Every working paper, including those with a published journal version.
Cashless payments and consumer spending
with Martin Brown, Yves Nacht and Helmut Stix
SNB Working Paper 2023-06
We examine how payment choice affects discretionary spending for a representative sample of
consumers. Our analysis is motivated by a model of intertemporal choice in which intramonth
liquidity constraints are endogenously determined by payment choice and cash management. In
the model, present-biased consumers overspend if they choose to pay by card, as their
spending is not limited by the amount of cash at hand. Our empirical analysis is based on
matched payment diary, payment methods and behavioral survey data. We find that present-
biased consumers spend more, the more often they use cashless payment instruments. The
effect of cashless payments on spending is strong both for low- and high-income consumers
but not among young consumers. We find no robust evidence that consumers choose cash
payments to self-constrain their spending.
@techreport{brown_nacht_nellen_stix2023,
author = {Brown, Martin and Nacht, Yves and Nellen, Thomas and Stix, Helmut},
title = {Cashless payments and consumer spending},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2023-06},
year = {2023}
}
Intraday liquidity around the world
with B. Alexandrova-Kabadjova and 18 others
BIS Working Paper 1089
We study intraday liquidity usage and its determinants using a unique cross-country data set
on large-value payments. We document that the amount of intraday liquidity that financial
institutions around the world use each day equals, on average, 15% of their total daily
payment values or 2.8% of their countries' GDP. We then define and calculate system-level
measures of liquidity efficiency and inequality in liquidity provision. We show that these
measures vary systematically with the degree of payment coordination among payment system
participants, the quantity and opportunity cost of central bank reserves and institutional
characteristics, such as incentives for early payment submission and liquidity saving
mechanism (LSM) design. Our results are consistent with the notion that payment system
participants behave strategically and manage intraday liquidity actively. Participants also
appear to condition their payment behaviour on specific LSM characteristics, which may
weaken some of the LSMs' intended effects.
@techreport{alexandrova2023,
author = {Alexandrova-Kabadjova, Biliana and others},
title = {Intraday liquidity around the world},
institution = {Bank for International Settlements},
type = {Working Paper},
number = {1089},
year = {2023}
}
The rise of digital watchers
with Till Ebner and Jörn Tenhofen
SNB Working Paper 2021-01
Many consumers use payment instruments to control their budget. Previously, such behavior
has been associated with checking disposable cash ("pocket watching"). Based on recent
survey data, we show that "digital watchers" have emerged, i.e., noncash payers who use
digital applications to control their budget. Both watcher types have distinct
characteristics. Pocket watchers tend to have lower incomes than other consumers, while
digital watchers ascribe low security risk to payment cards. Watching behavior influences
current and future payment behaviors. Pocket watchers use cash more intensively than
nonwatching cash payers. Digital watchers expect to intensify their reliance on noncash
payment instruments more strongly than nonwatching noncash payers.
@techreport{ebner_nellen_tenhofen2021,
author = {Ebner, Till and Nellen, Thomas and Tenhofen, J{\"o}rn},
title = {The rise of digital watchers},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2021-01},
year = {2021}
}
Covid-19 and regional shifts in Swiss retail payments
with Sébastien Kraenzlin and Christoph Meyer
SNB Working Paper 2020-15
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 policy makers.
@techreport{kraenzlin_meyer_nellen2020wp,
author = {Kraenzlin, S{\'e}bastien and Meyer, Christoph and Nellen, Thomas},
title = {Covid-19 and regional shifts in {S}wiss retail payments},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2020-15},
year = {2020}
}
Confederation debt management since 1970
with Basil Guggenheim and Mario Meichle
SNB Working Paper 2018-07
This paper presents new data vintages on marketable debt emissions and total outstanding
debt. The data are used to analyze the Swiss Confederation’s issuing behavior and debt
management. Issuing behavior became more regular and demand-oriented during the early 1990s.
The Treasury actively manages roll-over risk by increasing bond maturity with increasing
marketable debt to GDP levels. Furthermore, the Treasury engages in active but asymmetric,
one-sided interest rate positioning. In other words, the Treasury uses only 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.
@techreport{guggenheim_meichle_nellen2018wp,
author = {Guggenheim, Basil and Meichle, Mario and Nellen, Thomas},
title = {Confederation debt management since 1970},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2018-07},
year = {2018}
}
Securitisation, loan growth and bank funding: the Swiss experience since 1932
with Jonas Meuli and Thomas Nitschka
SNB Working Paper 2016-18
This paper empirically analyses securitisation in Switzerland from a macroeconomic and bank
balance sheet perspective based on a novel and near-comprehensive data set on a specific
form of securitisation over the sample period from 1932 to 2014. The Swiss Pfandbrief is a
distinct covered bond with a similar institutional framework as the U.S. Federal Home Loan
Bank System.
