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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Responses of Swiss interest rates and stock prices to ECB policy surprises |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0303-9692 |
| Volume | 159 |
| Page Range | 13 |
| Date | 2023 |
| Abstract Text | We employ local projections to analyse the responses of Swiss asset prices to scheduled policy decisions of the European Central Bank (ECB) as a case study of ECB policy spillovers to European countries outside the euro area. Focusing on ECB policy shocks that are related to different policy instruments of the ECB, our empirical results leave the impression that surprises related to the ECB target policy rate and to the ECB’s longer-term forward guidance or its asset purchases tend to move Swiss interest rates and stock prices in the same direction. Shocks explicitly designed to capture pure ECB monetary policy and information effect shocks are weakly associated with movements in Swiss asset prices on average. |
| Free access at | DOI |
| Digital Object Identifier | 10.1186/s41937-023-00117-8 |
| Other Identification Number | merlin-id:24229 |
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| Keywords | bond, local projection, international spillovers, monetary policy, stock |