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

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

Michael Hanke2013

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Articlegreen2013

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

Michael Hanke · Rolf Poulsen · Alex Weissensteiner

30 citations·0/0 files stored·Journal of Futures Markets

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

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References

1979The valuation of compound options 1983Foreign currency option values 1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1 1998Implied exchange rate distributions: evidence from OTC option markets 1996Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark

Cited by

2019Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes 2019Information Revelation in Decentralized Markets 2017On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective 2016Swiss franc's one-sided target zone during 2011–2015

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Details

Year2013

Typearticle

Published2013-01-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations30

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1002/fut.21704

openalex_workW3124389239

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2018Verbal interventions and exchange rate policies: The case of Swiss franc cap

2018The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

2016Financial Markets’ Views about the Euro-Swiss Franc Floor