Financial Markets' Views about the Euro-Swiss Franc Floor

被引：16

作者：

Jermann, Urban J. ^{[1
,2
]}

机构：

[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA

[2] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2017年 / 49卷 / 2-3期

关键词：

F3; G12; currency options; exchange rate target; euro; Swiss franc; TARGET ZONES; RISK;

D O I：

10.1111/jmcb.12389

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Exchange rates and option prices incorporate market participants' views about the credibility and the effects of exchange rate targets. I present a model to determine exchange rates under policy targets that can be used to price options. The model is estimated with Euro-Swiss Franc exchange rate and options price data. In the first few months of the minimum exchange rate policy, the implied survival probability of the policy for a 3-month horizon was typically less than 75%. Over time, the credibility increased and this probability reached 95% in August 2014.

引用

页码：553 / 565

页数：13

共 50 条

[21] Informational linkages among the major currencies in the EBS market: Evidence from the spot rates of the Euro, Yen and Swiss franc
Kitamura, Yoshihiro
JAPAN AND THE WORLD ECONOMY, 2012, 24 (01) : 17 - 26
[22] Central bank policies and financial markets: Lessons from the euro crisis
Mody, Ashoka
Nedeljkovic, Milan
JOURNAL OF BANKING & FINANCE, 2024, 158
[23] Degree In Financial Integration Of Stock Markets - PSEM Countries With Euro Zone
Kouki, Saoussen
INNOVATION AND SUSTAINABLE COMPETITIVE ADVANTAGE: FROM REGIONAL DEVELOPMENT TO WORLD ECONOMIES, VOLS 1-5, 2012, : 126 - 132
[24] Financial Markets Matter More than Fiscal Institutions for the Success of the Euro
Jones, Erik
INTERNATIONAL SPECTATOR, 2016, 51 (04): : 29 - 39
[25] Measuring spillover effects in Euro area financial markets: a disaggregate approach
Dimitrios P. Louzis
Empirical Economics, 2015, 49 : 1367 - 1400
[26] Asset Purchase Programs and Financial Markets: Lessons from the Euro Area
Altavilla, Carlo
Carboni, Giacomo
Motto, Roberto
INTERNATIONAL JOURNAL OF CENTRAL BANKING, 2021, 17 (04): : 1 - 48
[27] Extreme Risks in Financial Markets and Monetary Policies of the Euro-Candidates
Gabrisch, Hubert
Orlowski, Lucjan T.
COMPARATIVE ECONOMIC STUDIES, 2011, 53 (04) : 511 - 534
[28] Extreme Risks in Financial Markets and Monetary Policies of the Euro-Candidates
Hubert Gabrisch
Lucjan T Orlowski
Comparative Economic Studies, 2011, 53 (4) : 511 - 534
[29] Measuring spillover effects in Euro area financial markets: a disaggregate approach
Louzis, Dimitrios P.
EMPIRICAL ECONOMICS, 2015, 49 (04) : 1367 - 1400
[30] Does It Pay to Have the Euro? Italy's Troubled Politics and Financial Markets under the Lira and the Euro
Fratzscher, Marcel
Stracca, Livio
INTERNATIONAL FINANCE, 2009, 12 (01) : 1 - 31

← 1 2 3 4 5 →