The reaction of asset markets to Swiss National Bank communication

Angelo Ranaldo and Dr. Enzo Rossi

Issue
2007-11

Pages
50

JEL classification
F31, G15

Keywords
central bank communication, speeches, interviews, monetary policy announcements, financial market reaction, high-frequency data

Year
2007

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.