Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices

Severin Bernhard and Till Ebner

No 2016-09, Working Papers from Swiss National Bank

Abstract: Unconventional monetary policies (UMPs) by the Federal Reserve, the European Central Bank, the Bank of England and the Bank of Japan exert important spillover effects on asset prices in Switzerland if market anticipation of UMP announcements is properly accounted for. Using a broad event set and a long-term bond futures-based measure as a proxy for market anticipation of the announcements, we show that the unexpected part of those UMPs boost Swiss government and corporate bond prices, induce the CHF to appreciate, and dampen Swiss equity prices. Four extensions provide additional insights: First, the estimated effects are strongest for announcements by the ECB. Second, the impact on government bonds is largest for bonds with residual maturities of 7-10 years. Third, the impact of foreign UMP shocks on exchange rates and Swiss bond yields is less pronounced after the introduction of the EURCHF-floor by the Swiss National Bank on September 6, 2011. Fourth, the sign of spillover effects differs for positive and negative UMP surprises, but their strength does not. Our results hint at an important role played by both international portfolio re-balancing channels and international signalling channels in the transmission of foreign monetary policy shocks to Swiss asset prices.

JEL-codes: E52 E58 E65 F31 F42 G12 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2016
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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Journal Article: Cross-border spillover effects of unconventional monetary policies on Swiss asset prices (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2016-09

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