Krogstrup, Signe; Kettemann, Andreas - Institut für Volkswirtschaftslehre, … - 2013
from the SNB’s bond purchase program in 2009-2010. We find evidence in favor of a narrowing yield spread of covered bonds … bond spreads used allows us to identify this effect as a discounted portfolio balance effect of the expected purchases, as … as a result of the program. The effect materialized in the days following the announcement of the SNB’s intention to buy …