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|Title||The influence of ECB and SNB announcements on the Euro-Swiss Franc exchange rate|
|Institution||University of Zurich|
|Faculty||Faculty of Business, Economics and Informatics|
|Abstract Text||This paper analyzes high-frequency exchange rate movements of the euro Swiss franc exchange rate in response to monetary policy announcements by the European Central Bank and the Swiss National Bank. Thereby, the general e↵ect, the comparison between banks and di↵erent types of monetary policy (conventional/unconventional), and market efficiency are examined. The data show that announcements by the two central banks significantly impact the EUR/CHF exchange rate from 15 minutes before to 1 hour after the announcement, with the first minute after the announcement triggering the most significant reactions, which illustrates the high efficiency of the foreign exchange market. No significant di↵erences were found between the ECB and SNB announcements. Reactions to unconventional announcements have a higher standard deviation than conventional announcements and therefore have significant e↵ects more often. However, these are not detectable in a mean value observation.|