The Reaction of Asset Markets to Swiss National Bank Communication
36 Pages Posted: 19 Mar 2016
Date Written: March 18, 2016
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: Suggested Citation