Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?

TY - JOUR

T1 - Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?

AU - Hanke, Michael

AU - Poulsen, Rolf

AU - Weissensteiner, Alex

PY - 2015/12

Y1 - 2015/12

N2 - 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.

AB - 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.

U2 - 10.1002/fut.21704

DO - 10.1002/fut.21704

M3 - Journal article

SN - 0270-7314

VL - 35

SP - 1103–1116,

JO - Journal of Futures Markets

JF - Journal of Futures Markets

IS - 12

ER -