Journal of Money, Credit and Banking 53(5), 939–970, 2021
We study three generic clearing arrangements in the presence of two‐sided limited
commitment: simple bilateral clearing, segregated collateral clearing through a third party,
and—most sophisticated—central counterparty (CCP) clearing. Clearing secures the settlement
of obligations from over‐the‐counter forward contracts that smooth the income of risk‐averse
traders. Clearing requires collateral to guarantee settlement; this is costly, as it reduces
income from investment. More sophisticated clearing arrangements require more collateral. As
a result, the welfare gains of CCP clearing may be mostly due to segregation, while
mutualization of losses could contribute little to welfare.
@article{monnet_nellen2021,
author = {Monnet, Cyril and Nellen, Thomas},
title = {The collateral costs of clearing},
journal = {Journal of Money, Credit and Banking},
year = {2021},
volume = {53},
number = {5},
pages = {939--970}
}
Covered bonds, loan growth and bank funding: the Swiss experience since 1932
with Jonas Meuli and Thomas Nitschka
International Finance 24(1), 77–94, 2021
The global financial crisis triggered discussions about what factors constitute a stable
mortgage finance system. This paper contributes to these discussions by empirically
analysing the Swiss mortgage finance system from a macroeconomic and banking sector balance
sheet perspective. Our analysis is based on a novel and near‐comprehensive data set of
mortgage bond (Swiss Pfandbrief) issuances over the sample period from 1932 to 2014. The
empirical results suggest that growth in the volume of the Swiss Pfandbrief does not induce
more loan growth than expected given the state of the economy and that compared with other
bank refinancing activities, the Swiss Pfandbrief provides a stabilising source of funding.
@article{meuli_nellen_nitschka2021,
author = {Meuli, Jonas and Nellen, Thomas and Nitschka, Thomas},
title = {Covered bonds, loan growth and bank funding: the {S}wiss experience since 1932},
journal = {International Finance},
year = {2021},
volume = {24},
number = {1},
pages = {77--94}
}
Covid-19 and regional shifts in Swiss retail payments
with Sébastien Kraenzlin and Christoph Meyer
Swiss Journal of Economics and Statistics 156:14, 2020
This paper analyzes card payments to the retail sector in Switzerland during the COVID-19
crisis. We provide evidence on aggregate effects and regional shifts. Pronounced
shifts—which persisted post-lockdown—can be observed from urban to suburban and rural areas
and among cantons. Data allow us to identify directly two sources of shifts: “tourists and
business travelers” and “e-commerce.” We indirectly identify additional sources: infection
risk, lockdown measures, working from home, shopping tourism, and cash substitution. The
COVID-19 crisis seems to have reinforced pre-existing trends that may have faster than
anticipated effects on the economy. Our analysis underscores the usefulness of real-time
card payment data to inform policymakers.
@article{kraenzlin_meyer_nellen2020,
author = {Kraenzlin, S{\'e}bastien and Meyer, Christoph and Nellen, Thomas},
title = {Covid-19 and regional shifts in {S}wiss retail payments},
journal = {Swiss Journal of Economics and Statistics},
year = {2020},
volume = {156},
pages = {14}
}
Intraday liquidity facilities, late settlement fee and coordination
single-authored
Journal of Banking and Finance 106, 124–131, 2019
This paper analyses the intraday liquidity management game played in large-value payment
systems accounting for a variable and a fixed cost of liquidity. While the liquidity cost is
a decisive factor for settlement behaviour, the availability of intraday liquidity until
end-of-day matters too, as it mutes late settlement incentives originating from settlement
risk. Whether liquidity is provided via overdraft or intraday credit hardly matters. A late
settlement fee can both disincentivise settlement coordination or implement early
settlement. Its calibration is usually non-trivial with the major exception of a fixed cost
and end-of-day availability of intraday liquidity.
@article{nellen2019,
author = {Nellen, Thomas},
title = {Intraday liquidity facilities, late settlement fee and coordination},
journal = {Journal of Banking and Finance},
year = {2019},
volume = {106},
pages = {124--131}
}
Confederation debt management since 1970
with Basil Guggenheim and Mario Meichle
Swiss Journal of Economics and Statistics 155:15, 2019
This paper analyzes the Confederation’s debt management. The Confederation actively manages
roll over and interest rate risk by increasing bond maturity with increasing marketable
debt-to-GDP levels. It further engages in active but asymmetric, one-sided interest rate
positioning; i.e., it uses mostly bonds to affect debt maturity and does so only when the
interest rate environment is favorable to lock-in interest rates by issuing longer-term
bonds. Debt management is mainly driven by marketable debt rather than total debt. Issuing
behavior became more regular and demand-oriented during the early 1990s when marketable and
total debt increased in tandem.
