Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/240413 
Authors: 
Year of Publication: 
2020
Series/Report no.: 
WWZ Working Paper No. 2020/04
Version Description: 
revised May 2020
Publisher: 
University of Basel, Center of Business and Economics (WWZ), Basel
Abstract: 
This paper provides an econometric analysis of the short-run impact of SNB sight deposits mainly created by intervention on the Swiss franc exchange rate covering the period January 2015 to June 2018 using weekly data. Our model includes both the exchange rate of the Swiss franc against euro and dollar and uses the plausible assumption that foreign interest rates and the euro-dollar exchange rate are exogenous. Besides sight, deposits we include interest rate differentials for 2- and 10-year government bonds, and some exogenous exchange rate determinants. GMM estimation indicates that a one percent increase in the sight deposits leads leads to a 0.41 percent appreciation of the Swiss franc against euro and dollar.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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