Hanke, Michael
[Verfasser:in]
;
Poulsen, Rolf
[Sonstige Person, Familie und Körperschaft];
Weissensteiner, Alex
[Sonstige Person, Familie und Körperschaft]
Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy?
Anmerkungen:
In: Journal of Futures Markets Vol. 35 No. 12 (2015), 1103-1116
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 30, 2014 erstellt
Beschreibung:
Since its announcement made on Sept. 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