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Abstract

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. 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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 29 (2010)
Issue (Month): 3 (April)
Pages: 486-503

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Handle: RePEc:eee:jimfin:v:29:y:2010:i:3:p:486-503

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Web page: http://www.elsevier.com/locate/inca/30443

Related research

Keywords: Central bank communication Interviews Speeches Asset Markets High-frequency data;

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Find related papers by JEL classification:

• F31 - International Economics - - International Finance - - - Foreign Exchange
• G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

References

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Citations

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Cited by:

1. Paul Soderlind, 2009. "Reaction of Swiss Term Premia to Monetary Policy Surprises," University of St. Gallen Department of Economics working paper series 2009 2009-33, Department of Economics, University of St. Gallen.
   
   • Paul Söderlind, 2010. "Reaction of Swiss Term Premia to Monetary Policy Surprises," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 385-404, March.
2. Thomas Jordan & Angelo Ranaldo & Paul Soderlind, 2009. "The Implementation of SNB Monetary Policy," University of St. Gallen Department of Economics working paper series 2009 2009-08, Department of Economics, University of St. Gallen.
   
   • Thomas Jordan & Angelo Ranaldo & Paul Söderlind, 2009. "The implementation of SNB monetary policy," Financial Markets and Portfolio Management, Springer, vol. 23(4), pages 349-359, December.
3. Sazedj, Sharmin & Tavares, José, 2011. "Hope, Change, and Financial Markets: Can Obama's Words Drive the Market?," CEPR Discussion Papers 8713, C.E.P.R. Discussion Papers.

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