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Responses of Swiss interest rates and stock prices to ECB policy surprises


Hager, Diego M; Nitschka, Thomas (2023). Responses of Swiss interest rates and stock prices to ECB policy surprises. Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 159:13.

Abstract

We employ local projections to analyse the responses of Swiss asset prices to scheduled policy decisions of the European Central Bank (ECB) as a case study of ECB policy spillovers to European countries outside the euro area. Focusing on ECB policy shocks that are related to different policy instruments of the ECB, our empirical results leave the impression that surprises related to the ECB target policy rate and to the ECB’s longer-term forward guidance or its asset purchases tend to move Swiss interest rates and stock prices in the same direction. Shocks explicitly designed to capture pure ECB monetary policy and information effect shocks are weakly associated with movements in Swiss asset prices on average.

Abstract

We employ local projections to analyse the responses of Swiss asset prices to scheduled policy decisions of the European Central Bank (ECB) as a case study of ECB policy spillovers to European countries outside the euro area. Focusing on ECB policy shocks that are related to different policy instruments of the ECB, our empirical results leave the impression that surprises related to the ECB target policy rate and to the ECB’s longer-term forward guidance or its asset purchases tend to move Swiss interest rates and stock prices in the same direction. Shocks explicitly designed to capture pure ECB monetary policy and information effect shocks are weakly associated with movements in Swiss asset prices on average.

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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:Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Economics and Econometrics
Uncontrolled Keywords:bond, local projection, international spillovers, monetary policy, stock
Scope:Discipline-based scholarship (basic research)
Language:English
Date:14 November 2023
Deposited On:09 Jan 2024 13:53
Last Modified:06 Mar 2024 14:40
Publisher:Springer
ISSN:0303-9692
OA Status:Gold
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1186/s41937-023-00117-8
Other Identification Number:merlin-id:24229
  • Content: Published Version
  • Language: English
  • Licence: Creative Commons: Attribution 4.0 International (CC BY 4.0)