Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156501
Authors: 
Alvero, Adrien
Fischer, Andreas M.
Year of Publication: 
2016
Series/Report no.: 
Working Paper 16.07
Abstract: 
This paper examines spillover and spillback effects of unconventional monetary policies conducted by the European Central Bank (ECB) and Swiss National Bank (SNB) on the exchange rate's distribution. The empirical setup examines the price response of EURCHF risk reversal to a change in ECB and SNB balance sheets, with a distinction for the period of the minimum exchange rate (floor). The analysis finds only weak evidence of spillover effects from the ECB, while the spillback effect from the SNB balance sheet is robust during the floor period.
Subjects: 
central bank balance sheets
spillovers and spillbacks
risk reversals
OLS regression
JEL: 
E52
E58
F31
G15
Document Type: 
Working Paper
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