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Regime-dependent drivers of the EUR/CHF exchange rate

Author

Listed:
  • Piotr Kotlarz

    (University of Liechtenstein
    Zurich University of Applied Sciences)

  • Michael Hanke

    (University of Liechtenstein)

  • Sebastian Stöckl

    (University of Liechtenstein)

Abstract

We analyze drivers of the EUR/CHF exchange rate in different regimes between 2000 and 2020. Structural breaks between these subperiods are estimated in an integrated way together with the drivers that are relevant during these subperiods. Overall, the main drivers of the exchange rate include European equity and volatility indices, interest rate and term structure slope differentials, as well as monetary policy interventions. For the “peg period” September 2011–January 2015, in addition to the observed exchange rate we also analyze the drivers of the latent exchange rate that could have been observed in the absence of the peg. Interestingly, the SNB’s foreign currency investments became a significant driver of the EUR/CHF exchange rate only after the end of the peg period when there was no longer an officially communicated target rate.

Suggested Citation

  • Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023. "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-18, December.
    • Handle: RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00107-w
    DOI: 10.1186/s41937-023-00107-w
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    References listed on IDEAS

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    More about this item

    Keywords

    Exchange rate drivers; Monetary policy; EUR/CHF exchange rate; Foreign currency interventions; Latent exchange rate;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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