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Igor Pozdeev
Former Member
Last Name
Pozdeev
First name
Igor
Phone
+41 71 224 7092
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1 - 4 of 4
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PublicationVerbal Interventions and Exchange Rate Policies: The Case of Swiss Franc CapWe ask whether verbal interventions by the Swiss National Bank (SNB) affected market beliefs in the desired direction during the period from 2011 to 2015, when the SNB imposed a cap on the Swiss franc at 1.20 against the euro. A verbal intervention was a speech by a member of the SNB Governing Board containing the wording “utmost determination” and/or “unlimited quantities”. We show that these verbal interventions lowered forward-looking measures of uncertainty regarding the future value of euro/Swiss franc exchange rate and steered market beliefs toward franc depreciation, therefore reinforcing the credibility of the Swiss franc capType: journal articleJournal: Journal of International Money and FinanceIssue: 93
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PublicationType: working paperVolume: 2017/08Issue: 08
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PublicationToward Removal of Swiss Franc Cap: Market Expectations and Verbal InterventionsWe ask whether the markets expected the Swiss National Bank (SNB) to discontinue the 1.20 cap on the Swiss franc against the euro in January 2015. In the run-up to the SNB announcement, neither options on the euro/Swiss franc nor FX liquidity indicated a significant shift in market expectations. Furthermore, we find that the SNB's verbal interventions during the period of cap enforcement reduced the uncertainty of future euro/Swiss franc rate significantly and therefore reinforced the perceived continuation of the policy.Type: working paperVolume: 2016/14Issue: 14
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PublicationState Space Geometry of Asset Pricing: An IntroductionThis note is aimed at familiarizing the reader with state space geometry, a useful tool in teaching asset pricing concepts. Building on the analogy between expectation and dot product, I visualize basic notions using Euclidean geometry in 2D and 3D. Numerical examples are given such that the reader could easily follow the explanations.Type: working paperVolume: 2015/18Issue: 18