An often heard view is that exchange rate variability will decrease for a country that joins the EMU. This is not necessarily true. Both real and nominal exchange rate variability increase under certain circumstances when asymmetric demand shocks occur inside or outside the union. These results...

Starting from the stylized fact that the Swiss franc is a safe haven currency, this paper focuses on the determinants of the Swiss franc during the lower bound regime from September 2011 to January 2015. We describe the Swiss franc as a function of global market risk fundamentals and find that...

To counter the sharp appreciation of the Swiss franc that set in in the wake of the European sovereign debt crisis, on September 6, 2011, the Swiss National Bank announced to enforce a minimum EUR/CHF exchange rate of CHF 1.20. We find that the simple, though elegant model for the exchange rate...

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...