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This paper provides an empirical analysis of the effects of the SNB's operating procedure on the adjustment speed and the volatility of Swiss franc Libor of different maturities. More precisely it presents econometric estimates of the effect of the two characteristics of the repo auctions on the...

This paper estimates a structural VAR model for Switzerland consisting of key macroeconomic variables with quarterly data from 1974 to 2002, which allows the identification of a monetary policy shock with plausible impulse response patterns. Conditional forecasts generated by this model are used...

We develop a macroeconomic model incorporating international trade. The model is an open economy version of the traditional IS-LM model. Using the recently developed structural vectorautoregression estimation methodology we identify a set of structural shocks. The estimated dynamicresponses of...

The monetary debate in Switzerland about joining the European Monetary Union (EMU) has primarily focused on the gains in terms of transaction costs and lower uncertainty from using a common currency versus the sacrifice of giving up an independent monetary policy. This paper considers an...

Traditionally, the literature on seigniorage has mentioned different concepts of measuring seigniorage, most prominently the monetary concept and the opportunity cost concept. The relationship between different concepts of seigniorage has never been settled clearly. This paper discusses...

This article analyses the state of the fiscal policy pursued by the Swiss Confederation (central government) in the eighties and nineties by means of a set of new fiscal indicators. The annual discretionary change in fiscal policy, the sustainability of the fiscal policy and its impact on...

This paper analyzes the change of the output-inflation trade-off in Switzerland over time. Three approaches are used. A traditional equation and a structural vectorautoregressive model are estimated with a moving local regression method. Furthermore, a dummy variable method is applied. The...

In December 1999 the Swiss National Bank (SNB) abandoned monetary targeting and introduced a new monetary policy strategy. The cornerstones of the new framework are an explicit definition of what the SNB considers to be price stability, a forecast of inflation over a three-year horizon, and a...

An affine yield curve model is estimated on daily Swiss data 2002–2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence...