| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21977 |
| 来源ID | Working Paper 21977 |
| Financial Markets\u2019 Views about the Euro-Swiss Franc Floor | |
| Urban J. Jermann | |
| 发表日期 | 2016-02-08 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 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 three month horizon was typically less than 75%. Over time, the credibility increased and this probability reached 95% in August 2014. The analysis also implies that during the second quarter of 2012, when reserve accumulation was high, the exchange rate without the policy would have been as low as about 1 Swiss franc per euro. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21977 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579650 |
| 推荐引用方式 GB/T 7714 | Urban J. Jermann. Financial Markets\u2019 Views about the Euro-Swiss Franc Floor. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w21977.pdf（276KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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