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

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