Determinants of the Swiss Franc Real Exchange Rate

Tommaso Mancini Griffoli, Christoph Meyer, Jean-Marc Natal and Attilio Zanetti

No 2014-08, Working Papers from Swiss National Bank

Abstract: We conduct an empirical investigation of the determinants of the Swiss franc real exchange rate. Theory and related empirical papers suggest various specific factors as potential determinants. We select some of these factors, and test their significance and magnitude in affecting the course of the CHF real exchange rate. Results stemming from a co-integration approach point to terms of trade and relative government spending as the most significant explanatory variables. Balassa-Samuelson effects do not play any significant role. Our results also confirm that this kind of empirical approach is sensitive to the choice of explanatory variables, panel countries and sample periods. In our case, the importance of GDP per capita and net foreign assets as explanatory variables depends on the inclusion in the panel of the JPY/CHF exchange rate.

Pages: 40 pages
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.snb.ch/en/publications/research/workin ... orking_paper_2014_08 (text/html)

Related works:
Journal Article: Determinants of the Swiss Franc Real Exchange Rate (2015)
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:2014-08

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 ().