Skip to content

Advertisement

  • Open Access

Reaction of Swiss term premia to monetary policy surprises

Swiss Journal of Economics and Statistics2010146:BF03399316

https://doi.org/10.1007/BF03399316

Published: 11 January 2010

Summary

An affine yield curve model is estimated on daily Swiss data 2002–2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises — as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (−0.25%) in term premia for longer maturities.

Keywords

affine price of riskinterest rate capssurvey data

Notes

Advertisement