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The Short-Run Impact of SNB Sight Deposits on Exchange Rates: Results from Weekly Data 2015 - 2018
Discussion paper / Internet publication
 
ID 4596537
Author(s) Kugler, Peter
Author(s) at UniBasel Kugler, Peter
Year 2020
Month and day 02-01
Title The Short-Run Impact of SNB Sight Deposits on Exchange Rates: Results from Weekly Data 2015 - 2018
Series title WWZ Working Paper
Volume 2020
Number 04
Pages 16
Publisher / Institution WWZ
Abstract This paper provides an econometric analysis of the short-run impact of SNB sight deposits mainly created by intervention on the Swiss franc exchange rate covering the period January 2015 to June 2018 using weekly data. Our model includes both the exchange rate of the Swiss franc against euro and dollar and uses the plausible assumption that foreign interest rates and the euro-dollar exchange rate are exogenous. Besides sight, deposits we include interest rate differentials for 2- and 10-year government bonds, and some exogenous exchange rate determinants. GMM estimation indicates that a one percent increase in the sight deposits leads leads to a 0.41 percent appreciation of the Swiss franc against euro and dollar.
edoc-URL https://edoc.unibas.ch/76180/
Full Text on edoc Available
 
   

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