Reaction of Swiss Term Premia to Monetary Policy Surprises
Journal
Swiss Journal of Economics and Statistics
ISSN
0303-9692
Type
journal article
Date Issued
2010-08-04
Author(s)
Abstract
An affine yield curve model is estimated on daily Swiss data 2002-2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Peter Lang
Publisher place
Bern
Volume
146
Number
1
Start page
385
End page
404
Pages
20
Subject(s)
Division(s)
Eprints ID
58207
File(s)![Thumbnail Image]()
Name
ChfYield200912.pdf
Size
460.88 KB
Format
Adobe PDF
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