Responses of Swiss bond yields and stock prices to ECB policy surprises

Thomas Nitschka and Diego M. Hager

No 2022-08, Working Papers from Swiss National Bank

Abstract: We analyse spillovers from European Central Bank (ECB) policy surprises to asset markets outside the euro area using Switzerland as a case study. Our results suggest that Swiss asset price responses to ECB policy surprises are significant. They depend on the type and nature of the surprise and change over time. Decomposing bond yields into expected short-term interest rates and the term premium reveals that both signalling and portfolio rebalancing effects explain the responses of bond yields of various maturities to surprises resulting from scheduled ECB policy decisions. ECB policy surprises are more important to Swiss government bond yields than Swiss stock prices.

Keywords: Bond; event study; international spillovers; monetary policy; stock (search for similar items in EconPapers)
JEL-codes: E43 E52 G15 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2022
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-fmk and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.snb.ch/en/publications/research/workin ... orking_paper_2022_08 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2022-08

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Enzo Rossi ().