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The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

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  • M. Hanke
  • R. Poulsen
  • A. Weissensteiner

Abstract

Our model treating the rate bound in terms of a put option accurately predicts the CHF/EUR exchange rate following the removal of the lower bound of 1.20

Suggested Citation

  • M. Hanke & R. Poulsen & A. Weissensteiner, 2019. "The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(1), pages 1-11, January.
    • Handle: RePEc:taf:quantf:v:19:y:2019:i:1:p:1-11
    DOI: 10.1080/14697688.2018.1489137
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    Cited by:

    1. Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023. "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-18, December.
    2. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
    3. Pinter, Julien & Pourroy, Marc, 2023. "How can financial constraints force a central bank to exit a currency peg? An application to the Swiss franc peg," Journal of Macroeconomics, Elsevier, vol. 75(C).

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