This paper focuses on mean reversion on international stock markets and explores whether this empirical observation is compatible with a rational, general equilibrium asset pricing model. We consider a simple time series model with switching regimes for the consumption process in the G-7...

The monetary debate in Switzerland about joining the European Monetary Union (EMU) has primarily focused on the gains in terms of transaction costs and lower uncertainty from using a common currency versus the sacrifice of giving up an independent monetary policy. This paper considers an...

Co-movements of stock market indices in the U.S., the U.K. and Switzerland are analyzed using recent time series procedures. None of the series are found to share common permanent stochastic shocks that drive their long-run fluctuations. In the short run, however, there is evidence of a common...

The reform of old age insurance is one of the pressing problems of Swiss Society. A key policy issue in the ongoing debate is flexibility to better suit the different individual needs of pensioners. This paper argues that more flexible retirement options can have strong impacts on both the...

We study the empirical link that exists between investment-cash flow sensitivities and financial constraints in the Swiss financial market. We follow the standard approach introduced by FAZARRI, HUBBARD and PETERSON (1988), but improve it by using a dynamic classification of firms, a new...

In recent years various different techniques to uncover the information on market expectations contained in option prices have been developed. This paper applies the technique of fitting a mixture of lognormal densities to LIFFE Euribor futures options to estimate the risk-neutral implied...

Up until lately, studies on asymmetric business cycles focused on U.S. data and were mainly based on univariate analysis. This paper extends the literature beyond U.S. data in studying Swiss macroeconomic data for which almost no empirical research is available so far. Secondly, this paper...

Two approaches to taxation are confronted: The revenue generation approach and the exchange approach. The former requires a strong government with overall and even international regulatory power. The latter relies on the pressure of interjurisdictional competition adjusting taxes as closely as...

We investigate the impact of options listings on the variance of the underlying stock returns in the Swiss equity market using a non-parametric approach. The emergence of multiple share categories in most Swiss firms, combined with the fact that (listed) options are typically not introduced on...

It is advantageous for a country like Switzerland to hold part of its central bank reserves in gold, even given a discretionary monetary regime with flexible exchange rates. This in spite of the fact, that the return on gold reserves is usually lower than that on foreign exchange reserves....