Thomas Nitschka

Names

Identifer

Contact

Affiliations

• Schweizerische Nationalbank (SNB)
  • EDIRC entry
  • location:

Research profile

author of:

• International Evidence for Return Predictability and the Implications for Long‐Run Covariation of the G7 Stock Markets
  German Economic Review, Verein für Socialpolitik (2010)
  by Thomas Nitschka
  (ReDIF-article, bla:germec:v:11:y:2010:i:4:p:527-544)
• Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland
  German Economic Review, Verein für Socialpolitik (2016)
  by Thomas Nitschka & Nikolay Markov
  (ReDIF-article, bla:germec:v:17:y:2016:i:4:p:478-490)
• Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks?
  International Finance, Wiley Blackwell (2016)
  by Thomas Nitschka
  (ReDIF-article, bla:intfin:v:19:y:2016:i:3:p:292-310)
• Covered bonds, loan growth and bank funding: The Swiss experience since 1932
  International Finance, Wiley Blackwell (2021)
  by Jonas Meuli & Thomas Nellen & Thomas Nitschka
  (ReDIF-article, bla:intfin:v:24:y:2021:i:1:p:77-94)
• Carry trade and forward premium puzzle from the perspective of a safe‐haven currency
  Review of International Economics, Wiley Blackwell (2020)
  by David R. Haab & Thomas Nitschka
  (ReDIF-article, bla:reviec:v:28:y:2020:i:2:p:376-394)
• International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets
  German Economic Review, De Gruyter (2010)
  by Nitschka Thomas
  (ReDIF-article, bpj:germec:v:11:y:2010:i:4:p:527-544)
• Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland
  German Economic Review, De Gruyter (2016)
  by Nitschka Thomas & Markov Nikolay
  (ReDIF-article, bpj:germec:v:17:y:2016:i:4:p:478-490)
• Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
  CESifo Working Paper Series, CESifo (2009)
  by Mathias Hoffmann & Thomas Nitschka
  (ReDIF-paper, ces:ceswps:_2527)
• Securitization of mortgage debt, domestic lending, and international risk sharing
  Canadian Journal of Economics, Canadian Economics Association (2012)
  by Mathias Hoffmann & Thomas Nitschka
  (ReDIF-article, cje:issued:v:45:y:2012:i:2:p:493-508)
• Foreign Currency Returns and Systematic Risks
  Journal of Financial and Quantitative Analysis, Cambridge University Press (2015)
  by Atanasov, Victoria & Nitschka, Thomas
  (ReDIF-article, cup:jfinqa:v:50:y:2015:i:1-2:p:231-250_00)
• About the soundness of the US-cay indicator for predicting international banking crises
  The North American Journal of Economics and Finance, Elsevier (2011)
  by Nitschka, Thomas
  (ReDIF-article, eee:ecofin:v:22:y:2011:i:3:p:237-256)
• Firm size, economic risks, and the cross-section of international stock returns
  The North American Journal of Economics and Finance, Elsevier (2017)
  by Atanasov, Victoria & Nitschka, Thomas
  (ReDIF-article, eee:ecofin:v:39:y:2017:i:c:p:110-126)
• Securitization, collateral constraints and consumption risk sharing in the euro area
  Economics Letters, Elsevier (2010)
  by Nitschka, Thomas
  (ReDIF-article, eee:ecolet:v:106:y:2010:i:3:p:197-199)
• Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy
  Economics Letters, Elsevier (2023)
  by Nitschka, Thomas & Ramelet, Marc-Antoine
  (ReDIF-article, eee:ecolet:v:231:y:2023:i:c:s0165176523003336)
• On financial risk and the safe haven characteristics of Swiss franc exchange rates
  Journal of Empirical Finance, Elsevier (2015)
  by Grisse, Christian & Nitschka, Thomas
  (ReDIF-article, eee:empfin:v:32:y:2015:i:c:p:153-164)
• Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns
  Journal of Banking & Finance, Elsevier (2014)
  by Nitschka, Thomas
  (ReDIF-article, eee:jbfina:v:42:y:2014:i:c:p:76-82)
• Stock market evidence on the international transmission channels of US monetary policy surprises
  Journal of International Money and Finance, Elsevier (2023)
  by Maurer, Tim D. & Nitschka, Thomas
  (ReDIF-article, eee:jimfin:v:136:y:2023:i:c:s0261560623000670)
• Cashflow news, the value premium and an asset pricing view on European stock market integration
  Journal of International Money and Finance, Elsevier (2010)
  by Nitschka, Thomas
  (ReDIF-article, eee:jimfin:v:29:y:2010:i:7:p:1406-1423)
• Currency excess returns and global downside market risk
  Journal of International Money and Finance, Elsevier (2014)
  by Atanasov, Victoria & Nitschka, Thomas
  (ReDIF-article, eee:jimfin:v:47:y:2014:i:c:p:268-285)
• Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy
  Journal of International Money and Finance, Elsevier (2018)
