Three aspects of the Swiss term structure: an empirical survey

Springer Science and Business Media LLC - Tập 21 - Trang 221-240 - 2007
Petra Gerlach-Kristen1
1Swiss National Bank and University of Basel, Zürich, Switzerland

Tóm tắt

The term structure is an important transmitter of, and indicator for, monetary policy. This paper studies the Swiss term structure using monthly data from 1989 to 2005. We study the impact of the new monetary policy strategy that the Swiss National Bank (SNB) adopted at the beginning of 2000 on three aspects of the term structure. First, we test the expectations hypothesis and find it confirmed at the short end of the yield curve. At the long end, time-varying term premia seem present. Second, we ask whether the yield curve contains information regarding future inflation and economic activity. We find that a steepening of the yield curve predicted an increase in economic activity in the short term before the change in policy strategy, but not thereafter. Third, we study the contemporaneous reaction of the term structure to macroeconomic conditions and conclude that the SNB’s commitment to stabilizing inflation may have become more credible after the change in the monetary policy strategy.

Tài liệu tham khảo

Assenmacher-Wesche, K., Gerlach, S.: Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland. mimeo, BIS and SNB (2005)

Baltensperger, E., Fischer, A.M., Jordan, T.J.: Abstaining from inflation targets: Understanding the importance of strong goal independence, mimeo, SNB and University of Bern (2003)

Baltensperger E., Jordan T.J., Savioz M. (2001) The demand for M3 and inflation forecasts: an empirical analysis for Switzerland. Weltwirtschaftliches Archiv 137(2): 244–272

Beer U. (1990) Eine Methode zur Schätzung der Zinsstruktur in der Schweiz. Swiss J. Econ. Stat. 1, 39–50

Bernanke B.S. (1990) On the predictive power of interest rates and interest rate spreads. New Engl. Econ. Rev. November / December, 51–68

Bernard H., Gerlach S. (1998) Does the term structure predict recessions? The international evidence. Int. J. Financ. Econ. 3, 195–215

Bisignano J.R. (1987) A study of efficiency and volatility in government securities markets. mimeo, BIS

Boudoukh, J., Richardson, M., Whitelaw, R.: The information in long-maturity foward rates: Implications for exchange rates and the forward premium anomaly. NBWER Working Paper 11840 (2005)

Büttler, H-J.: The information content of the yield curve. In: BIS Paper No 12, Market functioning and central bank policy, pp. 298–328 (2002)

Capitelli R.(1983) Die Zinsstruktur der Schweiz: Ein faktoranalytischer Ansatz im Frequenzbereich. Haag und Herchen, Frankfurt am Main

Clarida R., Galí J., Gertler M. (1998) Monetary policy rules in practice: some international evidence. Eur. Econ. Rev. 42, 1033–1067

Cox J.C., Ingersoll J.E. Jr, Ross S.A. (1985) An intertemporal general equilibrium model of asset prices. Econometrica 53, 363–384

Cuthbertson K. (1996) Quantitative financial economics. Wiley, Chichester

Deppner, C.: Die Schätzung der Zinsstruktur und deren Bedeutung in der – Eine empirische Untersuchung auf Basis von multiplen Regressions- und linearen mit Daten der schweizerischen Rentenmarktes. Rosch-Buch, Hallstadt (1992)

Estrella A., Hardouvelis G.A. (1991) The term structure as a predictor of real economic activity. J. Financ. 46(2): 555–576

Estrella A., Mishkin F. (1997) The predictive power of the term structure of interest rates in Europe and the United States: implications for the European Central Bank. Eur. Econ. Rev. 41, 1375–1401

Estrella A., Mishkin F.S. (1998) Predicting US recessions: financial variables as leading indicators. Rev. Econ. Stat. 80, 45–61

Fama E.F. (1990) Term-structure forecasts of interest rates, inflation and real returns. J. Monet. Econs. 25(1): 59–76

Fisher, I.: Appreciation and interest. Publications of the American Economic Association, pp. 23–29 and 88–92 (1896)

Gerlach S., Smets F. (1997) The term structure of euro-rates: some evidence in support of the expectations hypothesis. J. Int. Money Financ. 16, 305–321

Gerlach, S., Smets, F.: Exchange rate regimes and the expectations hypothesis of the term structure. In: Angeloni, I., Rovelli, R. (eds) Monetary Policy and Interest Rates. MacMillan Press (1998)

Gerlach-Kristen P. (2005) The impact of the new Swiss monetary policy framework on inflation expectations. mimeo, SNB

Gerlach-Kristen, P.: Estimating a two-pillar Phillips curve for Switzerland. Swiss National Bank Working Paper 9 (2006)

Greene W.H. (1997) Econometric Analysis. Prentice-Hall, London

Hardouvelis G.A. (1994) The term structure spread and future changes in long and short rates in the G7 countries. J. Monet. Econ. 33, 255–283

