Publication:
Real-financial connectedness in the Swiss economy

Thumbnail Image

Departments

School / College / Institute

Program

KU-Authors

KU Authors

Co-Authors

Uluceviz, Erhan

Publication Date

Language

Embargo Status

NO

Journal Title

Journal ISSN

Volume Title

Alternative Title

Abstract

We study macro-financial linkages and their importance within the Swiss economy from a network perspective. First, we investigate the real-financial connectedness in the Swiss economy, using the KOF economic barometer, obtained from real and financial variables, and, the real activity index (RAI), we distilled from a small set of real variables, as two alternative proxies for the real side. Whereas the KOF-barometer-based analysis shows that both sides transmit sizeable shocks to each other without one dominating the other, the RAI-based analysis shows that in the aggregate, the financial side turns out to be the net shock transmitter to the real sector. In the second part, we focus on the relative importance of financial markets as shock propagators using a network centrality measure. We find that 2008–2009 recession in Switzerland and the Swiss National Bank’s (SNB) exchange rate policy changes in 2011 and 2015 have significantly altered the way the shocks are transmitted across the two sides of the economy. During 2009–2011, stock, bond, and foreign exchange (FX) markets, in descending order, played important roles as shock propagators. Following the SNB’s 2015 policy decision to discontinue the lower bound for the EUR/CHF exchange rate, FX market has become equally important as the stock market but more important than the bond market as a shock propagator.

Source

Publisher

SpringerOpen

Subject

Monetary policy, Announcement, Macroeconomic news

Citation

Has Part

Source

Swiss Journal of Economics and Statistics

Book Series Title

Edition

DOI

10.1186/s41937-019-0049-z

item.page.datauri

Link

Rights

Copyrights Note

Endorsement

Review

Supplemented By

Referenced By

1

Views

2

Downloads

View PlumX Details