Arbeitspapier

Did the Swiss exchange rate shock shock the market?

The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Based on a synthetic matching framework, we analyse the impact of this unexpected (and therefore exogenous) shock on the stock market. The results reveal a significant level shift (decline) in asset prices in Switzerland following the discontinuation of the minimum exchange rate. While adjustments in stock market returns were most pronounced directly after the news announcement, the variance was elevated for some weeks, indicating signs of increased uncertainty and potentially negative consequences for the real economy.

Language
Englisch

Bibliographic citation
Series: IWH Discussion Papers ; No. 9/2018

Classification
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
International Finance: General
Open Economy Macroeconomics
Subject
exchange rate shock
stock markets
uncertainty
synthetic matching

Event
Geistige Schöpfung
(who)
Buchholz, Manuel
von Schweinitz, Gregor
Tonzer, Lena
Event
Veröffentlichung
(who)
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
(where)
Halle (Saale)
(when)
2018

Handle
URN
urn:nbn:de:gbv:3:2-92093
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Buchholz, Manuel
  • von Schweinitz, Gregor
  • Tonzer, Lena
  • Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

Time of origin

  • 2018

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