Portfolio balance effects of the SNB's bond purchase program
AbstractThis paper carries out an empirical investigation of the impact on bond spreads of the announcement, purchases and exit from the SNB’s bond purchase program in 2009-2010. We find evidence in favor of a narrowing yield spread of covered bonds as a result of the program. The effect materialized in the days following the announcement of the SNB’s intention to buy bonds issued by private sector borrowers, as markets learned that the SNB was buying covered bonds. The specification of the bond spreads used allows us to identify this effect as a discounted portfolio balance effect of the expected purchases, as distinct from policy signalling. In contrast, we find no evidence of a further effect of the actual purchases and subsequent sales on bond spreads.
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Bibliographic InfoPaper provided by Department of Economics - University of Zurich in its series ECON - Working Papers with number 116.
Date of creation: Mar 2013
Date of revision:
Portfolio balance; credit spread; corporate spread; unconventional monetary policy; central bank asset purchases; credit easing; zero lower bound;
Other versions of this item:
- Andreas Kettemann & Signe Krogstrup, 2013. "Portfolio balance effects of the SNB's bond purchase program," Working Papers 2013-01, Swiss National Bank.
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-30 (All new papers)
- NEP-MAC-2013-03-30 (Macroeconomics)
- NEP-MON-2013-03-30 (Monetary Economics)
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