Toward Removal of Swiss Franc Cap: Market Expectations and Verbal Interventions
Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2016-07-01
Author(s)
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.
Language
English
Keywords
Swiss franc
risk-neutral Distribution
FX liquidity
verbal interventions
HSG Classification
contribution to scientific community
Publisher
SoF - HSG
Publisher place
St. Gallen
Volume
2016/14
Number
14
Pages
29
Subject(s)
Division(s)
Contact Email Address
paul.soderlind@unisg.ch
Eprints ID
248447
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16_14_Soderlind et al_Toward Removal of the Swiss Franc Cap.pdf
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Format
Adobe PDF
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