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Portfolio balance effects of the Swiss National Bank’s bond purchase program


  • Kettemann, Andreas
  • Krogstrup, Signe


This paper carries out an empirical investigation of the impact on bond spreads of the announcement, purchases and exit from the Swiss National Bank’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 Swiss National Bank’s intention to buy bonds issued by private sector borrowers, as markets learned that covered bonds were being bought. 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 signaling. In contrast, we find no evidence of a further effect of the actual purchases and subsequent sales on bond spreads.

Suggested Citation

  • Kettemann, Andreas & Krogstrup, Signe, 2014. "Portfolio balance effects of the Swiss National Bank’s bond purchase program," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 132-149.
  • Handle: RePEc:eee:jmacro:v:40:y:2014:i:c:p:132-149 DOI: 10.1016/j.jmacro.2014.03.005

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    References listed on IDEAS

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    Cited by:

    1. Daniel Kaufmann, 2015. "Nominal stability and Swiss monetary regimes over two centuries," KOF Working papers 15-379, KOF Swiss Economic Institute, ETH Zurich.
    2. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers 17-26, Bank of Canada.
    3. Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
    4. Christensen, Jens H.E. & Krogstrup, Signe, 2014. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco, revised 20 Jun 2016.
    5. Christian Grisse & Silvio Schumacher, 2017. "The response of long-term yields to negative interest rates: evidence from Switzerland," Working Papers 2017-10, Swiss National Bank.

    More about this item


    Portfolio balance; Corporate spread; Unconventional monetary policy; Central bank asset purchases; Zero lower bound;

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes


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