Reaction of Swiss Term Premia to Monetary Policy Surprises
An affine yield curve model is estimated on daily Swiss data 2002--2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities.
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| Length: | 23 pages |
| Date of creation: | Dec 2009 |
| Handle: | RePEc:usg:dp2009:2009-33 |
| Contact details of provider: | Postal: Dufourstrasse 50, CH - 9000 St.Gallen Phone: +41 71 224 23 25 Fax: +41 71 224 31 35 Web page: http://www.seps.unisg.ch/ Email: More information through EDIRC
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