Monetary policy spillovers: the impact of ECB conventional and unconventional monetary policies on the Swiss stock market

被引：0
|
作者：
Fausch, Juerg [1 ]
Sutter, Daniel [2 ]
机构：
[1] Lucerne Univ Appl Sci & Arts, IFZ, Suurstoffi 1, CH-6343 Rotkreuz, Switzerland
[2] Berenberg Joh Berenberg Gossler & Co KG, Frankfurt, Germany
来源：
APPLIED ECONOMICS LETTERS | 2024年 / 31卷 / 02期
关键词：
Event-study; monetary policy shocks; stock market; unconventional monetary policy; SURPRISES; HETEROSKEDASTICITY; ANNOUNCEMENTS; RATES;
D O I：
10.1080/13504851.2022.2128173
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine the impact of conventional and unconventional ECB monetary policies on the Swiss stock market. Our results show that Swiss stock returns respond significantly to conventional and unconventional monetary policy measures, with conventional monetary policy having an impact only before the financial crisis. The response to unconventional policy shocks is less strong after the introduction of a minimum exchange rate regime by the Swiss National Bank (SNB). Our results are robust to simultaneity and endogeneity problems.
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页码：122 / 127
页数：6
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