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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Determinants of Swiss Money Market Debt Register Claim Yields
Organization Unit
  • Sandro Galli
  • Thorsten Hens
  • Enzo Rossi
  • English
Institution University of Zurich
Faculty Faculty of Economics, Business Administration and Information Technology
Number of Pages 40
Date August 2015
Abstract Text The thesis at hand analyzes the drivers of Swiss treasury bonds (so-called money market debt register claims) between January 2005 and June 2015. By separating the time-series into three parts, a detailed graphical analysis is made considering labor market announcements, investors' risk appetite, sovereign as well as bank default risk, economic shocks and so on. The author find that cross currency basis swaps influence the demand for the money market debt register claims, giving reason to think that a considerable amount of these assets are sold to international investors. Furthermore, the principle of the Swiss Treasury to issue debt according to the financing needs is violated after large economic shocks. Lastly, Switzerland has the opportunity to increase borrowings via money marked debt register claims substantially and would still not pay any interest.
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