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

Author

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  • Bernhard, Severin
  • Ebner, Till
Abstract
Unconventional monetary policies (UMPs) announced by the Federal Reserve, the European Central Bank, the Bank of England and the Bank of Japan exert important spillover effects on asset prices in Switzerland. Using a broad UMP event set and a long-term bond-futures based measure of market anticipation, we show that surprisingly expansionary UMPs lower Swiss government and corporate bond yields, induce the Swiss franc to appreciate, and dampen Swiss equity prices. Four extensions provide further insights. First, the estimated effects are strongest for announcements by the ECB. Second, the impact on government bonds is largest for bonds with residual maturities of 7–10years. Third, the impact of foreign UMP shocks on exchange rates and Swiss bond yields is less pronounced after the introduction of the minimum rate of 1.20 Swiss franc per Euro by the Swiss National Bank on September 6, 2011, indicating that domestic monetary policy action partially affects the impact of external monetary shocks on domestic financial markets. Fourth, the sign of spillover effects differs for positive and negative UMP surprises, but their strength does not.

Suggested Citation

  • Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
    • Handle: RePEc:eee:jimfin:v:75:y:2017:i:c:p:109-127
    DOI: 10.1016/j.jimonfin.2017.04.001
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    5. Fernando Avalos & Emmanuel C Mamatzakis, 2018. "Euro area unconventional monetary policy and bank resilience," BIS Working Papers 754, Bank for International Settlements.
    6. Cui, Baisheng & Li, Jiaqi & Zhang, Yi, 2024. "Asymmetries in the international spillover effects of monetary policy: Based on TGVAR model," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
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    10. Hager, Diego & Nitschka, Thomas, 2022. "The Impact of COVID-19 and other Crises on the Responses of Swiss Bond Yields and Stock Prices to ECB Policy Surprises," VfS Annual Conference 2022 (Basel): Big Data in Economics 264018, Verein für Socialpolitik / German Economic Association.
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    More about this item

    Keywords

    Unconventional monetary policy; Announcement; Spillover effects; Swiss asset prices;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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