| Item Type |
Monograph
(Working Paper)
|
| Abstract |
We 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. |
| Authors |
Mirkov, Nikola; Pozdeev, Igor & Söderlind, Paul |
| Language |
English |
| Keywords |
Swiss franc, risk-neutral Distribution, FX liquidity, verbal interventions |
| Subjects |
finance |
| HSG Classification |
contribution to scientific community |
| Date |
1 July 2016 |
| Publisher |
SoF - HSG |
| Place of Publication |
St. Gallen |
| Series Name |
School of Finance Working Paper Series |
| Volume |
2016/14 |
| Number |
14 |
| Number of Pages |
29 |
| Official URL |
https://sites.google.com/site/paulsoderlindecon/ho... |
| Contact Email Address |
paul.soderlind@unisg.ch |
| Depositing User |
Igor Pozdeev
|
| Date Deposited |
01 Jun 2016 07:48 |
| Last Modified |
20 Jul 2022 17:28 |
| URI: |
https://www.alexandria.unisg.ch/publications/248447 |
Toward Removal of Swiss Franc Cap: Market Expectations and Verbal Interventions
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