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Negative Swiss Interest Rates and Their Shadow Costs
Feb 13, 2015
Switzerland and across many markets in the eurozone, both at the short end and further out the yield curve. In fact, as of February 3, 2015, the Swiss term structure was negative out to 10 years.
In this Research Bulletin, we delve into the dynamics behind this phenomenon, looking across interest rates, FX, and credit markets. We highlight yield, spread and volatility shifts from the MSCI Swiss Fixed Income model in the wake of the Swiss National Bank (SNB) decision to break the Swiss franc peg to the euro. Finally, we conclude with a discussion of the shadow costs imposed by negative rates on money managers.
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