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Der gleichgewichtige Frankenkurs gegenüber Deutschland

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Abstract

Die starke Aufwertung des Schweizer Frankens veranlasste die Schweizerische Nationalbank (SNB), verschiedene Massnahmen zu ergreifen. In diesem Beitrag soll das Ausmass dieser «massiven Überbewertung» gegenüber dem wichtigsten Handelspartner der Schweiz, d.h. Deutschland, geschätzt werden. Hierfür werden mit Hilfe von zeitvariierenden vektorautoregressiven Modellen gleichgewichtige Wechselkurse seit 1981 geschätzt. Dieser Ansatz erlaubt es, Wechsel - wirkungen zwischen Wechselkurs und anderen ökonomischen Variablen auf eine sehr flexible Art zu berücksichtigen. Aus den Ergebnissen werden Abweichungen von gleichgewichtigen Wechselkursen berechnet, um Episoden der Über- oder Unterbewertung zu quantifizieren. Die Ergebnisse deuten darauf hin, dass der Schweizer Franken Mitte 2011 gegenüber Deutschland zwischen 8 und 15% überbewertet war. Dieser Überbewertung war eine deutliche Unterbewertung vorausgegangen.

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  • Alexander Rathke & Samad Sarferaz & Jan-Egbert Sturm, 2012. "Der gleichgewichtige Frankenkurs gegenüber Deutschland," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 6(2), pages 47-56, June.
    • Handle: RePEc:kof:anskof:v:6:y:2012:i:2:p:47-56
    DOI: 10.3929/ethz-a-005427569
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    References listed on IDEAS

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    1. Rich, Georg, 1997. "Monetary targets as a policy rule: Lessons from the Swiss experience," Journal of Monetary Economics, Elsevier, vol. 39(1), pages 113-141, June.
    2. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
    3. Michael Lamla & Andrea Lassmann, 2011. "Der Einfluss der Wechselkursentwicklung auf die schweizerischen Warenexporte: eine disaggregierte Analyse," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 5(2), pages 31-49, June.
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