACT
This paper argues that the commonly used market indices imply forms of active investment management in disguise. The selection and rebalancing rules make these indices highly exclusive and dynamic ...regarding their underlying components and significantly bias their performance. Any passive investment tracking these indices turns into an active strategy characterised by market timing and state‐dependent performance. Evidence is provided that exclusive indices outperform (underperform) more inclusive peer indices in upward (downward) markets. The constitution and maintenance rules of exclusive indices correspond to a set of active trading and investment rules similar to momentum strategies.
The implementation of SNB monetary policy Jordan, Thomas; Ranaldo, Angelo; Söderlind, Paul
Financial markets and portfolio management,
12/2009, Volume:
23, Issue:
4
Journal Article
Peer reviewed
Open access
Issue Title: Special issue: Monetary Policy and Financial Markets We use a regime-switching approach to model The implementation of SNB monetary policy. The regime-switching technique is crucial for ...assessing the flexibility inherent in the SNB's monetary policy strategy. The empirical findings support the idea that repo operations are instrumental in smoothing the implementation of monetary policy in normal times, while changes in the official operational target, accompanied by the accommodating use of repo operations, produce the intended effects in periods of distress. Another significant contribution also comes from some new measures designed to improve liquidity in the Swiss franc money market during the financial crisis of 2007-2008.PUBLICATION ABSTRACT
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