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Responses of Swiss interest rates and stock prices to ECB policy surprises

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  • Diego M. Hager

    (University of Zurich)

  • Thomas Nitschka

    (Swiss National Bank)

Abstract

We employ local projections to analyse the responses of Swiss asset prices to scheduled policy decisions of the European Central Bank (ECB) as a case study of ECB policy spillovers to European countries outside the euro area. Focusing on ECB policy shocks that are related to different policy instruments of the ECB, our empirical results leave the impression that surprises related to the ECB target policy rate and to the ECB’s longer-term forward guidance or its asset purchases tend to move Swiss interest rates and stock prices in the same direction. Shocks explicitly designed to capture pure ECB monetary policy and information effect shocks are weakly associated with movements in Swiss asset prices on average.

Suggested Citation

  • Diego M. Hager & Thomas Nitschka, 2023. "Responses of Swiss interest rates and stock prices to ECB policy surprises," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-14, December.
    • Handle: RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00117-8
    DOI: 10.1186/s41937-023-00117-8
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    More about this item

    Keywords

    Bond; Local projection; International spillovers; Monetary policy; Stock;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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