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The reaction of asset markets to Swiss National Bank communication

Author

Listed:
  • Angelo Ranaldo
  • Dr. Enzo Rossi
Abstract
In this paper we analyze high-frequency movements in Swiss financial markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses official speeches and interviews, not only monetary policy announcements. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements.

Suggested Citation

  • Angelo Ranaldo & Dr. Enzo Rossi, 2007. "The reaction of asset markets to Swiss National Bank communication," Working Papers 2007-11, Swiss National Bank.
    • Handle: RePEc:snb:snbwpa:2007-11
    as

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    File URL: https://www.snb.ch/en/publications/research/working-papers/2007/working_paper_2007_11
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    central bank communication; speeches; interviews; monetary policy announcements; financial market reaction; high-frequency data;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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