Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146755
Authors: 
Hüning, Hendrik
Year of Publication: 
2016
Series/Report no.: 
HWWI Research Paper 177
Abstract: 
This paper analyses the effects of Swiss National Bank (SNB) communication on asset prices. It distinguishes between different monetary policy news contained in press releases following a monetary policy decision. Employing a latent variable approach and event-study methods, I find that medium- and long-term bond yields respond to changes in the communicated inflation and GDP forecasts as well as to the degree of pessimism expressed in press releases. Exchange rates mainly react to changes in the GDP forecast while stocks do not react to SNB communication on monetary policy announcement days. Additionally, short-term expectations about the future path of the policy rate are driven by the communicated inflation forecast. The results underline the role of qualitative news next to quantitative forecasts in influencing market expectations and asset prices.
Subjects: 
monetary policy communication
asset markets
JEL: 
E43
E52
G12
Document Type: 
Working Paper

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