Portfolio balance effects of the Swiss National Bank’s bond purchase program

Kettemann, Andreas; Krogstrup, Signe

doi:10.1016/j.jmacro.2014.03.005

Cited by 18 publications

(10 citation statements)

References 11 publications

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“…Joyce et al (2011) analyze the impact of QE in the UK and find both announcement and purchase effects on the order of 100 basis points. Kettemann and Krogstrup (2014) also find evidence for an announcement effect of Swiss National Bank's covered bond purchase program, even though they do not find evidence for a purchase effect. Several studies focus explicitly on ECB's APP: Georgiadis and Gräb (2016) investigate the impact of announcing the complete Eurosystem APP program on the euro exchange rate, global equity prices and bond yields.…”

Section: Literature Reviewmentioning

confidence: 79%

When Central Banks Buy Corporate Bonds: Target Selection and Impact of the European Corporate Sector Purchase Program

Galema

Lugo

2017

SSRN Journal

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In March 2016 the European Central Bank (ECB) announced the Corporate Sector Purchase Program (CSPP) as part of its expanded asset purchase program. Using hand-collected, weekly lists of bonds purchased and held under the CSPP, we investigate the drivers of the purchase decisions and the impact of the program on the financing decisions of targeted firms. We find that, consistent with the goal of decreasing credit premia while minimizing price distortions, purchases of eligible bonds characterized by both higher credit risk and higher liquidity are more likely and more timely. Bonds issued by firms more likely to face difficulties in tapping the credit market directly are also more likely to be purchased. The CSPP appears effective in alleviating these difficulties. Firms targeted by the program increase their amount of bonds outstanding significantly more than non-targeted eligible issuers; the effect is mostly driven by companies making limited use of market debt before the start of the program. However, no difference is found in the variation of total debt between targeted and non-targeted eligible issuers. Together, these results suggest that the CSPP has favored the substitution of bonds for other forms of debt capital.

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Section: Literature Reviewmentioning

confidence: 79%

When Central Banks Buy Corporate Bonds: Target Selection and Impact of the European Corporate Sector Purchase Program

Galema

Lugo

2017

SSRN Journal

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“…Although the intervention level was not explicitly announced, markets believed that this implied a minimum exchange rate of CHF/EUR 1.50 . In addition, the SNB introduced a bond purchase programme during spring and summer 2009 with the aim of reducing risk premia on long‐term corporate bonds (see Kettemann and Krogstrup, ). Therefore, during this episode, the ELB was binding but there were several additional non‐conventional policy actions.…”

Section: The Elb and Monetary Policy In Switzerlandmentioning

confidence: 99%

Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound

Bäurle

Kaufmann

2018

Oxf Bull Econ Stat

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New Keynesian models with sticky prices make stark predictions about how the economy responds to shocks under different monetary policy regimes when short‐term interest rates are constrained by an effective lower bound. We use the Swiss case as a laboratory to find evidence in favour of these predictions. We propose a Bayesian VAR to estimate impulse responses to risk shocks for short periods with a binding effective lower bound and with a publicly announced minimum exchange rate. In line with predictions from theory, we find that with a binding effective lower bound, the responses of the exchange rate, prices, and output become more persistent. However, the minimum exchange rate attenuates this adverse impact.

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“…Further details of the SNB QE program can be found inKettemann and Krogstrup (2014) andMirkov and Sutter (2011), among others.32 Further details of the SNB reserve expansion program can be found inChristensen and Krogstrup (2016), among others.©International Monetary Fund. Not for Redistribution…”

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confidence: 99%

Quantitative Easing and Long-Term Yields in Small Open Economies

Rı́os

Shamloo²

2017

IMF Working Papers

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We compare the effectiveness of Federal Reserve's asset purchase programs in lowering longterm yields with that of similar programs implemented by the Bank of England, the Swedish Riksbank, and the Swiss National Bank's reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global, and (iii) a country specific term premium to analyze two-day changes in 10-year yields around announcement dates. We find that, in contrast to the Federal Reserve's asset purchases, the programs implemented in these smaller economies have not been able to affect the global term premium and, furthermore, they have had limited, but significant, effect in lowering long-term yields.

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Portfolio balance effects of the Swiss National Bank’s bond purchase program

Cited by 18 publications

References 11 publications

When Central Banks Buy Corporate Bonds: Target Selection and Impact of the European Corporate Sector Purchase Program

When Central Banks Buy Corporate Bonds: Target Selection and Impact of the European Corporate Sector Purchase Program

Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound

Quantitative Easing and Long-Term Yields in Small Open Economies

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