create a website

Responses of Swiss bond yields and stock prices to ECB policy surprises. (2022). Nitschka, Thomas ; Hager, Diego M.
In: Working Papers.
RePEc:snb:snbwpa:2022-08.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 28

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. B. S. Bernanke and K. N. Kuttner. What Explains the Stock Market’s Reaction to Federal Reserve Policy? Journal of Finance, 60:1221–1257, 2005.

  2. C. Altavilla, L. Brugnolini, R. S. Gürkaynak, R. Motto, and G. Ragusa. Measuring euro area monetary policy. Journal of Monetary Economics, 108:162–179, 2019.

  3. C. Nelson and A. F. Siegel. Parsimonious Modelling of Yield Curves. Journal of Business, 60:473–489, 1987.

  4. E. Nakamura and J. Steinsson. High-Frequency Identification of Monetary NonNeutrality: The Information Effect. Quarterly Journal of Economics, 133:1283– 1330, 2018.

  5. E. T. Swanson. Measuring the effects of federal reserve forward guidance and asset purchases on financial markets. Journal of Monetary Economics, 118: 32–53, 2021.

  6. F. Brusa, P. Savor, and M. Wilson. One Central Bank to Rule Them All. Review of Finance, 24(2):263–304, 03 2020.

  7. G. Potjagailo. Spillover effects from Euro area monetary policy across europe: A factor-augmented VAR approach. Journal of International Money and Finance, 72:127–147, 2017.

  8. J. Ammer, C. Vega, and J. Wongswan. International Transmission of US Monetary Policy Shocks: Evidence from Stock Prices. Journal of Money, Credit and Banking, 42:179–198, 2010.

  9. J. H. Christensen, F. X. Diebold, and G. D. Rudebusch. The affine arbitrage-free class of Nelson–Siegel term structure models. Journal of Econometrics, 164(1): 4–20, 2011. Annals Issue on Forecasting.

  10. J. H. E. Christensen and S. Krogstrup. Transmission of Quantitative Easing: The Role of Central Bank Reserves. The Economic Journal, 129(617):249–272, 12 2018. A. Cieslak and A. Schrimpf. Non-Monetary News in Central Bank Communication.
    Paper not yet in RePEc: Add citation now
  11. J. R. Campbell, C. L. Evans, J. D. M. Fisher, and A. Justiniano. Macroeconomic Effects of Federal Reserve Forward Guidance. Brookings Papers on Economic Activity, Spring, 2012. J. R. Campbell, J. D. M. Fisher, A. Justiniano, and L. Melosi. Forward Guidance and Macroeconomic Outcomes Since the Financial Crisis, pages 283–357.

  12. J. Wongswan. The response of global equity indexes to U.S. monetary policy announcements. Journal of International Money and Finance, 28:344–365, 2009.

  13. M. Ehrmann and M. Fratzscher. Global financial transmission of monetary policy shocks. Oxford Bulletin of Economics and Statistics, 71:739–759, 2009.

  14. M. Falagiarda, P. McQuade, and M. Tirpák. Spillovers from the ECB’s nonstandard monetary policies on non-euro area EU countries: evidence from an event-study analysis. ECB Working Paper 1869, 2015.
    Paper not yet in RePEc: Add citation now
  15. M. Jarociński and P. Karadi. Deconstructing monetary policy surprise: the role of information shocks. American Economic Journal: Macroeconomics, 12:1–43, 2020.

  16. R. D. Cook. Detection of influential observation in linear regression. Technometrics, 19(1):15–18, 1977.
    Paper not yet in RePEc: Add citation now
  17. R. Glick and S. Leduc. Central bank announcements of asset purchases and the impact on global financial and commodity markets. Journal of International Money and Finance, 31(8):2078–2101, 2012.

  18. R. S. Gürkaynak, B. P. Sack, and E. T. Swanson. Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements. International Journal of Central Banking, 1:55–93, 2005.

  19. S. Bernhard and T. Ebner. Cross-border spillover effects of unconventional monetary policies on Swiss asset prices. Journal of International Money and Finance, 75:109–127, 2017.

  20. S. Miranda-Agrippino and H. Rey. U.S. Monetary Policy and the Global Financial Cycle. The Review of Economic Studies, 87(6):2754–2776, 05 2020.
    Paper not yet in RePEc: Add citation now
  21. S. ter Ellen, E. Jansen, and N. L. Midthjell. ECB Spillovers and domestic monetary policy effectiveness in small open economies. European Economic Review, 121: 103338, 2020.

  22. Swiss National Bank. Swiss National Bank sets minimum exchange rate at CHF 1.20 per euro. Press release, 2011.
    Paper not yet in RePEc: Add citation now
  23. T. A. Kroencke, M. Schmeling, and A. Schrimpf. The FOMC Risk Shift. Unpublished Working Paper, 2019.
    Paper not yet in RePEc: Add citation now
  24. T. Adrian, R. K. Crump, and E. Moench. Pricing the term structure with linear regressions. Journal of Financial Economics, 110(1):110–138, 2013.

