Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?
Research output: Contribution to journal › Journal article › Research › peer-review
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Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy? / Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex.
In: Journal of Futures Markets, Vol. 35, No. 12, 2015, p. 1103–1116,.Research output: Contribution to journal › Journal article › Research › peer-review
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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
Y1 - 2015
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
VL - 35
SP - 1103–1116,
JO - Journal of Futures Markets
JF - Journal of Futures Markets
SN - 0270-7314
IS - 12
ER -
ID: 130022727