Template-type: ReDIF-Paper 1.0
Author-Name: Tommaso Mancini Griffoli
Author-Name-First: Tommaso
Author-Name-Last: Mancini Griffoli
Author-Name: Dr. Christoph Meyer
Author-Name-First: Christoph
Author-Name-Last: Meyer
Author-Person:  pme595
Author-Name: Jean-Marc Natal
Author-Name-First: Jean-Marc
Author-Name-Last: Natal
Author-Person: pna258
Author-Name: Dr. Attilio Zanetti
Author-Name-First: Attilio
Author-Name-Last: Zanetti
Author-Person: pza242
Title: Determinants of the Swiss Franc Real Exchange Rate
Abstract: We conduct an empirical investigation of the determinants of the Swiss franc real exchange rate. Theory and related empirical papers suggest various specific factors as potential determinants. We select some of these factors, and test their significance and magnitude in affecting the course of the CHF real exchange rate. Results stemming from a co-integration approach point to terms of trade and relative government spending as the most significant explanatory variables. Balassa-Samuelson effects do not play any significant role. Our results also confirm that this kind of empirical approach is sensitive to the choice of explanatory variables, panel countries and sample periods. In our case, the importance of GDP per capita and net foreign assets as explanatory variables depends on the inclusion in the panel of the JPY/CHF exchange rate.
Length: 40 pages
Creation-Date: 2014
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2014/working_paper_2014_08
File-Format: text/html
Number: 2014-08
Handle: RePEc:snb:snbwpa:2014-08