  25. T. J. Jordan. The impact of international spillovers on Swiss inflation and the exchange rate. Journal of International Money and Finance, 68:262–265, 2016.

  26. W. Thorbecke. On stock market returns and monetary policy. Journal of Finance, 52:635–654, 1997.

  27. Y. Aı̈t-Sahalia, J. Andritzky, A. Jobst, S. Nowak, and N. Tamirisa. Market response to policy initiatives during the global financial crisis. Journal of International Economics, 87(1):162–177, 2012.

  28. Z. Jiang, A. Krishnamurthy, and H. Lustig. Dollar Safety and the Global Financial Cycle. NBER Working Paper 27682, 2020.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Monetary Policy and Asset Valuation. (2017). Bianchi, Francesco.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:500.

    Full description at Econpapers || Download paper

  2. Zeroing in: Asset Pricing at the Zero Lower Bound. (2017). Bilal, Mohsan.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:377.

    Full description at Econpapers || Download paper

  3. Monetary Policy and the Stock Market: Time Series Evidence. (2017). Weber, Michael ; Neuhierl, Andreas.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:304.

    Full description at Econpapers || Download paper

  4. Are China’s new energy stock prices driven by new energy policies?. (2015). Reboredo, Juan ; Wen, Xiaoqian.
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:45:y:2015:i:c:p:624-636.

    Full description at Econpapers || Download paper

  5. Spillovers from United States Monetary Policy on Emerging Markets: Different This Time?. (2014). Griffoli, Tommaso Mancini ; Sahay, Ratna ; Chen, Jiaqian.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2014/240.

    Full description at Econpapers || Download paper

  6. The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence. (2014). Gambetti, Luca ; Galí, Jordi ; Gali, Jordi.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10070.

    Full description at Econpapers || Download paper

  7. Bond returns and market expectations. (2013). Giacomini, Raffaella ; Costantini, Riccardo ; Altavilla, Carlo.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:20/13.

    Full description at Econpapers || Download paper

  8. The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market. (2013). Marfatia, Hardik ; Kishor, N.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:24:y:2013:i:c:p:1-24.

    Full description at Econpapers || Download paper

  9. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1302.

    Full description at Econpapers || Download paper

  10. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4264.

    Full description at Econpapers || Download paper

  11. The impact of monetary policy decisions on stock returns: Evidence from Thailand. (2012). Vithessonthi, Chaiporn ; Techarongrojwong, Yaowaluk .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:487-507.

    Full description at Econpapers || Download paper

  12. Market response to policy initiatives during the global financial crisis. (2012). Tamirisa, Natalia ; Nowak, Sylwia ; Jobst, Andreas ; Andritzky, Jochen ; Ait-Sahalia, Yacine.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:87:y:2012:i:1:p:162-177.

    Full description at Econpapers || Download paper

  13. Monetary policy, asset prices and consumption in China. (2012). Koivu, Tuuli.
    In: Economic Systems.
    RePEc:eee:ecosys:v:36:y:2012:i:2:p:307-325.

    Full description at Econpapers || Download paper

  14. What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?. (2012). Wright, Jonathan.
    In: Economic Journal.
    RePEc:ecj:econjl:v:122:y:2012:i:564:p:f447-f466.

    Full description at Econpapers || Download paper

  15. Monetary policy trade-offs in a portfolio model with endogenous asset supply. (2011). Schüder, Stefan ; Schuder, Stefan .
    In: MPRA Paper.
    RePEc:pra:mprapa:32019.

    Full description at Econpapers || Download paper

  16. How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis. (2009). International Monetary Fund, .
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/204.

    Full description at Econpapers || Download paper

  17. European monetary policy surprises: the aggregate and sectoral stock market response. (2009). O'Reilly, Gerard ; Hyde, Stuart ; Bredin, Don ; Nitzsche, Dirk.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:2:p:156-171.

    Full description at Econpapers || Download paper

  18. Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR. (2009). Wheelock, David ; Bordo, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:2008-012.

    Full description at Econpapers || Download paper

  19. Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?. (2009). Saurina, Jesús ; Peydro, Jose-Luis ; Ongena, Steven ; Jimenez, Gabriel.
    In: Working Papers.
    RePEc:bde:wpaper:0833.

    Full description at Econpapers || Download paper

  20. The Impact of the FOMCs Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox. (2008). Dunbar, Kwamie.
    In: Working papers.
    RePEc:uct:uconnp:2008-05.

    Full description at Econpapers || Download paper

  21. The relative size of New Zealand exchange rate and interest rate responses to news. (2008). Karagedikli, Ozer ; Coleman, Andrew.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2008/12.

    Full description at Econpapers || Download paper

  22. Some benefits of monetary policy transparency in New Zealand. (2008). Karagedikli, Ozer ; Drew, Aaron.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2008/01.

    Full description at Econpapers || Download paper

  23. The Macroeconomic Effects of Fiscal Policy. (2008). Sousa, Ricardo ; Afonso, Antonio.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:22/2008.

