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

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

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Year of publication:	2016
Authors:	Hanke, Michael
Other Persons:	Poulsen, Rolf (contributor) ; Weissensteiner, Alex (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Wechselkurspolitik \| Exchange rate policy \| Wechselkurs \| Exchange rate \| Schweiz \| Switzerland \| Euro \| Schweizer Franken \| Swiss franc \| Schätzung \| Estimation \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	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
Other identifiers:	10.2139/ssrn.2368698 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing ; F31 - Foreign Exchange ; E58 - Central Banks and Their Policies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013006912