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Time variation in asset price responses to macro announcements

Grisse, Christian; Goldberg, Linda S. - Schweizerische Nationalbank (SNB) - 2013

, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response … to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

Persistent link: https://www.econbiz.de/10010895105

Exchange rate returns and external adjustment: evidence from Switzerland

Grisse, Christian; Nitschka, Thomas - Schweizerische Nationalbank (SNB) - 2014

This paper studies the ability of external imbalances to indicate subsequent exchange rate returns. We propose a simple twist of the Gourinchas and Rey (2007) approximation to the intertemporal budget constraint which is valid for countries that are net creditors (or net debtors) consistently...

Persistent link: https://www.econbiz.de/10011098076

Home Bias, Transactions Costs, and Prospects for the Euro: A More Detailed Analysis

Mann, Catherine L.; Meade, Ellen E. - Centre for Economic Performance, LSE - 2002

This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. Our empirical findings...

Persistent link: https://www.econbiz.de/10005016709