  by Nitschka, Thomas
  (ReDIF-article, eee:jimfin:v:83:y:2018:i:c:p:44-54)
• The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization
  Review of Financial Economics, Elsevier (2013)
  by Nitschka, Thomas
  (ReDIF-article, eee:revfin:v:22:y:2013:i:3:p:118-124)
• Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence
  Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research (2010)
  by Thomas Nitschka
  (ReDIF-article, kap:fmktpm:v:24:y:2010:i:1:p:49-65)
• China’s anti-corruption campaign and stock returns of luxury goods firms
  Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research (2022)
  by Thomas Nitschka
  (ReDIF-article, kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00396-2)
• Exchange Rate Returns and External Adjustment: Evidence from Switzerland
  Open Economies Review, Springer (2016)
  by Christian Grisse & Thomas Nitschka
  (ReDIF-article, kap:openec:v:27:y:2016:i:2:d:10.1007_s11079-015-9376-6)
• The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability
  Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005)
  by Thomas Nitschka
  (ReDIF-paper, mmf:mmfc05:22)
• What News Drive Variation in Swiss and US Bond and Stock Excess Returns?
  Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES) (2014)
  by Thomas Nitschka
  (ReDIF-article, ses:arsjes:2014-ii-2)
• Momentum in stock market returns: Implications for risk premia on foreign currencies
  Working Papers, Swiss National Bank (2010)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2010-11)
• Foreign currency returns and systematic risks
  Working Papers, Swiss National Bank (2011)
  by Victoria Galsband & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2011-03)
• Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe
  Working Papers, Swiss National Bank (2012)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2012-04)
• Global and country-specific business cycle risk in time-varying excess returns on asset markets
  Working Papers, Swiss National Bank (2012)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2012-10)
• On financial risk and the safe haven characteristics of Swiss franc exchange rates
  Working Papers, Swiss National Bank (2013)
  by Dr. Christian Grisse & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2013-04)
• Currency excess returns and global downside market risk
  Working Papers, Swiss National Bank (2013)
  by Victoria Galsband & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2013-07)
• Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012
  Working Papers, Swiss National Bank (2013)
  by Nikolay Markov & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2013-08)
• The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?
  Working Papers, Swiss National Bank (2014)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2014-01)
• Exchange rate returns and external adjustment: evidence from Switzerland
  Working Papers, Swiss National Bank (2014)
  by Dr. Christian Grisse & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2014-12)
• Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market
  Working Papers, Swiss National Bank (2014)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2014-13)
• Is there a too-big-to-fail discount in excess returns on German banks' stocks?
  Working Papers, Swiss National Bank (2015)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2015-08)
• Securitisation, loan growth and bank funding: the Swiss experience since 1932
  Working Papers, Swiss National Bank (2016)
  by Jonas Meuli & Dr. Thomas Nellen & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2016-18)
• Predicting returns on asset markets of a small, open economy and the influence of global risks
  Working Papers, Swiss National Bank (2017)
  by David Haab & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2017-14)
• Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?
  Working Papers, Swiss National Bank (2018)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2018-09)
• Carry trade and forward premium puzzle from the perspective of a safe-haven currency
  Working Papers, Swiss National Bank (2018)
  by Dr. Thomas Nitschka & David Haab
  (ReDIF-paper, snb:snbwpa:2018-17)
• Stock market evidence on the international transmission channels of US monetary policy surprises
  Working Papers, Swiss National Bank (2020)
  by Tim D. Maurer & Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2020-10)
