Monetary determinants of the Swiss franc

Carlos Lenz and Marcel Savioz ()

No 2009-16, Working Papers from Swiss National Bank

Abstract: This paper looks into the determinants of the Swiss franc exchange rate against the euro. Based on the monetary approach to exchange rates, we start from the premise that monetary policy has an influence on the exchange rate. To measure this effect, we apply the structural vector-autoregression methodology on a set of Swiss macroeconomic variables and the euro area interest rate. Overall, we find that Swiss monetary policy contributes between 7 and 15% to variations of the exchange rate between 1981 and 2008. Focusing on the episode between 2003 and 2005 we attribute more than half of the depreciation of the franc to Swiss monetary policy.

Keywords: Exchange rates; monetary policy; structural VAR models (search for similar items in EconPapers)
JEL-codes: C32 E52 F31 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2009-16

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