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The vector autoregressive (VAR) model has been popularly employed in operational practice to study multivariate time series. Despite its usefulness in providing associated metrics such as the impulse response function (IRF) and forecast error variance decomposition (FEVD), the traditional VAR model estimated via the usual ordinary least squares is vulnerable to outliers. To handle potential outliers in multivariate time series, this paper investigates two robust estimation methods of the VAR model, the reweighted multivariate least trimmed squares and the multivariate MM-estimation. The robust information criteria are also proposed to select the appropriate number of temporal lags. Via extensive simulation studies, we show that the robust VAR models lead to much more accurate estimates than the original VAR in the presence of outliers. Our empirical results include logged daily realized volatilities of six common safe haven assets: futures of gold, silver, Brent oil and West Texas Intermediate (WTI) oil and currencies of Swiss Francs and Japanese Yen. Our sample covers July 2017–June 2020, which includes the history-writing price drop of WTI on April 20, 2020. Our baseline results suggest that the traditional VAR model may significantly overestimate some parameters, as well as IRF and FEVD metrics. In contrast, robust VAR models provide more reliable results, the validity of which is verified via various approaches. Empirical implications based on robust estimates are further illustrated. [ABSTRACT FROM AUTHOR]

Background: Biosimilars are biologic drugs that have the potential to increase the efficiency of healthcare spending and curb drug-related cost increases. However, their introduction into hospital formularies through initiatives such as non-medical switching must be carefully orchestrated so as not to cause treatment discontinuation or result in increased health resource utilization, such as additional visits or laboratory tests, among others. This retrospective cohort study aims to assess the impact of the introduction of CT-P13 on the healthcare expenditures of patients who were treated with originator infliximab or CT-P13. Methods: Gastroenterology, immunoallergology and rheumatology patients treated between September 2017 and December 2020 at a university hospital in Western Switzerland were included and divided into seven cohorts, based on their treatment pathway (i.e., use and discontinuation of CT-P13 and/or originator infliximab). Costs in Swiss francs were obtained from the hospital's cost accounting department and length of stay was extracted from inpatient records. Comparisons of costs and length of stay between cohorts were calculated by bootstrapping. Results: Sixty immunoallergology, 84 rheumatology and 114 gastroenterology patients were included. Inpatient and outpatient costs averaged (sd) CHF 1,611 (1,020) per hospital day and CHF 4,991 (6,931) per infusion, respectively. The mean (sd) length of stay was 20 (28) days. Although immunoallergology and rheumatology patients had higher average costs than gastroenterology patients, differences in costs and length of stay were not formally explained by treatment pathway. Differences in health resource utilization were marginal. Conclusions: The introduction of CT-P13 and the disruption of patient treatment management were not associated with differences in average outpatient and inpatient costs and length of stay, in contrast to the results reported in the rest of the literature. Future research should focus on the cost-effectiveness of non-medical switching policies and the potential benefits for patients. [ABSTRACT FROM AUTHOR]

This paper examines the cross-sectional drivers of credit returns for Swiss franc corporate bonds in a comprehensive sample including trade-based prices and effective bid-ask spreads from 2007 to 2022. Characteristics for momentum, carry, value, and defensive explain a significant part of the variation in future credit returns across companies. Value is based on a market-based credit risk model. Except for carry, the characteristics also deliver positive risk-adjusted returns. These results are robust for trade-based prices and different subsamples but transaction costs significantly reduce the profitability of the characteristics. After transaction costs, value and a combination of the characteristics remain profitable and continue to deliver significant risk-adjusted returns. [ABSTRACT FROM AUTHOR]

This paper analyzes the exchange rate pass-through to consumer prices for 85 categories of goods and services in Switzerland. The pass-through estimates are computed using a synthetic difference-in-differences approach that exploits the large Swiss franc appreciation that followed the unexpected removal of the Swiss franc-Euro floor in January 2015. The overall 1-year all-items pass-through is 0.12, which shows that the pass-through is highly incomplete. There is an important heterogeneity across product categories, where pass-through can be as high as 0.80. These variations are linked to the international trade characteristics of the products, as the prices of goods with a high degree of international tradability, with a high import share, or that depend on tourism are shown to be more sensitive to the exchange rate. [ABSTRACT FROM AUTHOR]

