Interest Rate Dynamics and Monetary Policy Implementation in Switzerland
The maturity of the operational target of monetary policy is a distinguishing feature of the SNB's operational framework of monetary policy. While most central banks use targets for the overnight rate to signal the policy-intended interest rate level, the SNB announces a target range for the three-month Libor. This paper investigates the working and the consequences of the SNB's unique operational framework for the behavior of Swiss money market rates before and during the financial crisis.
Volume (Year): 146 (2010)
Issue (Month): I (March)
|Contact details of provider:|| Postal: c/o SNB/BNS, Börsenstrasse 15, PO Box 2800, CH-8022 Zürich|
Phone: +41 (0)44 631 32 34
Fax: +41 (0)44 631 39 01
Web page: http://www.sjes.ch
More information through EDIRC
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.:
- Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,"
Econometric Society, vol. 55(3), pages 703-08, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Sarno, Lucio & Thornton, Daniel L., 2003.
"The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation,"
Journal of Banking & Finance,
Elsevier, vol. 27(6), pages 1079-1110, June.
- Sarno, Lucio & Thornton, Daniel L, 2002. "The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation," CEPR Discussion Papers 3225, C.E.P.R. Discussion Papers.
- Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis.
- James D. Hamilton, 2007.
"Daily Changes in Fed Funds Futures Prices,"
NBER Working Papers
13112, National Bureau of Economic Research, Inc.
- John B. Taylor & John C. Williams, 2008.
"A Black Swan in the Money Market,"
NBER Working Papers
13943, National Bureau of Economic Research, Inc.
- John B. Taylor & John C. Williams, 2009. "A black swan in the money market," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
- John C. Williams & John B. Taylor, 2009. "A Black Swan in the Money Market," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 58-83, January.
- Kraenzlin, Sébastien & Schlegel, Martin, 2012.
"Bidding behavior in the SNB’s repo auctions,"
Journal of International Money and Finance,
Elsevier, vol. 31(2), pages 170-188.
- Thomas Jordan & Angelo Ranaldo & Paul Söderlind, 2009.
"The implementation of SNB monetary policy,"
Financial Markets and Portfolio Management,
Springer, vol. 23(4), pages 349-359, December.
- 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.
- Offermanns, Christian J. & Nautz, Dieter, 2006.
"The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread,"
Discussion Paper Series 1: Economic Studies
2006,01, Deutsche Bundesbank, Research Centre.
- Dieter Nautz & Christian J. Offermanns, 2007. "The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 287-300.
- Hassler, Uwe & Nautz, Dieter, 2008. "On the persistence of the Eonia spread," Economics Letters, Elsevier, vol. 101(3), pages 184-187, December.
- Thomas J. Jordan & Peter Kugler, 2004. "Implementing Swiss Monetary Policy: Steering the 3M-Libor with Repo Transactions," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 381-393, September.
- Nautz, Dieter & Oechssler, Jorg, 2006.
"Overbidding in fixed rate tenders--an empirical assessment of alternative explanations,"
European Economic Review,
Elsevier, vol. 50(3), pages 631-646, April.
- Dieter Nautz & Jörg Oechssler, 2003. "Overbidding in Fixed Rate Tenders - An Empirical Assessment of Alternative Explanations," Bonn Econ Discussion Papers bgse10_2003, University of Bonn, Germany.
- Ernst Baltensperger & Philipp M. Hildebrand & Thomas J. Jordan, 2007. "The Swiss National Bank's monetary policy concept - an example of a 'principles-based' policy framework," Economic Studies 2007-03, Swiss National Bank.
When requesting a correction, please mention this item's handle: RePEc:ses:arsjes:2010-i-13. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Steiner)
If references are entirely missing, you can add them using this form.