Publication: Portfolio balance effects of the SNB’s bond purchase program
Portfolio balance effects of the SNB’s bond purchase program
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Kettemann, A., & Krogstrup, S. (2013). Portfolio balance effects of the SNB’s bond purchase program (No. 116; Working Paper Series / Department of Economics).
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This paper carries out an empirical investigation of the impact on bond spreads of the announcement, purchases and exit from the SNB’s bond purchase program in 2009-2010. We find evidence in favor of a narrowing yield spread of covered bonds as a result of the program. The effect materialized in the days following the announcement of the SNB’s intention to buy bonds issued by private sector borrowers, as markets learned that the SNB was buying covered bonds. The specification of the bond spreads used allows us to identify this effect
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Kettemann, A., & Krogstrup, S. (2013). Portfolio balance effects of the SNB’s bond purchase program (No. 116; Working Paper Series / Department of Economics).
