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

Michael Hanke, Rolf Poulsen and Alex Weissensteiner

Journal of Futures Markets, 2015, vol. 35, issue 12, 1103-1116

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. Jrl Fut Mark 35:1103–1116, 2015

Date: 2015
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Handle: RePEc:wly:jfutmk:v:35:y:2015:i:12:p:1103-1116