Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Thomas Nitschka
Author-Name-First: Thomas
Author-Name-Last: Nitschka
Author-Person: pni214
Author-Name: Diego M. Hager
Author-Name-First: Diego M.
Author-Name-Last: Hager
Title: Responses of Swiss bond yields and stock prices to ECB policy surprises
Abstract: We analyse spillovers from European Central Bank (ECB) policy surprises to asset markets outside the euro area using Switzerland as a case study. Our results suggest that Swiss asset price responses to ECB policy surprises are significant. They depend on the type and nature of the surprise and change over time. Decomposing bond yields into expected short-term interest rates and the term premium reveals that both signalling and portfolio rebalancing effects explain the responses of bond yields of various maturities to surprises resulting from scheduled ECB policy decisions. ECB policy surprises are more important to Swiss government bond yields than Swiss stock prices.
Length: 34 pages
Creation-Date: 2022
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2022/working_paper_2022_08
File-Format: text/html
Number: 2022-08
Classification-JEL: E43, E52, G15
Keywords: Bond, event study, international spillovers, monetary policy, stock
Handle: RePEc:snb:snbwpa:2022-08