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...

We use a regime switching approach to model the implementation of the SNB monetary policy. The regime switching technique is crucial to assess the flexibility inherent in the SNB's monetary policy concept. The empirical findings support the idea that repo operations are instrumental in smoothing...

This paper suggests a factor model for carry trade strategies wherethe regression coeffcients are allowed to depend on market volatility and liquid-ity. Empirical results on daily data from 1995 to 2008 show that a typical carrytrade strategy has much higher exposure to the stock market and also...

We study high-frequency exchange rate movements over the sample 1993–2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...

We study high-frequency exchange rate movements over the sample 1993-2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...

The Internet Appendix discusses details, additional results and robustness checks on the paper.The paper "Understanding FX Liquidity" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2329738" http://ssrn.com/abstract=2329738