Reaction of Swiss Term Premia to Monetary Policy Surprises

Paul Söderlind

University of St. Gallen Department of Economics working paper series 2009 from Department of Economics, University of St. Gallen

Abstract: An affine yield curve model is estimated on daily Swiss data 2002--2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities.

Keywords: affine price of risk; interest rate caps; survey data (search for similar items in EconPapers)
JEL-codes: E27 E47 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2009-12
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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http://ux-tauri.unisg.ch/RePEc/usg/dp2009/DP-0933-So.pdf (application/pdf)

Related works:
Journal Article: Reaction of Swiss Term Premia to Monetary Policy Surprises (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:usg:dp2009:2009-33

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