@article{guggenheim_meichle_nellen2019,
author = {Guggenheim, Basil and Meichle, Mario and Nellen, Thomas},
title = {Confederation debt management since 1970},
journal = {Swiss Journal of Economics and Statistics},
year = {2019},
volume = {155},
pages = {15}
}
Interoperability between central counterparties
with Jürg Mägerle
Journal of Financial Market Infrastructures 4(2), 49–71, 2015
In reaction to recent requests for interoperability between central counterparties of
European stock markets, regulators have issued new guidelines to contain systemic risk. Our
analysis confirms that the currently applied cross-CCP risk management model can be a source
of contagion, particularly if applied in multilateral frameworks. While regulators' new
guidelines eliminate systemic risk, this comes at the cost of an inefficiently
overcollateralised clearing system. We discuss further approaches that contain systemic risk
while reducing or eliminating overcollateralisation. Interoperability is of economic
importance as it may contribute to the efficiency and safety of a worldwide fragmented
clearing infrastructure.
@article{magerle_nellen2015,
author = {M{\"a}gerle, J{\"u}rg and Nellen, Thomas},
title = {Interoperability between central counterparties},
journal = {Journal of Financial Market Infrastructures},
year = {2015},
volume = {4},
number = {2},
pages = {49--71}
}
Access policy and money market segmentation
with Sébastien Kraenzlin
Journal of Monetary Economics 71, 1–12, 2015
Deviations between interest rates paid in the Swiss franc unsecured money market and the
respective Libor rate are analysed for a period spanning the financial crisis. First, banks
that have access to sources of secured central bank and interbank funding pay less than
other banks. Second, foreign banks (not chartered in Switzerland) pay more than domestic
banks. Third, both lines of segmentation are economically relevant but limited due to open
access to sources of secured funding. Thus, access policy matters for monetary policy
implementation and financial stability.
@article{kraenzlin_nellen2015,
author = {Kraenzlin, S{\'e}bastien and Nellen, Thomas},
title = {Access policy and money market segmentation},
journal = {Journal of Monetary Economics},
year = {2015},
volume = {71},
pages = {1--12}
}
Daytime is money
with Sébastien Kraenzlin
Journal of Money, Credit and Banking 42(8), 1689–1702, 2010
Based on trade data from the Swiss franc overnight interbank repo market, we gain valuable
insights into the daytime value of money. In analogy to Baglioni and Monticini (2008), we
provide evidence that an implicit intraday money market exists. We further show that the
introduction of foreign exchange settlement system, Continuous Linked Settlement, increased
the implicit value of intraday liquidity during settlement cycle hours, thus providing
further evidence of the cost of immediacy. Finally, we provide evidence that during the
financial market turmoil the implicit intraday interest in a secured money market was less
affected than that in an unsecured money market.
@article{kraenzlin_nellen2010,
author = {Kraenzlin, S{\'e}bastien and Nellen, Thomas},
title = {Daytime is money},
journal = {Journal of Money, Credit and Banking},
year = {2010},
volume = {42},
number = {8},
pages = {1689--1702}
}
Swiss Interbank Clearing
with Daniel Heller and Andy Sturm
Financial Markets and Portfolio Management 14(4), 2000
BibTeX
@article{heller_nellen_sturm2000,
author = {Heller, Daniel and Nellen, Thomas and Sturm, Andy},
title = {{S}wiss {I}nterbank {C}learing},
journal = {Financial Markets and Portfolio Management},
year = {2000},
volume = {14},
number = {4}
}
Book chapters and thesis
Budget control and payment behavior: evidence from Switzerland
with Till Ebner and Jörn Tenhofen
In Cash in the Age of Payment Diversity, International Cash Conference, Deutsche Bundesbank, 2020
Does SIC need a heart pacemaker?
with Robert Oleschak
In Diagnostics for the Financial Markets, Simulator Seminar Proceedings 2009–2011, 2012