Banque nationale suisse

La BNS s’engage à observer le Code global de bonne conduite pour le marché des changes et soutient la création d’un comité des changes

Données importantes de politique monétaire pour la semaine se terminant le 8 juin 2018

Prise de position sur le résultat de la votation du 10 juin 2018

Basil Guggenheim, Mario Meichle and Thomas Nellen: Confederation debt management since 1970


This paper presents new data vintages on marketable debt emissions and total outstanding debt. The data are used to analyze the Swiss Confederation’s issuing behavior and debt management. Issuing behavior became more regular and demand-oriented during the early 1990s. The Treasury actively manages roll-over risk by increasing bond maturity with increasing marketable debt to GDP levels. Furthermore, the Treasury engages in active but asymmetric, one-sided interest rate positioning. In other words, the Treasury uses only bonds to affect debt maturity and does so only when the interest rate environment is favorable to lock-in interest rates by issuing longer-term bonds.

Données importantes de politique monétaire pour la semaine se terminant le 1 juin 2018

Résultats de l'enquête sur les moyens de paiement 2017

Lucas Marc Fuhrer, Basil Guggenheim and Matthias Jüttner: What do Swiss franc Libor futures really tell us?


This paper sheds light on Swiss franc Libor futures, which are often used to measure interest rate expectations. We show that the differences between Libor futures and realized rates (excess returns) are, on average, positive over the last 25 years. Using interest rate surveys, we decompose excess returns into a (forward) term premium and forecast errors. The decomposition reveals that the bulk of excess returns arises from forecast errors, while the term premium is time varying but on average zero. We find that the term premium positively correlates with the business cycle, interest rate developments, and in absolute values increases with interest rate uncertainty. Our findings suggest that Libor futures should be adjusted by the term premium to extract risk-neutral interest rate expectations.

Données importantes de politique monétaire pour la semaine se terminant le 25 mai 2018

Données importantes de politique monétaire pour la semaine se terminant le 18 mai 2018

Barthélémy Bonadio, Andreas M. Fischer and Philip Sauré: The speed of exchange rate pass-through


On January 15, 2015, the Swiss National Bank discontinued its minimum exchange rate policy of one euro against 1.2 Swiss francs. This policy shift resulted in a sharp, unanticipated and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the pass-through of this unusually clean exchange rate shock into import unit values at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euros, the pass-through is immediate and complete. Second, for goods invoiced in Swiss francs, the pass-through is partial and exceptionally fast, beginning on the second working day after the exchange rate shock and reaching the medium-run pass-through after twelve working days on average.


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