Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/123398 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
WWZ Working Paper No. 04/09
Verlag: 
University of Basel, Center of Business and Economics (WWZ), Basel
Zusammenfassung: 
In this paper we analyzed the violations of UIP for the Swiss Franc against the Dollar, the Euro, the Yen, the Pound and the Canadian Dollar using recent data up to fall 2008. This exercise provides the following main results : first the Swiss interest rate puzzle disappeared, i.e. mean returns on Swiss Franc assets are no longer systematically and significantly lower (as in the 1980 – 1998 sample) when compared jointly with other major currencies in the 1999 to 2008 period. Second and in contrast to earlier evidence we failed to find evidence that geopolitical crises lead to an appreciation of the Swiss Franc in the last ten years. Third even the short run validity of UIP cannot be rejected for the Swiss Franc against the five currencies for the 1999 – 2008 sample. Unfortunately our attempt to locate the time of change and the currencies involved by the application of tests for structural breaks with unknown break point did not lead to clear cut conclusion for the Euro and the Dollar, the two most important foreign currencies from a Swiss perspective.
JEL: 
E43
E44
G15
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
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