Swiss Franc Research Articles

The Residential Integration of Transnational Regional Economies: Evidence from the 2015 Swiss Franc Appreciation

The Residential Integration of Transnational Regional Economies: Evidence from the 2015 Swiss Franc Appreciation

THE RELATIONSHIP BETWEEN STOCKS AND EXCHANGE RATES: AN ANALYSIS FROM LEHMAN BROTHERS COLLAPSE IN THE USA

In this study, we comparatively examine the issue of granger causality between exchange rates and stock index for the United States before and after global financial crisis within the context of Lehman Brothers’ collapse. The analysis includes the monthly stock index and exchange rate data. Euro and Swiss Franc parities against Dollar were selected as exchange rates. After the investigation we found out that Dow Jones Industrial Average and USD/CHF were the Granger cause of USD/EUR exchange rates before the collapse of Lehman Brothers. However, there is no causality after the collapse.

A novel machine-learning approach for evaluating rebounds-associated environmental footprint of households and application to cooperative housing

Multiple environmental policies aim to increase resource efficiency and reduce consumption of goods and services with high environmental impact. This may lead to cost-savings and, consequently, additional consumption with environmental impacts (rebound effects). In this study, a supervised machine-learning model (i.e. an application of random forest regression) is developed to quantify consumption rebound effects. In contrast to previous approaches, it is a versatile method, which allows to estimate any income-related rebound at household level considering specific household properties and the entire profile of consumption. Socio-economic properties (e.g. income, age group) of the households are used as the independent properties for the regressor to detect the dependent consumption expenses of the households. Thus, this method can be used as a bottom-up study for understanding rebounds and developing targeted measures to prevent or reduce rebound effects. To illustrate the application of the method, it is applied to the case of cooperative housing in Switzerland. In addition to environmental goals, the cooperative aims to provide affordable housing, and the reduced rent increases the disposable income of tenants. The results show that households tend to spend the ‘extra’ income on housing (e.g. for larger apartments) and travel. For the former, the cooperative already has a policy in place regulating the apartment area permitted per person, which delimits induced environmental impacts. For the latter, households with lower income particularly spend their extra-money on purchase and operation of vehicles, while higher-income groups rather spend it on recreation and package holidays. Travel, housing, clothing and personal care products have highest emissions per Swiss Franc (∼0.3–0.6 kg CO2-eq/CHF). Thus, it is recommended to provide incentives for shifting these expenses to other consumption, to avoid jeopardizing environmental goals. The method was also used for a range of other applications e.g. rebounds due to energy-efficient devices to illustrate its versatility.

Global risk sentiment and the Swiss franc: A time-varying daily factor decomposition model

This paper develops an FX factor model to decompose short-term bilateral exchange rate dynamics into different global factors and local uniqueness. We apply the model to the Swiss franc exchange rates against the US dollar (USDCHF) and the euro (EURCHF) between 2006 and 2018 and decompose daily dynamics into three global factors: risk, US dollar, and euro. The model captures daily dynamics well, explaining approximately 73% of the variation in USDCHF and 37% of the variation in EURCHF, reflecting the importance of global factors for Swiss franc exchanges rates. The risk factor contributes the most to Swiss franc dynamics, especially in times of a worsening risk environment, highlighting the role of the Swiss franc as a safe-haven currency. Global factors had been almost completely reflected in USDCHF dynamics before the euro area debt crisis, but once that crisis began, they also became important for EURCHF. In a case study of the introduction of the EURCHF minimum exchange rate we showcase the importance of momentum in daily Swiss franc returns.

Foreign currency loan conversions and currency mismatches

This paper examines the effect of currency conversion programs from Swiss franc-denominated loans to other currency loans on currency risk for banks in Central and Eastern Europe (CEE). Swiss franc mortgage loans proliferated in CEE countries prior to the financial crisis and contributed to the volume of non-performing loans as the Swiss franc strongly appreciated during the post-crisis period. Empirical findings suggest that Swiss franc loan conversion programs reduced currency mismatches in Swiss francs but increased currency mismatches in other foreign currencies in individual countries. This asymmetric effect of conversion programs arises from the loan restructuring from Swiss francs to a non-local currency and the existing high level of euro mismatches in the CEE banking system.

Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc

AbstractIn this paper, a structural model is proposed that allows monetary authorities to determine the size of foreign exchange market interventions that are expected to be necessary to implement a minimum exchange rate regime. An empirical application of the proposed model to the minimum exchange rate regime that the Swiss National Bank (SNB) implemented vis‐à‐vis the euro from September 2011 to January 2015 reveals that it is well suited to explain the actual size of these interventions and that, in January 2015, the SNB’s euro purchases might have been large without the abandonment of the minimum exchange rate regime, which is consistent with the official statements of the SNB in the aftermath of that episode.

