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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
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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