Thomas Nitschka

Swiss National Bank

Advisor

Monetary Policy Analysis

Börsenstrasse 15

Zuerich, 8022

Switzerland

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 41,879

in Total Papers Citations

6

CROSSREF CITATIONS

10

Scholarly Papers (9)

Securitization of Mortgage Debt, Asset Prices and International Risk Sharing

Number of pages: 47 Posted: 14 Jul 2008 Last Revised: 22 Mar 2009
Mathias Hoffmann and Thomas Nitschka
University of Zurich - Department of Economics and Swiss National Bank
Downloads 354 (94,681)
Citation 6

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Financial globalization, international risk sharing, home bias, securitization, mortgage markets, asset prices, international business cycles

Securitization of Mortgage Debt, Asset Prices and International Risk Sharing

CESifo Working Paper Series No. 2527
Number of pages: 50 Posted: 27 Jan 2009
Mathias Hoffmann and Thomas Nitschka
University of Zurich - Department of Economics and Swiss National Bank
Downloads 258 (133,565)

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financial globalization, international risk sharing, home bias, securitization, mortgage markets, asset prices, international business cycles

2.

Momentum in Stock Market Returns, Risk Premia on Foreign Currencies and International Financial Integration

Number of pages: 57 Posted: 11 Mar 2009
Thomas Nitschka
Swiss National Bank
Downloads 193 (177,068)

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Currency returns, financial integration, momentum, risk premia, UIP

3.

The Size Effect in Value and Momentum Factors: Implications for the Cross-Section of International Stock Returns

Tinbergen Institute Discussion Paper 13-180/IV/DSF66
Number of pages: 36 Posted: 09 Nov 2013 Last Revised: 22 Jun 2014
Victoria Atanasov and Thomas Nitschka
University of Mannheim and Swiss National Bank
Downloads 151 (218,876)
Citation 1

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International stock returns, Size, Value, Momentum

4.

Cashflow News, the Value Premium and an Asset Pricing View on European Stock Market Integration

Number of pages: 39 Posted: 19 Feb 2007
Thomas Nitschka
Swiss National Bank
Downloads 138 (235,361)

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cashflow beta, discount rate beta, CAPM, value premium

5.

Currency Excess Returns and Global Downside Market Risk

Number of pages: 34 Posted: 12 Jun 2012 Last Revised: 31 Jan 2014
Victoria Atanasov and Thomas Nitschka
University of Mannheim and Swiss National Bank
Downloads 124 (255,629)
Citation 5

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CAPM, downside risk, exchange rate, forward premium puzzle, uncovered interest rate parity, upside risk

Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence

University of Zurich Institute for Empirical Research in Economics Working Paper No. 387
Number of pages: 21 Posted: 02 Sep 2008
Thomas Nitschka
Swiss National Bank
Downloads 108 (283,900)
Citation 1

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Consumption risk sharing, foreign currency returns, return predictability, UIP

Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro-Area Evidence

Financial Markets and Portfolio Management, Vol. 24, No. 1, pp. 49-65, 2010
Posted: 19 Jun 2010
Thomas Nitschka
Swiss National Bank

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Consumption risk sharing, Foreign currency returns, Return predictability, Uncovered interest rate parity

7.

International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets

University of Zurich Working Paper No. 338
Number of pages: 39 Posted: 03 Dec 2007
Thomas Nitschka
Swiss National Bank
Downloads 86 (327,507)
Citation 1

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U.S. consumption-wealth ratio, stock market comovement, stock return predictability

8.

Bond Market Evidence of Time Variation in Exposures to Global Risk Factors and the Role of US Monetary Policy

Number of pages: 34 Posted: 20 Jan 2016
Thomas Nitschka
Swiss National Bank
Downloads 64 (386,608)

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Bond return, global CAPM, monetary policy, risk factors, spillover, time variation

9.

Securitization of Mortgage Debt, Domestic Lending, and International Risk Sharing - Titrisation De La Dette Hypothécaire, Crédit Domestique Et Partage International Du Risque

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 45, Issue 2, pp. 493-508, 2012
Number of pages: 16 Posted: 04 May 2012
Matthias Hoffmann and Thomas Nitschka
Independent and Swiss National Bank
Downloads 1 (727,291)
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