The Bitcoin: to be or not to be a Real Currency?

The present article focuses on whether the Bitcoin shows sign of increased confidence as a value storage vehicle, a prerequisite to becoming a fully fledged currency. Using Bloomberg data over the period 2008-2017, we find a cointegration relationship between the dollar prices of Bitcoin, Gold and Swiss Franc. The two latter assets are classic safe haven assets, suggesting that at least some Bitcoin buyers are interested in value storage and boding well for its future adoption rate.

Price distortions and municipal bonds premiums: evidence from Switzerland

This study examines the pricing of municipal bonds before and after a currency shock in Switzerland. Two approaches are used to decompose the municipal to treasuries bond spreads into liquidity, maturity, and default risk premiums. The first approach is the model of the cross-sectional instrumental variables, and the second approach is the model of the instrumental variables with panel data. This study examines the composition of spreads for both approaches, in three scenarios: before, throughout, and after the currency shock. The study performed Durbin-Wu-Hausman tests for each decisive model to verify endogeneity issues, including the Lagrangian Multiplier test, the Cragg-Donald Wald F statistic to confirm the relationship of instrumental and endogenous variables, and the structural break test (Bai-Perron test) to determine the existence of structural breaks in bond distortions. This study finds that the currency price distortions of the Swiss franc in January 2015 made long-run changes in the composition of the municipal bond spreads. This research contributes to the understanding of municipal bond pricing by showing that default risk accounts for a large portion of the municipal bond spread, while maturity risk plays a lesser role. According to our empirical findings, unexpected large currency price shocks may have long-term implications on the municipal bond spreads.

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility. The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks. Meanwhile, the curvature of the yield curve and the Japanese Yen, Swiss Franc, and British Pound act mainly as net receivers. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level, slope, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits. However, similar to the static analysis, our dynamic analysis shows that during different periods and particularly in stressful times, Bitcoin is far from being isolated from other currencies or the yield curve components. The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress. Evidence supporting this contention is the substantially increased connectedness due to policy shocks, political uncertainty, and systemic crisis, implying no empirical support for Bitcoin’s safe-haven property during stress times. The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times, Bitcoin has the property of a diversifier. The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

Do Terror Attacks Affect the Euro? Evidence from the 21st Century

The objective of this paper is to examine whether terror attacks that took place in the Eurozone in the 21st century had a significant effect on the price of the Euro. Its novelty is twofold: it is the first study that assesses the impact of such events on the price of the Euro and employs a relatively large number of these events. The event-study methodology is used to deduce whether, after a terror event, the value of the Euro declines vs. other major currencies. We found that it does not, since following such an event, the decline was seldom over 0.5%. We also found, however, evidence of some diversion to safe-haven currencies, such as the Swiss Franc. Regression analysis revealed that factors such as the ‘number of attacks’, the ‘type of target’ and the ‘type of attack’, but not the number of casualties, affected the price of the Euro.

A Comparative Analysis of Weak and Semi-Strong Form Efficiency of Nigerian and South African Foreign Exchange Market

Foreign exchange market is said to be efficient if all available information are reflected in its exchange rates. An efficient foreign exchange translates to absence of profitable and exploitable trends which means that it is impossible for market participants or private agents to outperform the market. This study investigated the weak and semi-strong form efficiency of Nigerian and South African foreign exchange market to determine the significance of past exchange rates in predicting the present rate which is the test of weak form efficiency and it examined the co-integration relationships between selected pairs of exchange rate to determine the semi-strong efficiency. The secondary data used in this study were sourced mainly from the Central Bank of Nigeria Statistical Bulletin, the South African Reserve Bank Bulletin and the oanda exchange rate websites. The data used were the inter-bank spot exchange rates of Naira and Rand to Swiss Franc, Euro, Pounds, Dollar and Yen for the period of January 2010 to December 2017. The Augmented Dickey Fuller (ADF) test and the Phillip Peron (PP) test were employed to determine the weak form efficiency while the Variance Decomposition, Granger Causality and Co-integration tests were used to determine the semi-strong form efficiency of both countries. The results of the study revealed that the Nigerian foreign exchange market is efficient in the weak and semi-strong form at 5% level of significance while the weak form efficiency of South African foreign exchange market revealed mixed results. The market is efficient in the weak form except for the case of Rand to Dollar and Rand to Yen which showed inefficiency. The market is equally efficient in semi-strong form. The study concluded that market participants cannot make exploitable profits by trading in both markets because all past and publicly available information are already incorporated in the prices of exchange rates. It was therefore recommended that the inter-bank market in both countries should be well monitored and managed by the regulatory authorities so as to promote the effective and efficient smooth functioning of the foreign exchange market as well as achieving a stable and realistic exchange rates.

Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets

This paper examines the time-frequency return and volatility spillovers between major commodity futures (copper, crude oil, gold, and wheat) and currency markets (British pound, Canadian dollar, Euro, Japanese yen, Swedish krona, and Swiss franc) using the methodologies by Diebold and Yılmaz (2012) and Baruník and Křehlík (2018). The results show that the spillover between markets under investigation is time-varying, asymmetric, and crisis-sensitive. Furthermore, short-term return spillovers dominate the intermediate- and long-term spillovers. In contrast, long-term volatility spillovers constitute the principal proportion of the total volatility spillovers. COVID-19 and GFC intensify more the long-term volatility spillovers than short- and medium-terms. Wheat is the better portfolio diversfier among the four commodities irrespective of the investment horizons. Liquidity shocks show a stronger impact on the return and volatility spillover strengths than the economic policy uncertainty and volatility index. The effect of liquidity shocks on return is a sizable increase in connectedness in the short-term than in both medium- and long-terms. Our findings have significant implications for currency investors and policymakers.

Cryptocurrency in context of fiat money functions

The purpose of this paper is to investigate the ability of cryptocurrencies to fulfill three main money functions: medium of exchange, a unit of account, and store of value by applying a designated methodical approach to examine each currency function separately. The paper contributes to the scant literature on the subject as well as combines the accumulated knowledge of cryptocurrencies and comprehensively examines cryptocurrencies according to the mentioned functions. In this paper, cryptocurrencies are examined and studied not only from the perspective of strong fiat currencies but also include the currencies of developing countries, thus expanding the range of research on this topic and providing a broader approach. The cryptocurrencies examined are Bitcoin, Ethereum, and Ripple. In addition, data were collected on major exchange rates with respect to the Euro, namely, the United States dollar, Australian dollar, Swiss franc, Swedish krona, Japanese yen, Chinese Yuan, Russian ruble, Mexican peso, Argentine peso, South African rand. Finally, the following major stock market indices were selected: S&P500, FTSE, as well as commodity Gold. The study applied statistical analysis methods, Spearman correlation, cluster analysis, linear regression.

A 2% taurolidine catheter lock solution prevents catheter-related bloodstream infection (CRBSI) and catheter dysfunction in hemodialysis patients.

2% taurolidine catheter lock solution without additives is safe and efficient. CRBSI and dysfunction rates compare favorably against other studies in hemodialysis. In hemodialysis patients, catheter-related bloodstream infection (CRBSI) and catheter dysfunction are common and cause significant morbidity, mortality, and costs. Catheter lock solutions reduce CRBSI and catheter dysfunction rates, but solutions containing heparin, citrate, or antibiotics are associated with adverse effects. Due to its antimicrobial and antithrombotic properties and benign safety profile, taurolidine is suitable for use in catheter lock solutions. In this study the effectiveness and safety of a catheter lock solution containing 2% taurolidine without citrate or heparin (TauroSept®, Geistlich Pharma AG, Wolhusen, Switzerland) in hemodialysis patients were investigated for the first time. Data from 21 patients receiving chronic hemodialysis via tunneled central venous catheters with 2% taurolidine solution as a catheter lock were analyzed in a single-center retrospective study and compared with the existing literature in a review. The primary endpoint was CRBSI rate. Secondary endpoints included catheter dysfunction, treatment, and costs; catheter technical problems, resolution, and costs; and adverse events. Data were compared to outcomes with standard lock solutions in the literature. No CRBSIs occurred during the observation period of 5,639 catheter days. The catheter dysfunction rate was 0.71 per 1,000 catheter days, and the catheter dysfunction treatment costs were CHF (Swiss Franc) 543 per patient. No technical problems or adverse events related to the use of 2% taurolidine-containing catheter lock solution were observed. These results compare favorably with other catheter lock solutions. A solution containing 2% taurolidine seems suitable as a hemodialysis catheter lock. In a Swiss cohort, it prevented CRBSI, limited catheter dysfunction, and was cost-efficient.

