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

Journal of Futures Markets Vol. 35 No. 12 (2015), 1103-1116.

20 Pages Posted: 17 Dec 2013 Last revised: 3 Dec 2016

See all articles by Michael Hanke

Michael Hanke

University of Liechtenstein

Rolf Poulsen

University of Copenhagen - Department of Statistics and Operations Research

Alex Weissensteiner

Free University of Bolzano Bozen

Date Written: October 30, 2014

Abstract

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.

Keywords: exchange rate options, latent exchange rate

JEL Classification: G13, F31, E58

Suggested Citation

Hanke, Michael and Poulsen, Rolf and Weissensteiner, Alex, Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy? (October 30, 2014). Journal of Futures Markets Vol. 35 No. 12 (2015), 1103-1116. . Available at SSRN: https://ssrn.com/abstract=2368698 or http://dx.doi.org/10.2139/ssrn.2368698

Michael Hanke (Contact Author)

University of Liechtenstein ( email )

Fuerst Franz Josef-Strasse
Vaduz, FL-9490
Liechtenstein

Rolf Poulsen

University of Copenhagen - Department of Statistics and Operations Research ( email )

Universitetsparken 5
DK-2100
Denmark
+45 (353) 20685 (Phone)

Alex Weissensteiner

Free University of Bolzano Bozen ( email )

Universitätsplatz 1
Bolzano, 39100
+39 0471 013496 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
569
Abstract Views
2,826
rank
46,373
PlumX Metrics