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The reaction of asset markets to Swiss National Bank communication

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  • Ranaldo, Angelo
  • Rossi, Enzo

Abstract

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. 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.

Suggested Citation

  • Ranaldo, Angelo & Rossi, Enzo, 2010. "The reaction of asset markets to Swiss National Bank communication," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 486-503, April.
  • Handle: RePEc:eee:jimfin:v:29:y:2010:i:3:p:486-503
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    More about this item

    Keywords

    Central bank communication Interviews Speeches Asset Markets High-frequency data;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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