The reaction of asset markets to Swiss National Bank communication

Angelo Ranaldo and Enzo Rossi

Journal of International Money and Finance, 2010, vol. 29, issue 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.

Keywords: Central; bank; communication; Interviews; Speeches; Asset; Markets; High-frequency; data (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (71)

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Working Paper: The reaction of asset markets to Swiss National Bank communication (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:29:y:2010:i:3:p:486-503

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