Cross-border spillover effects of unconventional monetary policies on Swiss asset prices

Abstract

used (reproduced, used via the internet, etc.) for non-commercial purposes and provided that the source is mentioned. Their use for commercial purposes is only permitted with the prior express consent of the SNB. General information and data published without reference to a copyright may be used without mentioning the source. To the extent that the information and data clearly derive from outside sources, the users of such information and data are obliged to respect any existing copyrights and to obtain the right of use from the relevant outside source themselves. limitation of liability The SNB accepts no responsibility for any information it provides. Under no circumstances will it accept any liability for losses or damage which may result from the use of such information. This limitation of liability applies, in particular, to the topicality, accu− racy, validity and availability of the information.

Unconventional monetary policy spillovers: Evidence from India

“…Because this measure is a market‐based measure, it is possible that other market developments other than policy announcements could induce changes in the measure. To verify this issue, we follow Bernard and Ebner () to show that this measure is a good proxy for monetary policy surprise measure.…”

“…However, an event study on Swiss asset prices concludes that expansionary UMP announcements reduces the Swiss government and corporate bond yields and equity prices, but it has resulted in the appreciation of Swiss Francs (Bernhard and Ebner, 2017).…”

Untitled

“…So far, evidence regarding the spillover effects from non-standard monetary policies of the ECB on small, open advanced economies remains scarce (Bernhard andEbner 2016, Bluwstein andCanova 2016). By using a Bayesian mixedfrequency structural vector autoregressive technique, Bluwstein and Canova (2016) document international spillovers but they find that there was considerable cross-country heterogeneity.…”

“…They document that a flexible exchange rate will not insulate non-euro area countries from importing non-standard ECB policy measures. Bernhard and Ebner (2016) investigate cross-border spillover effects of unconventional monetary policies on Swiss asset prices. By using an event-study setting and the change in 10-year government bond futures as a proxy for market anticipation, they find that non-standard monetary policies conducted by the FED, the ECB, the BoE and the BoJ exerted spillover effects on Swiss asset prices whereby ECB announcements had the strongest impact on financial variables from Switzerland.…”

“…This strand of literature shows that the ECB's unconventional monetary policies have had price effects and output effects on non-euro area countries. However, evidence regarding the spillover effects resulting from the ECB's unconventional monetary policies to small advanced open economies outside the euro area remains scarce (Bernhard andEbner 2016, Bluwstein andCanova 2016). To fill this gap, we empirically investigate the impact of the ECB's announcements of non-standard policy measures on a broad range of financial assets from Denmark, Norway and Sweden.…”