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The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

Michael Hanke · Rolf Poulsen · Alex Weissensteiner

23 citations0/0 files storedQuantitative Finance

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Stochastic processes and financial applications

Abstract

Our model treating the rate bound in terms of a put option accurately predicts the CHF/EUR exchange rate following the removal of the lower bound of 1.20

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References

1991Target Zones and Exchange Rate Dynamics 1983Foreign currency option values 1997Monte Carlo methods for security pricing 2004Credit Risk Modeling 1993Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models 1998Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models 2006Taylor Rules and the Deutschmark-Dollar Real Exchange Rate 2004Taylor Rules and the Deutschmark-Dollar Real Exchange Rate

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