    Full description at Econpapers || Download paper

  24. Inflation, Monetary Policy and Stock Market Conditions. (2008). Wheelock, David ; Bordo, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14019.

    Full description at Econpapers || Download paper

  25. It’s not only WHAT is said, it’s also WHO the speaker is. Evaluating the effectiveness of central bank communication. (2008). Rozkrut, Marek.
    In: NBP Working Papers.
    RePEc:nbp:nbpmis:47.

    Full description at Econpapers || Download paper

  26. The Relative Size of New Zealand Exchange Rate and Interest Rate Responses to News. (2008). Karagedikli, Ozer ; Coleman, Andrew.
    In: Working Papers.
    RePEc:mtu:wpaper:08-08.

    Full description at Econpapers || Download paper

  27. The Macroeconomic Effects of Fiscal Policy. (2008). Sousa, Ricardo ; Afonso, Antonio.
    In: Working Papers Department of Economics.
    RePEc:ise:isegwp:wp562008.

    Full description at Econpapers || Download paper

  28. Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK. (2008). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2008-005.

    Full description at Econpapers || Download paper

  29. Commentary on \\Assessing monetary policy effects using daily federal funds futures contracts\\. (2008). Kuttner, Kenneth.
    In: Review.
    RePEc:fip:fedlrv:y:2008:i:jul:p:399-404:n:v.90no.4.

    Full description at Econpapers || Download paper

  30. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices. (2008). Vega, Clara ; Kilian, Lutz.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7015.

    Full description at Econpapers || Download paper

  31. Do Markets Care Who Chairs the Central Bank?. (2007). Posen, Adam ; Kuttner, Kenneth.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13101.

    Full description at Econpapers || Download paper

  32. Where Have the Monetary Surprises Gone? The Effects of FOMC Statements. (2007). Swiston, Andrew J.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2007/185.

    Full description at Econpapers || Download paper

  33. Do Markets Care Who Chairs the Central Bank?. (2007). Posen, Adam ; Kuttner, Kenneth.
    In: Working Paper Series.
    RePEc:iie:wpaper:wp07-3.

    Full description at Econpapers || Download paper

  34. Stock market booms and monetary policy in the twentieth century. (2007). Wheelock, David ; Bordo, Michael.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:mar:p:91-122:n:v.89no.2.

    Full description at Econpapers || Download paper

  35. Do federal funds futures need adjustment for excess returns? a state-dependent approach. (2007). Bundick, Brent.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp07-08.

    Full description at Econpapers || Download paper

  36. The Adjusted Solow Residual and Asset Returns. (2007). Lee, Mark.
    In: Eastern Economic Journal.
    RePEc:eej:eeconj:v:33:y:2007:i:2:p:231-255.

    Full description at Econpapers || Download paper

  37. Explaining monetary policy in press conferences. (2007). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007767.

    Full description at Econpapers || Download paper

  38. Is the Impact of ECB Monetary Policy on EMU Stock Market Returns asymmetric?. (2006). Napolitano, Oreste.
    In: Discussion Papers.
    RePEc:prt:dpaper:1_2006.

    Full description at Econpapers || Download paper

  39. The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data. (2006). Manners, Philip ; Kearns, Jonathan.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2006:q:4:a:6.

    Full description at Econpapers || Download paper

  40. Monetary Policy Shocks and Stock Returns: Evidence from the British Market. (2006). Montagnoli, Alberto ; MacDonald, Ronald ; Kontonikas, Alexandros ; gregoriou, andros.
    In: Working Papers.
    RePEc:gla:glaewp:2006_15.

    Full description at Econpapers || Download paper

  41. Global asset prices and FOMC announcements. (2006). Wongswan, Jon ; Hausman, Joshua.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:886.

    Full description at Econpapers || Download paper

  42. The monetary origins of asymmetric information in international equity markets. (2006). Vega, Clara ; Bauer, Gregory.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:872.

    Full description at Econpapers || Download paper

  43. Futures prices as risk-adjusted forecasts of monetary policy. (2006). Swanson, Eric ; Piazzesi, Monika.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-23.

    Full description at Econpapers || Download paper

  44. Market-based measures of monetary policy expectations. (2006). Swanson, Eric ; Gürkaynak, Refet ; Sack, Brian.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-04.

    Full description at Econpapers || Download paper

  45. Global financial transmission of monetary policy shocks. (2006). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006616.

    Full description at Econpapers || Download paper

  46. Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy. (2006). Davig, Troy ; Gerlach, Jeffrey R..
    In: Working Papers.
    RePEc:cwm:wpaper:31.

    Full description at Econpapers || Download paper

  47. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5598.

    Full description at Econpapers || Download paper

  48. Global Financial Transmission of Monetary Policy Shocks. (2006). Fratzscher, Marcel ; Ehrmann, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1710.

    Full description at Econpapers || Download paper

  49. The response of global equity indexes to U.S. monetary policy announcements. (2005). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:844.

    Full description at Econpapers || Download paper

  50. European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response. (2005). O'Reilly, Gerard ; Hyde, Stuart ; Bredin, Don.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:10/rt/05.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-04 07:51:24 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.