Heller D. (1997) Zinskurven und ihr Informationsgehalt für die Geldpolitik. Quartalsheft SNB 2, 167–176

Hildebrand, P.: Vom Monetarismus zur Inflationsprognose: Dreissig Jahre schweizerische Geldpolitik, lecture given at the University of Bern, Nov 23, available at www.snb.ch (2004)

Hildebrand P. (2006) Monetary policy and financial markets. Financ. Markets Portf. Manage. 20(1): 7–18

Hsu C., Kugler P. (1996) Term premium and volatility: a nonlinear analysis of the Swiss interest rates. Swiss J. Econ. Stat. 132(2): 153–176

Hsu C., Kugler P. (1997) The revival of the expectations hypothesis of the US term structure of interest rates. Econ. Lett. 55, 115–120

Jordan, T.J., Kugler, P.: Implementing Swiss monetary policy: Steering the 3M-LIBOR with repo transactions, mimeo, SNB and University of Basel (2003)

Jordan, T.J., Peytrignet, M., Rich, G.: The role of M3 in the policy analysis of the Swiss National Bank. In: Hans-Joachim, K., Willecke, C. (eds) Monetary Analysis: Tools and Applications. European Central Bank, Frankfurt, pp. 47–62 (2001)

Jorion P., Mishkin F. (1991) A multicountry comparison of term-structure forecasts at long horizons. J. Financ. Econ. 29, 59–80

Kugler P. (1988) An empirical note on the term structure and interest rate stabilization policies. Quart. J. Econ. 103, 789–792

Kugler, P.: The expectations hypothesis and interest rate volatility on the euromarket: some empirical results. In: Kähler, J., Kugler, P. (eds) Econometric Analysis of Financial markets. Physica-Verlag (1994)

Kugler P. (1996) The term structure of interest rates and regime shifts: some empirical results. Econ. Lett. 59, 121–126

Kugler P. (1997) Central bank policy reaction and the expectations hypothesis of the term structure. Int. J. Financ. Econ. 2, 217–224

Kugler P. (2002) The term premium, time varying interest rate volatility and central bank policy reaction. Econ. Lett. 76, 311–316

Mankiw G.N., Miron J.A. (1986) The changing behavior of the term structure of interest rates. Quart. J. Econ. 101, 211–228

McCallum, B.T.: Monetary policy and the term structure of interest rates. NBER Working Paper 4938 (1994)

Meier I. (1999) Estimating the term structure of interest rates: the Swiss case. mimeo, University of Bern

Mishkin F.S. (1990) The information in the longer maturity term structure about future inflation. Quart. J. Econ. 105(3): 815–828

Mishkin F.S. (1991) A multi-country study of the information in the shorter maturity term structure about future inflation. J. Int. Money Financ. 10, 2–22

Mishkin, F.S.: Inflation targeting. In: Brian, S., Vane, H.R. (eds), An encyclopedia of macroeconomics, Edward Elgar, Cheltenham, UK (2002)

Olivei, G.P.: Switzerland’s approach to monetary policy. Federal Reserve Bank of Boston New England Economic Review, pp. 57–60 (2002)

Peytrignet, M.: Swiss monetary policy under a flexible exchange rate regime: monetary targets in practice. In: Bank of Canada, Money, Monetary policy, and transmission mechanisms, pp. 193–219 (1999)

Rich, G.: Swiss monetary targeting 1974–1996: the role of internal policy analysis. European Central Bank Working Paper 236 (2003)

Shiller, R.J.: The term structure of interest rates. In: Friedman, B.M., Hahn, F.H. (eds) Handbook of Economics. North Holland, Amsterdam (1990)

Swiss National Bank: Quartalsheft 1, 51–56 (1983)

Swiss National Bank: Quartalsheft 4, 8–13 (1999)

Swiss National Bank: Quartalsheft 2, 64–73 (2002)

Svensson L.E.O. (1997) Inflation forecast targeting: Implementing and monitoring inflation targets. Eur Econ. Rev. 41, 1111–1146

Taylor J.B. (1993) Discretion versus policy rules in practice. Carnegie-Rochester Conf. Ser. Publ. Policy 39, 195–214

Tobler J. (1999) Ein zweistufiges Verfahren zur Schätzung der Zinskurve. Swiss J. Econ. Stat. 135(1): 41–74

Unternährer, M.: Geldpolitik, Zinsspread und realwirtschaftliche Aktivität in der Schweiz, Institut für empirische Wirtschaftsforschung der Universität Zürich, Band 39, Verlag Schellenberg, Winterthur (1997)

Woodford, M.: Nonstandard indicators for monetary policy: Can their usefulness be judged from forecasting regressions? In: Gregory Mankiw, N. (ed) Monetary Policy. NBER and University of Chicago Press (1994)

Thông tin
Thông tin xuất bản

Springer Science and Business Media LLC

Tập 21

221-240

Thông tin tác giả