Where Would the EUR/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy?

Michael Hanke, Rolf Poulsen, Alex Weissensteiner

    Research output: Contribution to journalJournal articleResearchpeer-review

    Abstract

    Since its announcement made on September 6, 2011, the Swiss National Bank (SNB) has been pursuing the goal of a minimum EUR/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate from falling below this level.We use a compound option pricing approach to estimate the latent exchange rate that would prevail in the absence of the SNB’s interventions, together with the market’s confidence in the SNB’s commitment to this policy. © 2014 Wiley Periodicals, Inc.
    Original languageEnglish
    JournalThe Journal of Futures Markets
    Volume35
    Issue number12
    Pages (from-to)1103-1116
    Number of pages14
    ISSN0270-7314
    DOIs
    Publication statusPublished - 2015

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