This paper proposes long-run estimates of ex ante real interest rates in Switzerland and other developed economies, and it describes their relative evolution. Our results highlight the decline in—and convergence of—global real interest rates that has unfolded over the last three decades for all maturities. While Swiss yields stand out as being particularly low and stable from a historical perspective, we find that Swiss interest rates have fallen less than in many other countries during the last decade. We then examine whether the reduction in the interest differential is related to a lower attractiveness of the Swiss franc. Focusing on the difference of Swiss minus German real government bonds yields, we find a significant increase in expected real depreciation of the Swiss franc and a somewhat lower convenience yield for Swiss bonds—the convenience yield reflecting the non-pecuniary value that investors impute to the liquidity of a given bond. In contrast, the safety premium in favor of the Swiss franc increased and therefore cannot explain the smaller decline in real interest rates in Switzerland. The last part of the paper analyzes the negative convenience yield on Swiss government bonds and its recent decline. We show that both the purchase of government bonds by foreign central banks and foreign exchange interventions by the Swiss National Bank may have contributed to this decline by reducing the relative supply of foreign versus domestic government bonds. [ABSTRACT FROM AUTHOR]

Bariatric techniques for bypass surgery evolve constantly. Switching from one well-established protocol to another in a running surgical teaching program is challenging. We analyzed clinical and financial outcomes at a single bariatric center transitioning from circular to an augmented linear bypass protocol. Materials and Methods: Between 2011 and 2018, 454 patients were included in this retrospective study. The circular bypass protocol (CIRC; n = 177) was used between 2011 and 2012. Between 2013 and 2015 the transition occurred. Thereafter, the augmented linear protocol (aLIN; n = 277) was primarily utilized. Results: Overall, the mean preoperative BMI dropped from 42.2 to 29.6 kg/m2 after 5 years with no difference between groups. Operation times were significantly shorter in the aLIN vs. CIRC group at 108 (± 32) vs. 120 (± 34) min (P < 0.001), respectively. The reoperation rate was significantly higher in the CIRC vs. aLIN group at n = 65 (36%) vs. n = 35 (13%; P < 0.001), respectively. Specifically, revision due to internal hernia occurred much more frequently in the CIRC-group, n = 36 (20%) vs. n = 12 (4%; P < 0.001). Moreover, reoperation rates for gastrojejunostomy leakage and endoscopic dilatations for anastomotic stenosis were higher in the CIRC vs. aLIN group (P < 0.001). Adjusted overall mean cost per case was lower in aLIN-patients at 15,403 (± 7848) vs. CIRC-patients at 18,525 (± 7850) Swiss francs (P < 0.001). Overall profit was 2555 ± 4768 vs. 1455 ± 5638 Swiss francs in the aLIN vs. CIRC-group, respectively (P = 0.026). Conclusion: This study shows improved clinical and financial outcomes after a gradual transition from a circular stapling protocol to an augmented linear stapling protocol in proximal gastric bypass surgery. [ABSTRACT FROM AUTHOR]

This paper examines the incidence of firm bankruptcies and start-ups in Switzerland based on unique register data. We propose to assess the frequency of bankruptcies over time using the concept of excess mortality. During the COVID-19 crisis in 2020 and the first half of 2021, bankruptcy rates were substantially lower as compared to the pre-crisis period. This holds across most industries and regions. The Great Recession and the Swiss Franc Shock showed reverse patterns. Bankruptcies dropped more in industries and cantons, in which the share of firms who received a COVID-19 loan is comparatively high. In winter 2021, bankruptcies rebounded strongly. Since summer 2020, the number of new firm formations has been significantly higher compared to the time before the crisis. This is also in contrast to the previous crises. The strong start-up activity is driven by industries where the pandemic induced structural adjustments. [ABSTRACT FROM AUTHOR]

This study examines the pricing of municipal bonds before and after a currency shock in Switzerland. Two approaches are used to decompose the municipal to treasuries bond spreads into liquidity, maturity, and default risk premiums. The first approach is the model of the cross-sectional instrumental variables, and the second approach is the model of the instrumental variables with panel data. This study examines the composition of spreads for both approaches, in three scenarios: before, throughout, and after the currency shock. The study performed Durbin-Wu-Hausman tests for each decisive model to verify endogeneity issues, including the Lagrangian Multiplier test, the Cragg-Donald Wald F statistic to confirm the relationship of instrumental and endogenous variables, and the structural break test (Bai-Perron test) to determine the existence of structural breaks in bond distortions. This study finds that the currency price distortions of the Swiss franc in January 2015 made long-run changes in the composition of the municipal bond spreads. This research contributes to the understanding of municipal bond pricing by showing that default risk accounts for a large portion of the municipal bond spread, while maturity risk plays a lesser role. According to our empirical findings, unexpected large currency price shocks may have long-term implications on the municipal bond spreads. [ABSTRACT FROM AUTHOR]

