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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Swiss sight deposit exemption thresholds and the SARON |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2022 |
| Abstract Text | Since the introduction of negative interest rates, several major central banks have used reserve tiering systems to lower the profitability pressure on banks. This study empirically investigates the effect of exemption threshold changes on the Swiss Average Rate Overnight (SARON), using a segmented regression approach, paired with an autoregressive integrated moving average (ARIMA) model. The study examines two unique exemption threshold changes in 2019 and 2020 using an intraday SARON time series combined with daily trading volumes on the Swiss secured money market. The main results of this study consist of a significant positive relation found between an exemption threshold change and the SARON. Additionally, an exemption threshold change seems to trigger a rebalancing process, which in turn results in a significantly higher trading volume compared to the pre-change-period. Thus, by adjusting the exemption threshold, the SNB can influence the SARON and stimulate the liquidity on the secured money market. |
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