Contributions published at Finance (Kjell G. Nyborg)

Die vorliegende Arbeit befasst sich mit dem Einfluss der Unternehmensgrösse auf den effekti-ven Steuersatz (ETR) kotierter Unternehmen in der Schweiz. Nebst der Unternehmensgrösse wurden auch industrie- und kantonsspezifische Unterschiede sowie weitere firmenspezifische Variablen wie z.B. der Verschuldungsgrad untersucht. Insgesamt werden 173 Unternehmen für die Periode 2007-2016 in die Untersuchung miteinbezogen. Die Resultate lassen darauf schliessen, dass die Unternehmensgrösse keinen signifikanten Ein-fluss auf den effektiven Steuersatz hat. Je nach Berechnung des Masses für den effektiven Steu-ersatz findet man eine negative Beziehung zwischen ETR und Verschuldungsgrad. Auch die Zugehörigkeit der Unternehmen zu verschiedenen Industrien und Kantonen haben keinen sig-nifikanten Einfluss auf den ETR.

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This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern, with low liquidity in early and late trading hours. Moreover, repo market liquidity is negatively affected by stress in the global financial system and the end of the minimum reserve requirement period if central bank reserves are scarce. Furthermore, I show that with excess central bank reserves in the financial system, quoted volumes in the interbank market get imbalanced towards more cash provider relative to cash taker quotes and the trading volume declines. By estimating liquidity in an interbank repo market and explaining its drivers, this paper contributes to the ongoing debate on repo market functioning.

This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.

Die Arbeit definiert den Begriff Familienunternehmen und untersucht den Effekt der Unternehmenssteuerreform III auf Familienunternehmen unter der Ausgestaltung im Kanton Zürich. Die qualitativen und quantitativen Analysen haben ergeben, dass sich auf Unternehmensstufe die Patentbox, die erhöhten Abzüge für Forschung & Entwicklung, die zinsbereinigte Gewinnsteuer sowie die Anpassung der Kapitalsteuer, wenn überhaupt, positiv auswirken. Die Änderung der Teilbesteuerung hat hingegen einen negativen Einfluss auf die Eigentümer. Auf Familienunternehmen ohne Statusbesteuerung hat die Unternehmenssteuerreform III unter der Berücksichtigung der Gewinnsteuersatzsenkung einen positiven Effekt. Der Effekt auf Familienunternehmen mit Statusbesteuerung hängt stark davon ab wie die einzelnen Ersatzmassnahmen genutzt werden können.

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Das Steueramt des Kantons Zürich hat am 1. März 2016 eine neue Weisung zur Bewertung von Startup-Aktien für die Vermögenssteuer veröffentlicht. Ausserdem stimmt das Schweizer Stimmvolk am 12. Februar 2017 über die Umsetzung der Unternehmenssteuerreform III ab. Die vorliegende Arbeit kommt zum Schluss, dass die neue Bewertungspraxis eine Verbesserung gegenüber der vorherigen Praxis darstellt, jedoch immer noch einen grossen Standortnachteil im Vergleich zur Bewertung in anderen Kantonen darstellt. Die Unternehmenssteuerreform III wird hingegen keine bedeutenden Auswirkungen auf die Startups in ihrer Gründungs- und Aufbauphase haben. Erst in einer späteren Phase können sie von den tieferen Gewinnsteuern profitieren.

What is the added value of a security which qualifies as a “high-quality liquid asset” (HQLA) under the Basel III “Liquidity Coverage Ratio” (LCR)? In this paper, we quantify the added value in terms of yield changes and, as suggested by Stein (2013), call it “HQLA premium”. To do so, we exploit the introduction of the LCR in Switzerland as a unique quasi-natural experiment and we find evidence for the existence of an HQLA premium in the order of 4 basis points. Guided by theoretical considerations, we claim that the HQLA premium is state dependent and argue that our estimate is a lower bound measure. Furthermore, we discuss the implications of an economically significant HQLA premium. Thereby, we contribute to a better understanding of the LCR and its implications for financial markets.

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Central banks inject money into the economy against collateral, but we know little about the terms of the exchange. This column argues that market forces or discipline have little role to play in the central bank collateral frameworks that are the foundation of the monetary and financial system. This distorts the financial system and wider economy – in the Eurozone, for example, political influence on these frameworks has created indirect bailouts of some banks and sovereigns.

We jointly estimate a New Keynesian Policy Model with a Gaussian affine no-arbitrage specification of the term structure of interest rates, and assess how important inflation, output and monetary policy shocks are as sources of fluctuations in interest rates and the term premium. To mitigate computational difficulties, we work with observable pricing factors only and utilize the computationally convenient normalization of Joslin et al. (2013b). This allows us to estimate the model without needing to restrict the parameters driving the market prices of risk. Using data for the U.S. from 1962:Q1 to 2014:Q2, we find that inflation and the output gap account for around 80% of the unconditional forecast error variance of bond yields at the short and medium end of the term structure, while monetary policy shocks account for around 20%. Our impulse response function analysis suggests that bond yields respond to macroeconomic shocks only gradually, peaking after about 4 quarters. This is due to sizable monetary policy inertia estimates in our model. At the peak of the response, inflation shocks increase bond yields by more than one-to-one, while output shocks do so by less than one-to-one, which is consistent with a Taylor type monetary policy rule. Our estimated time-varying term premium is strongly counter-cyclical. Moreover, we show that it can capture salient features of the term structure that constitute a puzzle in the expectations hypothesis, that is, LPY(i) and LPY(ii).

The acquisition of a company by another company is considered in research as well as in the business world as the biggest investment a firm can undertake within its legal environment. Regarding the relevance of this occasion, the deal structure becomes more complicated and the decisions on it more important the greater the deal is. Therefore, the basic legal forms of mergers and acquisition and its implications are important to understand in a first place. One of the most crucial decisions of the acquirer and the target company in a corporate transaction is the agreement on the method of payment. Common ways to pay for the control over another company are by using cash, stocks or other securities separately or in a mix. Especially the choice between cash and stocks has attracted a lot of attention in research over the last three decades. While this choice may be a result of many sophisticated rationales it is also very depending on the circumstances in which each deal is settled. But as research has proceeded with big samples tests and precise methodology over the years, we are now able to pin down general thoughts behind the choice of the medium of exchange. Namely, there are four determined topics: Corporate Control, Asymmetric Information, Bidder’s financial strength and the taxation of the company and the individual. As post-transaction control ownership in the new entity, the informational differences about the true value of the bidder’s stock and taxation consequences can be described as strategic thoughts behind the choice, a firm’s debt capacity expressed by its fundamental financial strength is more an ex-ante criterion. On point, if a company has no access to cash sources then it doesn’t have to spend time on any advantage or disadvantage thoughts of cash usage.