Portfolio balance effects of the SNB's bond purchase program

Andreas Kettemann () and Signe Krogstrup

No 116, ECON - Working Papers from Department of Economics - University of Zurich

Abstract: This paper carries out an empirical investigation of the impact on bond spreads of the announcement, purchases and exit from the SNB’s bond purchase program in 2009-2010. We find evidence in favor of a narrowing yield spread of covered bonds as a result of the program. The effect materialized in the days following the announcement of the SNB’s intention to buy bonds issued by private sector borrowers, as markets learned that the SNB was buying covered bonds. The specification of the bond spreads used allows us to identify this effect as a discounted portfolio balance effect of the expected purchases, as distinct from policy signalling. In contrast, we find no evidence of a further effect of the actual purchases and subsequent sales on bond spreads.

Keywords: Portfolio balance; credit spread; corporate spread; unconventional monetary policy; central bank asset purchases; credit easing; zero lower bound (search for similar items in EconPapers)
JEL-codes: E5 G1 (search for similar items in EconPapers)
Date: 2013-03
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.zora.uzh.ch/id/eprint/76690/1/econwp116.pdf (application/pdf)

Related works:
Working Paper: Portfolio balance effects of the SNB's bond purchase program (2013)
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:zur:econwp:116

Access Statistics for this paper

More papers in ECON - Working Papers from Department of Economics - University of Zurich Contact information at EDIRC.
Bibliographic data for series maintained by Severin Oswald ().