We develop a small-scale dynamic factor model for the Swiss economy allowing for nonlinearities by means of a two-state Markov chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting performance is as good as that of peers with richer dynamics. It proves particularly useful for a timely assessment of the business cycle stance, as the recessionary regime probabilities tend to have a leading property. The model successfully anticipated the downturn of the 2008–2009 recession and promptly indicated a fall in GDP growth following the discontinuation of the exchange rate floor of the Swiss Franc. [ABSTRACT FROM AUTHOR]

The paper shows that currencies of countries with persistent current account surpluses and high foreign-currency denominated assets, such as the Swiss franc and the Japanese yen, are under persistent appreciation pressure, particularly when the centres of the world monetary system follow expansionary monetary policies. This limits the choice of exchange rate regime. Given flexible exchange rates, a negative risk premium on the domestic interest rate can emerge. Empirical estimations provide mixed evidence for a negative impact of net foreign asset positions and exchange rate uncertainty on interest rates of international creditor countries at the periphery of the world monetary system. [ABSTRACT FROM AUTHOR]

It is commonly agreed that excessive household financial debts are detrimental to psychological and physical health. Research also demonstrates that housing instability, mortgage indebtedness and mortgage foreclosure negatively influence subjective well-being. In Poland at the beginning of 2015, homeowners with Swiss franc denominated mortgages suffered from an abrupt swing in the Swiss franc/Polish zloty (CHF/PLN) exchange rate, which resulted in considerable increase in the local currency value of their mortgages. These adverse financial circumstances were hypothesised to affect not only household finance but also negatively affect the psychological well-being and physical health of peoples. The 2013 and 2015 waves of the Polish representative household panel 'Social Diagnosis' were used to examine impact of the abrupt change in the CHF/PLN exchange rate in Jan. 2015 on well-being and health. Causal inference was investigated using a difference-in-differences matching estimator. Results showed that although impact of Swiss franc appreciation on the mortgage related financial burden was considerable, it did not affect well-being or health outcomes. Any manifestation of adverse effects was absent in the short term, which does not however preclude their long term existence. [ABSTRACT FROM AUTHOR]

The article presents a case study of a 50-year-old female body that was found in the water by hydroelectric power plant employee. The autopsy identifies emphysema aquosum in the lung, and drowning as the cause of death, and recover two Swiss franc coins that was stuck together in the duodenum. A whole-body postmortem computed tomography (PMCT) using an extended computed tomography scale (ECTS) technique was performed.

This paper studies the predictive power of external imbalances for exchange rate returns. We focus on Switzerland, a very open economy where exchange rate movements have a strong effect on external imbalances through valuation effects and trade flows. Using a simple modification of the Gourinchas and Rey (J Polit Econ 115(4):665-703, ) approach to make their approximation applicable to Switzerland, we find that measures of deviations from trends in Swiss net foreign assets and net exports help to forecast Swiss franc nominal effective exchange rate movements, both in and out of sample. [ABSTRACT FROM AUTHOR]

This paper proposes a new, production theory approach to the determination of the real exchange rate, which is defined as the relative price of traded to nontraded goods as is common in the international trade literature. Using a Translog real GDI function that describes the aggregate technology of an open economy as a starting point, the real exchange rate can be formally derived as a function of domestic excess savings, the terms of trade, relative factor endowments and technological progress. Empirical results for Switzerland suggest that the main drivers of the real exchange rate are the terms of trade, followed by relative factor endowments. Contrary to conventional wisdom, the Balassa-Samuelson effect does not seem to play a significant role in explaining the long-term real appreciation of the Swiss franc. [ABSTRACT FROM AUTHOR]