New Continuum of High Volatile Currency Spillover During EU-BREXIT

In this study, the researchers observed the impact of Brexit on the Pound and its spillover to other European countries, likely to be affected during that period. The intraday high-frequency hourly return data of chief monies as Great Britain Pound (GBP), Euro (EUR), Danish Krone (DDK), Hungarian Forint (HUF), Turkish Lira (TRY), Swiss Franc (CHF), Swedish Krona (SEK), and Polish Zloty (PLN), for two months and one day, was utilized. The Intraday volatility spillover index approach and a further rolling window technique applied. The analysis of high-frequency data revealed that four currency pairs as TRY/USD, DKK/USD, PLN/USD, and HUF/USD, are highly volatile currencies. However, three pair currencies as GBP/USD, EUR/USD, and SEK/USD, are comparatively lesser volatile. The results and managerial implications reflect preparedness dynamics and proactiveness for a new continuum project that regional transmission effects of volatility spread from one currency to other currencies in the EU during Brexit.

Economic impact of the Swiss Diagnosis-Related Group system on acute neurorehabilitation

Objective: To assess the economic impact of introducing the Swiss Diagnosis-Related Group (DRG)-financing system on the Acute Neurorehabilitation Unit (ANRU) of a University hospital in 2012 and to discuss the implications in 2020.Methods: A retrospective study using monocentric patient cohort and collecting anonymized data of consecutive patients admitted to the ANRU in 2012 and 2013. The characteristics, DRG A43Z, costs and revenues were retrieved from the hospital accounting system and allowed a comparison between the 2012 and 2013 groups of patients.Results: Forty-seven patients were included over the assessment period. In 2012, of the 23 patients admitted, 20 were coded A43Z, while in 2013, out of the 24 admissions, only eight had that specific code (p < .01). The average length of stay (LOS) increased from 45.5 days in 2012 to 49.5 days in 2013. Similarly, the average cost per patient increased by Swiss Franc (CHF) 19,994 over the two years, from CHF 183,634 in 2012 to CHF 194,629 in 2013. Finally, the average reimbursement per patient diminished by CHF 11,392, from CHF 193,153 in 2012 to CHF 181,760 in 2013.Conclusions: The negative impact on the cost–revenue balance is linked to both the increased cost of a longer stay and the decreased revenue due to less patients being coded A43Z. This study highlights the difficulties to justify funding of the complex care needed and to properly reflect patient burden in medico-administrative documents. Certainly, there is a need for a concerted effort to identify the services and resources needed within the DRG-system to guarantee the optimal management of acute neurorehabilitation.

Euro, dollar or Swiss franc: which currency had the greatest impact on the Hungarian, Polish and Czech economies during the global financial crisis?

The article presents an analysis of the impact of foreign currency dynamics on the fundamentals (basic indices of the economic performance) of the Czech Republic, Hungary and Poland during the financial crisis of 2007/2008 and its aftermath until 2017. The subject of the analysis are three currencies: the US dollar, the euro and the Swiss franc. The assessment of their impact on the fundamentals of the three above-mentioned economies is based on the joint volatilities of bond spreads and currencies. A series of copula-GARCH models was estimated. The research demonstrates that the impact of foreign currencies was the strongest in the case of Poland and Hungary, as these two countries were more dependent on loans in foreign currencies than the Czech Republic. Another finding shows that the impact decreased significantly in Hungary after its government introduced loan conversion.

Foreign exchange market response to pandemic-induced fear: Evidence from (a)symmetric wild bootstrap likelihood ratio approach

This study tested whether pandemic-induced fear is a predictor of the exchange rate returns of seven major currencies – Australian dollar, Canadian dollar, Swiss franc, yuan, EURO, pound sterling, and yen. Daily data on US dollar-based exchange rate returns and the global fear index for COVID-19 pandemic for the period 10-02-2020–02-04-2021 were used. Symmetric and asymmetric wild bootstrap likelihood ratio tests were employed in testing the relationship. The symmetric test results showed that pandemic-induced fear is capable of predicting the exchange rate returns of the Swiss franc, yuan, and the EURO. Specifically, negative relationships were recorded between their returns and the global fear index for pandemics. The asymmetric test results however showed that increasing pandemic-induced fear leads to decreases in the returns of the Australian dollar, Canadian dollar, Swiss franc, yuan and EURO. Overall, this study showed that pandemic-induced fear is a predictor of exchange rate returns. It is therefore suggested that the maintenance of stability in the financial system should be treated as an integral part of policy responses designed to mitigate the adverse effects of pandemics. This way, economic agents will not be forced to move their investments to foreign currency-denominated assets due to fear of investment losses.

Health Impact and Cost-effectiveness Assessment for the Introduction of Universal Varicella Vaccination in Switzerland.

Varicella, caused by the varicella-zoster virus, is a highly contagious infectious disease with substantial health and economic burden to society. Universal varicella vaccination (UVV) is not yet recommended by the Swiss National Immunization Program, which instead recommends catch-up immunization for children, adolescents and adults 11-40 years of age who have no reliable history of varicella or are varicella-zoster virus-IgG seronegative. The objective of this study was to perform an assessment of health impact and cost-effectiveness comparing UVV with current practice and recommendations in Switzerland. A dynamic transmission model for varicella was adapted to Switzerland comparing 2 base-case schedules (no infant vaccination and 10% coverage with infant vaccination) to 3 different UVV schedules using quadrivalent (varicella vaccine combined with measles-mumps-rubella) and standalone varicella vaccines administered at different ages. Modeled UVV coverage rates were based on current measles-mumps-rubella coverage of approximately 95% (first dose) and 90% (second dose). Direct medical costs and societal perspectives were considered, with cost and outcomes discounted and calculated over a 50-year time horizon. UVV would reduce the number of varicella cases by 88%-90%, hospitalizations by 62%-69% and deaths by 75%-77%. UVV would increase direct medical costs by Swiss Franc (CHF) 39-49 (US $43-54) per capita and costs from a societal perspective by CHF 32-40 (US $35-44). Incremental quality-adjusted life-years per capita increased by 0.0012-0.0014. Incremental cost-effectiveness ratios for the UVV schedules versus the base-case were CHF 31,194-35,403 (US $34,452-39,100) per quality-adjusted life-year from the direct medical cost perspective and CHF 25,245-29,552 (US $27,881-32,638) from the societal perspective. UVV appears highly effective and cost-effective when compared with current clinical practice and recommendations in Switzerland from both a direct medical costs perspective and societal perspective.

Cost Effectiveness and Budget Impact of Siponimod Compared to Interferon Beta-1a in the Treatment of Adult Patients with Secondary Progressive Multiple Sclerosis with Active Disease in Switzerland.

ObjectiveThe study aim was to evaluate the cost effectiveness and budget impact of siponimod compared to interferon beta-1a for adult patients with secondary progressive multiple sclerosis (SPMS) with active disease, from a Swiss health insurance perspective.MethodsWe conducted an analysis using a Markov cohort model with a cycle length of 1 year, life-long time horizon, and discount rate of 3% for cost and health outcomes. We used a matching-adjusted indirect comparison to estimate clinical outcomes using data from the EXPAND randomised controlled trial of siponimod vs placebo and the Nordic SPMS randomised controlled trial of interferon beta-1a vs placebo as the basis for estimates of disability progression and relapse outcomes. We used 6-month confirmed disability progression results to estimate disability progression in the base-case analysis. We calculated quality-adjusted life-years (QALYs) based on an external study that administered the EQ-5D-3L questionnaire to European patients with multiple sclerosis. We included costs (Swiss Franc (CHF), year 2020) of drug acquisition/administration, adverse events and disease management. We also performed a budget impact analysis to estimate the cost over the first 3 years of introducing siponimod.ResultsFor the base case, siponimod resulted in mean incremental costs of CHF 84,901 (siponimod: CHF 567,838, interferon beta-1a: CHF 482,937) and mean incremental QALYs of 1.591 (siponimod: 7.495, interferon beta-1a: 5.905), leading to an incremental cost-effectiveness ratio of CHF 53,364 per QALY gained. In the probabilistic sensitivity analysis, the probability of the cost effectiveness of siponimod assuming a willingness-to-pay threshold of CHF 100,000 per QALY gained was 90%. Siponimod was projected to result in drug administration costs for siponimod of CHF 23,817,856 in the first 3 years after introduction, accompanied by large cost offsets in drug acquisition of other multiple sclerosis drugs. Considering drug administration, monitoring and adverse event management costs, it was estimated to result in additional healthcare costs in Switzerland of CHF 2,177,021.ConclusionsIn the base-case analysis, we found that siponimod may be cost effective for treating Swiss adult patients with SPMS with active disease. The results of the cost-effectiveness analyses are valid under the assumption that the efficacy of siponimod and the comparators on disability progression for the overall SPMS population would be the same in the active SPMS population.Clinical Trial IdentifierNCT01665144. This economic evaluation was based on the EXPAND trial.Supplementary InformationThe online version contains supplementary material available at 10.1007/s40273-021-01023-8.