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Central bank information and pure monetary policy surprises in Switzerland

Author

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  • David Borner

Abstract

This paper presents a novel high-frequency motive classification strategy - the Trading Markov Sign Restriction (TMSR) - to map pure monetary policy and central bank information motives onto monetary surprises. It considers high-frequency dynamics on the interest rate futures and the stock market and examines systematic phases of expectation adjustment behaviour within 30-minute windows around policy announcements. I show that three systematic phases of expectation adjustment intensities can be observed for monetary policy announcements from the Swiss National Bank (SNB). Based on these identified phases, trends in trading directions on the interest rate futures and stock market are then weighted by a measure of expectation adjustment intensity to classify pure monetary policy and central bank information motives per policy announcement. Studying the effects of pure monetary policy and central bank information surprises reveals that both types of surprises affect financial assets; however, for the Swiss case, these effects differ from each other only for the exchange rates and stock market responses.

Suggested Citation

  • David Borner, 2025. "Central bank information and pure monetary policy surprises in Switzerland," Working Papers 2025-01, Swiss National Bank.
    • Handle: RePEc:snb:snbwpa:2025-01
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    File URL: https://www.snb.ch/en/publications/research/working-papers/2025/working_paper_2025_01
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    More about this item

    Keywords

    Monetary policy; Central bank information; High-frequency identification; Motive classification;
    All these keywords.

    JEL classification:

    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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