Using monthly data from 1986 to 2009 for 11 major currencies against the U.S. dollar (USD), we find that interest rate differentials between nine of these currencies are generally positive (sample mean of 0.86%) but are strongly negative for Japan (mean of −2.78%) and for Switzerland (mean of −2.22%). Investigating empirical models of nominal exchange rate changes we find for all panels that about 2% of real exchange rate misalignments are corrected in the following month. We also find important differences across samples and for the two carry-trade currencies the key results are as follows. First, interest rate differentials have a negative impact on exchange rates: higher paying currencies should appreciate, contrary to the ex-ante uncovered interest rate parity (UIP) condition. We find that this result is very robust to money supply (M1) differentials serving as instrumental variables to inflation rates. In addition, these two currencies depreciate slightly when money supply (M1) differentials increase. Second, dummy variables for periods of market turmoil suggest a particularly strong appreciation of these currencies against the USD, consistent with the unwinding of carry-trade activities. [ABSTRACT FROM AUTHOR]

The article discusses the implementation of monetary policy by the Swiss National Bank. It states that regime-switching approach to model the implementation of the monetary policy is important for assessing the flexibility inherent in the strategy. The findings support the idea that repo operations are significant in the implementation of monetary policy. Measures designed to improve liquidity in the Swiss franc money market during the 2007-2008 financial crisis are discussed.

This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. One- and multifactor term structure models are estimated based on historical data for the Swiss Franc. An analysis of the dynamic behavior of interest rates generated with these models reveals several deficiencies which have an impact on the performance of investment policies derived from the stochastic program. While barycentric approximation is used here for the generation of scenario trees, these insights may be generalized to other discretization techniques as well. [ABSTRACT FROM AUTHOR]

In this study, the performance of ten mathematical (objective) composite models in terms of accuracy and correctness was examined. These composite models were employed to generate one-month forecasts of exchange rates for the British pound, the Deutsche mark, the French franc, the Japanese yen, and the Swiss franc over the period of 1986-1989. The results indicated that two composite methods, the constrained linear combination model and the constrained multiple objective programming model, performed well according to the correctness criterion. However, in terms of accuracy, the focus forecasting and the technical models performed better. [ABSTRACT FROM AUTHOR]

We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies, reflecting the fact that macroeconomic surprises impact uncertainty and risk aversion. This link was further magnified during the crisis and could not be broken by the specific measures adopted by monetary authorities to limit the appreciation trend. We also find some evidence that, during the crisis, CHF and JPY responded more strongly to surprises generating an appreciation than to surprises leading to a depreciation. Additionally, both currencies also systematically respond to changes in the general market environment. This result is robust to the use of two measures of the market environment: VIX and on a novel index based on Bloomberg wires. [ABSTRACT FROM AUTHOR]

Switzerland is not a member of the European Union and, therefore, does not belong to the euro area. Nevertheless, the exchange rate of the Swiss franc against the euro has remained fairly stable. This stability does not imply that the Swiss National Bank pegs the exchange rate to the euro. On the contrary, the Swiss National Bank continues to pursue an autonomous monetary policy since monetary autonomy conveys various benefits to the Swiss economy. (JEL E5, F3) [ABSTRACT FROM AUTHOR]

This paper sheds light on Swiss franc LIBOR futures, which are often used to derive interest rate expectations. We show that the differences between LIBOR futures and realized rates (excess returns) are, on average, positive over the last 25 years. Using interest rate surveys, we decompose excess returns into a (forward) term premium and forecast errors. The decomposition reveals that the bulk of excess returns arises from forecast errors, while the term premium is, on average, zero but time varying. We find that the term premium positively correlates with the business cycle, interest rate developments, and in absolute values increases with interest rate uncertainty. [ABSTRACT FROM AUTHOR]

The safe haven property of the Swiss franc presents a specific challenge for internationally minded Swiss-based investors. The central issue is whether the traditional under-performance of Swiss assets is made up by the secular appreciation of the Swiss franc combined with the propensity of the safe haven to strengthen in times of market stress. In this paper, we review the evidence on the terms of this challenge. We conclude that a Swiss bias in asset allocation can lead to considerable return shortfalls over the long run and that systematic currency hedging would not have been historically justified and is unlikely to be in the future. Assuming a fair amount of currency risk thus appears inevitable for long-run Swiss-based investors. [ABSTRACT FROM AUTHOR]

This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk estimates take unrealistic, negative values. One possible explanation is that the approach as it is used by Maggiori suffers from a measurement error for the expected exchange rate which represents a potential source of imprecision. By using the prediction of an augmented Fama regression to measure the expected exchange rate change, this measurement error can be avoided and the safety premium estimates become more realistic and closer to those obtained with a maximum likelihood-estimated GARCH approach. Overall, however, the GARCH approach still seems to be preferable to the instrumental variable approach. [ABSTRACT FROM AUTHOR]