Template-type: ReDIF-Paper 1.0
Author-Name: Prof. Dr. Carlos Lenz
Author-Name-First: Carlos
Author-Name-Last: Lenz
Author-Person: ple608
Author-Name: Marcel R. Savioz
Author-Name-First: Marcel R.
Author-Name-Last: Savioz
Author-Person: psa1226
Title: Monetary determinants of the Swiss franc
Abstract: This paper looks into the determinants of the Swiss franc exchange rate against the euro. Based on the monetary approach to exchange rates, we start from the premise that monetary policy has an influence on the exchange rate. To measure this effect, we apply the structural vector-autoregression methodology on a set of Swiss macroeconomic variables and the euro area interest rate. Overall, we find that Swiss monetary policy contributes between 7 and 15% to variations of the exchange rate between 1981 and 2008. Focusing on the episode between 2003 and 2005 we attribute more than half of the depreciation of the franc to Swiss monetary policy.
Length: 28 pages
Creation-Date: 2009
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2009/working_paper_2009_16
File-Format: text/html
Number: 2009-16
Classification-JEL: E52, F31, C32
Keywords: Exchange rates, monetary policy, structural VAR models
Handle: RePEc:snb:snbwpa:2009-16