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The Implementation of SNB Monetary Policy

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Author Info
Thomas Jordan
Angelo Ranaldo ()
Paul Soderlind ()

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Abstract

We use a regime switching approach to model the implementation of the SNB monetary policy. The regime switching technique is crucial to assess the flexibility inherent in the SNB's monetary policy concept. The empirical findings support the idea that repo operations are instrumental in smoothing the implementation of monetary policy in normal times while changes in the official operational target accompanied by the accommodating use of repo operations produce the aimed effects in distressed periods. A significant contribution also came from some new measures designed to improve liquidity in the Swiss franc money market during the financial crisis in 2007- 8.

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File URL: http://www.vwa.unisg.ch/RePEc/usg/dp2009/DP-08-So.pdf
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Publisher Info
Paper provided by Department of Economics, University of St. Gallen in its series University of St. Gallen Department of Economics working paper series 2009 with number 2009-08.

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Length: 17 pages
Date of creation: Apr 2009
Date of revision:
Handle: RePEc:usg:dp2009:2009-08

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Related research
Keywords: implementation of monetary policy; Libor; repo; Swiss franc money market; regime switching model;

Find related papers by JEL classification:
E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June. [Downloadable!] (restricted)
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  2. Sébastien Kraenzlin, 2007. "The characteristics and development of the Swiss franc repurchase agreement market," Financial Markets and Portfolio Management, Springer, vol. 21(2), pages 241-261, June. [Downloadable!] (restricted)
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This page was last updated on 2009-11-11.

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