• Habits die hard: implications for bond and stock markets internationally
  Working Papers, Swiss National Bank (2021)
  by Dr. Thomas Nitschka & Shajivan Satkurunathan
  (ReDIF-paper, snb:snbwpa:2021-08)
• Responses of Swiss bond yields and stock prices to ECB policy surprises
  Working Papers, Swiss National Bank (2022)
  by Dr. Thomas Nitschka & Diego M. Hager
  (ReDIF-paper, snb:snbwpa:2022-08)
• Evidence on the international financial spillovers of the New York Bankers' Panic of 1907
  Working Papers, Swiss National Bank (2024)
  by Dr. Thomas Nitschka
  (ReDIF-paper, snb:snbwpa:2024-07)
• What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
  Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics (2019)
  by David R. Haab & Thomas Nitschka
  (ReDIF-article, spr:sjecst:v:155:y:2019:i:1:d:10.1186_s41937-019-0045-3)
• Responses of Swiss interest rates and stock prices to ECB policy surprises
  Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics (2023)
  by Diego M. Hager & Thomas Nitschka
  (ReDIF-article, spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00117-8)
• Central bank reserves and bank lending spreads
  Applied Economics Letters, Taylor & Francis Journals (2021)
  by Lucas Marc Fuhrer & Thomas Nitschka & Dan Wunderli
  (ReDIF-article, taf:apeclt:v:28:y:2021:i:15:p:1301-1305)
• Unknown item RePEc:taf:apfiec:v:23:y:2013:i:7:p:551-560 (article)
• The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
  Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
  by Victoria Atanasov & Thomas Nitschka
  (ReDIF-paper, tin:wpaper:20130180)
• Risk premia on Swiss government bonds and sectoral stock indexes during international crises:
  Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research (2016)
  by Thomas Nitschka
  (ReDIF-article, usg:auswrt:2016:67:02:51-67)
• Securitization of mortgage debt, domestic lending, and international risk sharing
  Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons (2012)
  by Mathias Hoffmann & Thomas Nitschka
  (ReDIF-article, wly:canjec:v:45:y:2012:i:2:p:493-508)
• The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization
  Review of Financial Economics, John Wiley & Sons (2013)
  by Thomas Nitschka
  (ReDIF-article, wly:revfec:v:22:y:2013:i:3:p:118-124)
• The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability
  Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006)
  by Nitschka, Thomas
  (ReDIF-paper, zbw:sfb475:200611)
• Does sensitivity to cashflow news explain the value premium on European stock markets?
  Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006)
  by Nitschka, Thomas
  (ReDIF-paper, zbw:sfb475:200612)
• Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe
  VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association (2011)
  by Nitschka, Thomas
  (ReDIF-paper, zbw:vfsc11:48684)
• Habits die hard: implications for bond and stock markets internationally
  VfS Annual Conference 2021 (Virtual Conference): Climate Economics, Verein für Socialpolitik / German Economic Association (2021)
  by Nitschka, Thomas & Satkurunathan, Shajivan
  (ReDIF-paper, zbw:vfsc21:242358)
• The Impact of COVID-19 and other Crises on the Responses of Swiss Bond Yields and Stock Prices to ECB Policy Surprises
  VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association (2022)
  by Hager, Diego & Nitschka, Thomas
  (ReDIF-paper, zbw:vfsc22:264018)
• The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2007)
  by Mathias Hoffmann & Thomas Nitschka
  (ReDIF-paper, zur:iewwpx:331)
• International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2007)
  by Thomas Nitschka
  (ReDIF-paper, zur:iewwpx:338)
• Cashflow news, the value premium and an asset pricing view on European stock market integration
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2007)
  by Thomas Nitschka
  (ReDIF-paper, zur:iewwpx:339)
• Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2007)
  by Thomas Nitschka
  (ReDIF-paper, zur:iewwpx:340)
• Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2008)
  by Mathias Hoffmann & Thomas Nitschka
  (ReDIF-paper, zur:iewwpx:376)
• The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2008)
  by Thomas Nitschka
  (ReDIF-paper, zur:iewwpx:385)
• Momentum in stock market returns, risk premia on foreign currencies and international financial integration
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2009)
  by Thomas Nitschka
  (ReDIF-paper, zur:iewwpx:405)