Arbeitspapier
Is Switzerland an Interest Rate Island after all? Time Series and Non-Linear Switching Regime Evidence
Has the “Swiss interest rate anomaly” persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find evidence for the demise of the interest rate bonus of the Swiss franc (CHF) vis-à-vis the Euro (EUR) after the Swiss National Bank (SNB) started to advocate an exchange rate floor with the Euro. After the compression of the bonus to insignificant levels, the uncovered interest parity (UIRP) holds again. We find evidence for a recent regime switch after the SNB has discontinued the exchange rate floor with the Euro.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 5628
- Klassifikation
-
Wirtschaft
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Interest Rates: Determination, Term Structure, and Effects
Economic Growth of Open Economies
International Financial Markets
- Thema
-
uncovered interest rate parity (UIRP)
Swiss interest rate anomaly
error correction
heteroscedasticity
Markov regime switching
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Feld, Lars P.
Köhler, Ekkehard A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Feld, Lars P.
- Köhler, Ekkehard A.
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2015
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