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The reaction of asset markets to Swiss National Bank communication

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Author Info
Ranaldo, Angelo () (Swiss National Bank)
Rossi, Enzo () (Swiss National Bank)

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Abstract

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.

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File URL: http://www.snb.ch/n/mmr/reference/working_paper_2007_11/source/working_paper_2007_11.n.pdf
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Publisher Info
Paper provided by Swiss National Bank in its series Working Papers with number 2007-11.

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Length: 50 pages
Date of creation: 30 Apr 2007
Date of revision:
Handle: RePEc:ris:snbwpa:2007_011

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Related research
Keywords: central bank communication; speeches; interviews; monetary policy announcements; financial market reaction; high-frequency data;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

Cited by:
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  1. 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. [Downloadable!]
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