Toward Removal of Swiss Franc Cap: Market Expectations and Verbal Interventions

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
Institute/School ?? STUDENT ??
?? Inst SBF PS ??
s/bf - Swiss Institute of Banking and 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 07 Mar 2017 10:21
URI: https://www.alexandria.unisg.ch/publications/248447

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Citation

Mirkov, Nikola; Pozdeev, Igor & Söderlind, Paul: Toward Removal of Swiss Franc Cap: Market Expectations and Verbal Interventions. School of Finance Working Paper Series, 2016, 14.

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https://www.alexandria.unisg.ch/id/eprint/248447
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