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The reaction of asset markets to Swiss National Bank communication


Ranaldo, Angelo; Rossi, Enzo (2010). The reaction of asset markets to Swiss National Bank communication. Journal of International Money and Finance, 29(3):486-503.

Abstract

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements.

Abstract

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:April 2010
Deposited On:23 Aug 2023 14:52
Last Modified:29 Apr 2024 01:39
Publisher:Elsevier
ISSN:0261-5606
OA Status:Closed
Publisher DOI:https://doi.org/10.1016/j.jimonfin.2009.07.004
Related URLs:http://www.snb.ch/n/mmr/reference/working_paper_2007_11/source/working_paper_2007_11.n.pdf (Organisation)
Other Identification Number:merlin-id:5922