Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77599 
Year of Publication: 
2013
Series/Report no.: 
Working Paper No. 116
Publisher: 
University of Zurich, Department of Economics, Zurich
Abstract: 
This paper carries out an empirical investigation of the impact on bond spreads of the announcement, purchases and exit from the SNB's bond purchase program in 2009-2010. We find evidence in favor of a narrowing yield spread of covered bonds as a result of the program. The effect materialized in the days following the announcement of the SNB's intention to buy bonds issued by private sector borrowers, as markets learned that the SNB was buying covered bonds. The specification of the bond spreads used allows us to identify this effect as a discounted portfolio balance effect of the expected purchases, as distinct from policy signalling. In contrast, we find no evidence of a further effect of the actual purchases and subsequent sales on bond spreads.
Subjects: 
portfolio balance
credit spread
corporate spread
unconventional monetary policy
central bank asset purchases
credit easing
zero lower bound
JEL: 
E5
G1
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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