Did the Swiss exchange rate shock shock the market?

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

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

Classification and Topics

• 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

Contributors, Places and Time

• 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

Further information

• Handle: http://hdl.handle.net/10419/178676
• URN: urn:nbn:de:gbv:3:2-92093
• Last update: 10.03.2025, 11:43 AM CET