The Reaction of Asset Markets to Swiss National Bank Communication

36 Pages Posted: 19 Mar 2016

See all articles by Angelo Ranaldo

Angelo Ranaldo

University of St. Gallen; Swiss Finance Institute

Enzo Rossi

Swiss National Bank; University of Zurich

Date Written: March 18, 2016

Abstract

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements.

Keywords: Central bank communication; Interviews; Speeches; Asset Markets; High-frequency data

JEL Classification: E5

Suggested Citation

Ranaldo, Angelo and Rossi, Enzo, The Reaction of Asset Markets to Swiss National Bank Communication (March 18, 2016). Available at SSRN: https://ssrn.com/abstract=2749603 or http://dx.doi.org/10.2139/ssrn.2749603

Angelo Ranaldo (Contact Author)

University of St. Gallen ( email )

School of Finance
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://fin-sr.unisg.ch

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
+41796637711 (Phone)

HOME PAGE: http://www.sfi.ch/de/about-us/news/hsg-faculty-members

Enzo Rossi

Swiss National Bank ( email )

Research
Fraumuensterstr. 8
Zuerich, 8022
Switzerland

University of Zurich ( email )

Zürich
Switzerland

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