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Did the Swiss exchange rate shock shock the market?

Manuel Buchholz, Gregor von Schweinitz and Lena Tonzer ()

No 9/2018, IWH Discussion Papers from Halle Institute for Economic Research (IWH)

Abstract: The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Based on a synthetic matching framework, we analyse the impact of this unexpected (and therefore exogenous) shock on the stock market. The results reveal a significant level shift (decline) in asset prices in Switzerland following the discontinuation of the minimum exchange rate. While adjustments in stock market returns were most pronounced directly after the news announcement, the variance was elevated for some weeks, indicating signs of increased uncertainty and potentially negative consequences for the real economy.

Keywords: exchange rate shock; stock markets; uncertainty; synthetic matching (search for similar items in EconPapers)
JEL-codes: C22 E50 F30 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwhdps:92018

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