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Mortgage Rate Pass-Through in Switzerland
Cecchin, Iva - Schweizerische Nationalbank (SNB) - 2011
passthrough of rates of adjustable-rate mortgages is incomplete and sluggish compared to the rates of mortgages with a fixed … of 2007 for fixed-rate mortgages and in mid-2005 for floating-rate mortgages. For all mortgage rates, asymmetries are …-rate mortgages exhibit upward price stickiness. This result suggests that competition was stronger in this specific mortgage …
Persistent link: https://www.econbiz.de/10009023977
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Macroeconomic and interest rate volatility under alternative monetary operating procedures
Gerlach-Kristen, Petra; Rudolf, Barbara - Schweizerische Nationalbank (SNB) - 2010
During the financial crisis of 2007/08 the level and volatility of interest rate spreads increased dramatically. This paper examines how the choice of the target interest rate for monetary policy affects the volatility of inflation, the output gap and the yield curve. We consider three monetary...
Persistent link: https://www.econbiz.de/10008925039
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Modeling Monetary Policy
Reynard, Samuel; Schabert, Andreas - Schweizerische Nationalbank (SNB) - 2010
We develop a macroeconomic framework where money is supplied against only few eligible securities in open market operations. The relationship between the policy rate, expected inflation and consumption growth is affected by money market conditions, i.e. the varying liquidity value of eligible...
Persistent link: https://www.econbiz.de/10008925057
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Bargaining Power in the Repo Market
Kraenzlin, Sébastien Philippe; von Scarpatetti, Benedikt - Schweizerische Nationalbank (SNB) - 2011
In this paper, we analyze the price setting behavior of banks in the Swiss franc repo market by means of network topology concepts and measures. The sample ranges from October 1999 to December 2009. Hence, it covers a large part of the money market turmoil that started in August 2007. Among...
Persistent link: https://www.econbiz.de/10010895106
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Liquidity Effects of Quantitative Easing on Long-Term Interest Rates
Krogstrup, Signe; Reynard, Samuel; Sutter, Barbara - Schweizerische Nationalbank (SNB) - 2012
This paper argues that the expansion in reserves following recent quantitative easing programs of the Federal Reserve may have affected long-term interest rates through liquidity effects. The data lends some support for liquidity effects, in that reserves were negatively correlated with...
Persistent link: https://www.econbiz.de/10010542048
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Macroeconomic and interest rate volatility under alternative monetary operating procedures
Gerlach-Kristen, Petra; Rudolf, Barbara - Schweizerische Nationalbank (SNB) - 2010
During the financial crisis of 2007/08 the level and volatility of interest rate spreads increased dramatically. This paper examines how the choice of the target interest rate for monetary policy affects the volatility of inflation, the output gap and the yield curve. We consider three monetary...
Persistent link: https://www.econbiz.de/10008472268
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Modeling Monetary Policy
Reynard, Samuel; Schabert, Andreas - Schweizerische Nationalbank (SNB) - 2009
We develop a macroeconomic framework where money is supplied against only few eligible securities in open market operations. The relationship between the policy rate, expected inflation and consumption growth is affected by money market conditions, i.e. the varying liquidity value of eligible...
Persistent link: https://www.econbiz.de/10008487542
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Borrowing in Foreign Currency: Austrian Households as Carry Traders
Ongena, Steven; Beer, Christian; Peter, Marcel - Schweizerische Nationalbank (SNB) - 2008
Household borrowing in a foreign currency is a widespread phenomenon in Austria. Twelve percent of Austrian households report their housing loan to be denominated in either Swiss franc or Japanese yen for example. Yet, despite its importance, peculiar character, and immediate policy concerns, we...
Persistent link: https://www.econbiz.de/10008925052
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Borrowing in Foreign Currency: Austrian Households as Carry Traders
Ongena, Steven; Beer, Christian; Peter, Marcel - Schweizerische Nationalbank (SNB) - 2008
Household borrowing in a foreign currency is a widespread phenomenon in Austria. Twelve percent of Austrian households report their housing loan to be denominated in either Swiss franc or Japanese yen for example. Yet, despite its importance, peculiar character, and immediate policy concerns, we...
Persistent link: https://www.econbiz.de/10005091296
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Banking Sector Reform and Interest Rates in Transition Economies: Bank-Level Evidence from Kyrgyzstan
Brown, Martin; Maurer, Maria Rueda; Pak, Tamara; … - Schweizerische Nationalbank (SNB) - 2007
We examine the impact of banking sector reforms on interest rates using bank-level data from Kyrgyzstan for 1998-2005. We find that increased confidence in the banking sector has contributed significantly to lowering interest rate levels, while the impact of lower intermediation costs, credit...
Persistent link: https://www.econbiz.de/10008925033