Contributions published at Finance (Kjell G. Nyborg)

Zombie lending was found to be present in Europe in the aftermath of the financial crisis and during the European debt crisis. I present an overview of the previous literature. Using European bank level data covering the time from 2006-2018 I search for indications towards interest rate concessions and zombie lending as a whole. I found weaker banks equity wise to have less non-performing loans, contrary to previous findings. Furthermore, my regression showed a positive correlation between interest income and loans being impaired in a specific year, which could be an indication for interest rate concessions.

Die vorliegende Arbeit untersucht die Einflüsse der am 1. Januar 2018 in den Vereinigten Staa-ten eingeführten Steuerreform auf in den USA tätige Schweizer Unternehmen. Die Analyse basierend auf den Grundzügen des US- und Schweizer Steuerrechts und die Vertiefung anhand detaillierter Fallstudien mit exemplarischen Steuerberechnungen zeigen, dass keine allgemeine Beurteilung erfolgen kann. Es bedarf einer Differenzierung über die Art und Weise wie die Geschäftstätigkeit in den USA wahrgenommen wird und eine Analyse der individuellen Aus-gangslage, um eine Aussage darüber zu treffen, ob sich die Steuerreform als Ganzes steuersen-kend oder steuererhöhend auswirkt.

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Im Kampf gegen die Steuerumgehung von internationalen Konzernunternehmen hat die OECD den Massnahmenplan BEPS ins Leben gerufen.1 Daraufhin wurde auch die EU Direktive ATAD eingeführt, um solche Gewinnverschiebungs– sowie Steuerumgehungspraktiken zu verhindern. 2 Anhand meiner Arbeit möchte ich die Hintergründe der OECD untersuchen und das Ergebnis des BEPS Action 4 aufzeigen. Ausserdem soll die Arbeit den Vergleich zur Schweiz ziehen und eine Empfehlung zu einer allfälligen Einführung in der Schweiz geben. Dank den Vorgaben der EU zur Einschränkung der Zinsabzugsmöglichkeiten, die mit den ATAD Direktiven seit dem 31.12.2018 europaweit umgesetzt worden sind, wurde der Handlungsspielraum für multinationale Unternehmen stark eingeschränkt.

Im Rahmen dieser theoretischen Arbeit wird die steuerliche Behandlung von Aktien, Anleihen, Derivaten, kollektiven Kapitalanlagen (KKA) und besonders der verschiedenen Kategorien Struk-turierter Produkte im Schweizer Privatvermögen (PV) erläutert. In Anbetracht der Vielfalt an un-terschiedlichen Bestandteilen bei gleichzeitig fast einheitlicher steuerlicher Behandlung wird die zugrunde liegende ökonomische Sachgerechtigkeit in Frage gestellt. Konsequenterweise führt ihre Verletzung zur präferentiellen respektive benachteiligten Besteuerung gewisser Produkte. Daraus könnten Anleger in bestimmten Situationen ihre steuerliche Belastung durch Eigenreplikation Strukturierter Produkte optimieren. Die einkommenssteuerliche Befreiung von unsicheren Kapi-talgewinnen und Erfassung sicherer Vermögenserträge lässt einen vom Fiskus beabsichtigten Zu-sammenhang mit dem Risikograd von Finanzinstrumenten vermuten. Inwiefern dieser innerhalb einer Kategorie sowie kategorienübergreifend mit deren Besteuerungsgrad zusammenhängt, wird theoretisch erörtert.1

This thesis investigates the eect of derivatives hedging employed by banks on the bank lending channel of the US monetary policy transmission mechanism from the beginning of 1995 through the end of 2018. My ndings appear consistent with theoretical studies on corporate hedging and its inuence on internal cash-ow stability and cost of external nancing. I show that banking corporations that manage their exposure to interest rate risk by means of derivative products, independent of their asset size, are in a position to insulate their lending business from monetary contractions. Finally, I nd that derivative nonuser banks are vulnerable to monetary tightening, because under such condition they slash their lending volumes. These results are in line with empirical evidence associating interest rate derivatives usage and loan portfolio growth.

We show that enhanced stock liquidity increases a firm’s propensity to hold cash using tick-size decimalization for identification. Our finding is surprising in light of the view that improved stock liquidity reduces financial constraints. As an explanation, we propose that there is a repurchase motive for holding cash. Higher stock liquidity strengthens this incentive. Consistent with this perspective, we show that firms with more liquid stock increase cash holdings relatively more around the introduction of safe harbor rules for repurchases. With respect to the effect of stock liquidity on cash holdings, therefore, our findings suggest that the repurchase motive dominates the real investments motive. We also show that this effect is not influenced by a firm’s relative ability to access to credit markets.

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This study investigates the short and longer run impact of analysts' stock recommendation revisions on stock performance in the Swiss and the German market. Furthermore, the opportunity to earn abnormal returns with consensus stock recommendations is evaluated in a portfolio strategy. The study nds statistically and economically signicant mean abnormal returns at the revision dates but no permanently existing, signicant abnormal returns in the months following the revisions. When excluding the largest rms, a long-short portfolio, that buys stocks with the most favorable consensus recommendations and sells short stocks with the least favorable ones, indicates the possibility of abnormal returns.

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The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained-arbitrage relation between the unsecured rate, the repo rates, and the expected rate of return of the underlying security. Negative collateral spreads arise in equilibrium if unsecured markets are sufficiently tight, unsecured rates spike down, or security markets are sufficiently depressed in terms of prices, liquidity, and volatility. The objective of this paper is to examine the determinants of collateral spreads by testing the constrained-arbitrage theory. The findings are supportive.

Repo rates frequently exceed unsecured rates in practice. As an explanation, this paper derives a constrained-arbitrage relation between the unsecured rate, the repo rate, and the illiquidity adjusted expected rate of return of the underlying collateral. The theory is based on unsecured borrowing constraints in the market for liquidity. Repos and security cash-market trades are alternative means to get liquidity. Collateral spreads (unsecured less repo rate) can turn negative if borrowing constraints tighten, unsecured rates spike down, or from a depressed and illiquid security market. The constrained-arbitrage theory sheds light on the evolution of collateral spreads over time.

This paper investigates the reactions of two different asset classes, stocks and bonds, on swiss markets to changes in monetary policy by both the Swiss National Bank (SNB) and the European Central Bank (ECB). Interest rate changes are decomposed into an expected and unexpected component. Empirically, this study finds that bonds react negatively to an unexpected increase in interest rates, while broad stock indices show a positive price reaction. Furthermore, there is a discernable difference in reactions, in the pre and post financial crisis period, with post financial crisis policy changes showing more exaggerated results.

This thesis evaluates the eects of the Swiss National Bank's (SNB) monetary policy on headline inflation and asset prices (housing and equities) by estimating vector autoregressive models using timing-restrictions to identify impulse response functions. An analysis of the relationship between inflation and the policy rate indicates a structural break around the financial crisis. Results over pre- and post-crisis subsamples suggest that the SNB has lost its impact on headline in ation after the crisis. Neither conventional nor unconventional expansionary measures are found to have increased headline in ation over the past decade. On the other hand, asset prices respond mostly positively.

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