@techreport{meuli_nellen_nitschka2016wp,
author = {Meuli, Jonas and Nellen, Thomas and Nitschka, Thomas},
title = {Securitisation, loan growth and bank funding: the {S}wiss experience since 1932},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2016-18},
year = {2016}
}
Collateralised liquidity, two-part tariff and settlement coordination
single-authored
SNB Working Paper 2015-13
This paper analyses the liquidity management game played in payment systems with free but
collateralised intraday credit facilities, under the assumption that settlement risk is the
driving force. Settlement equilibria are found to depend on the combination of the intraday
liquidity facilities' design and the collateral policy applied by the central bank. The
effectiveness of a two-part tariff in coordinating on early settlement depends on the same
factors. Model predictions are consistent with stylised facts from a comparison of
settlement behaviour in the Swiss Interbank Clearing and Fedwire funds.
@techreport{nellen2015wp,
author = {Nellen, Thomas},
title = {Collateralised liquidity, two-part tariff and settlement coordination},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2015-13},
year = {2015}
}
The collateral costs of clearing
with Cyril Monnet
SNB Working Paper 2014-04
In this working paper, we study the 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 of all - central counterparty (CCP)
clearing. Clearing secures the settlement of obligations from over-the-counter (OTC) forward
contracts that smooth the income of risk-averse agents. Clearing requires collateral to
guarantee settlement; this is costly, as it reduces income from investment. While welfare is
greater under more sophisticated clearing arrangements, we find that these are also more
demanding in terms of collateral.
@techreport{monnet_nellen2014wp,
author = {Monnet, Cyril and Nellen, Thomas},
title = {The collateral costs of clearing},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2014-04},
year = {2014}
}
Does SIC need a heart pacemaker?
with Robert Oleschak
SNB Working Paper 2013-10
Real-time gross settlement (RTGS) systems effect final settlement of payments continuously
and on an individual basis. This generates a trade-off between liquidity needs and
settlement delay. Against the background of reconstruction discussions, the paper analyses
whether more advanced algorithms reduce liquidity needs and settlement delay if applied to
the Swiss Interbank Clearing (SIC) system. Simulations run with the BoF-PSS2 simulator show
that expected reductions in liquidity needs and settlement delay are modest and should
carefully be evaluated against costs. More advanced settlement algorithms improve settlement
efficiency only if payment release behaviour is highly aligned.
@techreport{oleschak_nellen2013wp,
author = {Oleschak, Robert and Nellen, Thomas},
title = {Does {SIC} need a heart pacemaker?},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2013-10},
year = {2013}
}
Access policy and money market segmentation
with Sébastien Kraenzlin
SNB Working Paper 2012-12
We analyse deviations between interest rates paid in the Swiss franc unsecured money market
and the respective Libor rate. First, banks that have access to the secured interbank market
and the SNB's monetary policy operations pay less than banks without access. Second,
domestically unchartered, foreign banks pay more than domestic banks. We find that these
segmentations are limited both during normal times and during the financial crisis starting
2007 thanks to open access to the secured interbank market and the SNB's monetary policy
operations. These findings reveal that a neglected aspect of monetary policy implementation
matters, namely access policy.
@techreport{kraenzlin_nellen2012wp,
author = {Kraenzlin, S{\'e}bastien and Nellen, Thomas},
title = {Access policy and money market segmentation},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2012-12},
year = {2012}
}
Interoperability between central counterparties
with Jürg Mägerle
SNB Working Paper 2011-12
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.
@techreport{magerle_nellen2011wp,
author = {M{\"a}gerle, J{\"u}rg and Nellen, Thomas},
title = {Interoperability between central counterparties},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2011-12},
year = {2011}
}
Daytime is money
with Sébastien Kraenzlin
SNB Working Paper 2010-06
Based on real-time trade data from the Swiss franc overnight interbank repo market and SIX
Interbank Clearing (SIC) - the Swiss real-time gross settlement (RTGS) system - we are able
to gain valuable insights on the daytime value of money and its determinants: First, an
implicit hourly interbank interest rate can be derived from the intraday term structure of
the overnight rate. We thereby provide evidence that an implicit intraday money market
exists. Second, we show that after the introduction of the foreign exchange settlement
system CLS the value of intraday liquidity has increased during the hours of the CLS
settlement cycle. Third, the turnover as well as the liquidity in SIC influence the intraday
rate correspondingly. These facts provide evidence for the cost of immediacy. Features like
RTGS, delivery-versus-payment and payment-versus-payment substitute credit risk with
liquidity risk which in turn increases the value of intraday liquidity. The analysis is
central bank policy relevant insofar as different designs of intraday liquidity facilities
and different collateral policies result in different intraday term structures for the
overnight money market.
@techreport{kraenzlin_nellen2010wp,
author = {Kraenzlin, S{\'e}bastien and Nellen, Thomas},
title = {Daytime is money},
institution = {Swiss National Bank},
type = {Working Paper},
number = {2010-06},
year = {2010}
}