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Titel
Did the Swiss exchange rate shock shock the market? / Manuel Buchholz, Gregor von Schweinitz, Lena Tonzer
VerfasserBuchholz, Manuel ; Schweinitz, Gregor ; Tonzer, Lena
ErschienenHalle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [22. Mai 2018]
Umfang1 Online-Ressource (III, 27 Seiten, 1,06 MB) : Illustrationen
SpracheEnglisch
SerieIWH-Diskussionspapiere ; 2018, no. 9 (May 2018)
URNurn:nbn:de:gbv:3:2-92093 
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Did the Swiss exchange rate shock shock the market? [1.07 mb]
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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.