Peg Abandonment and Cross-Currency Contagion

• 成果类型: Article
• 署名作者: Balke, Florian; Barth, Andreas; Reichel, Arne; Wahrenburg, Mark
• 署名单位: Goethe University Frankfurt; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.01117
• 发表日期: 2024
• 页码: 5599-5606
• 关键词: fixed exchange rate regime; FX swaps; reverse speculative attacks

摘要

Using a novel data set comprising bid-ask quotes for foreign exchange swaps from individual dealers, we examine the consequences of the Swiss National Bank's sudden termination of the Swiss franc/euro minimum exchange rate in 2015 on other pegged currencies. Our findings indicate a spillover effect as dealer banks began to reassess the risk associated with unexpected peg terminations, subsequently leading to wider bid-ask spreads for pegged currencies. This highlights that, even in strong economies, the credibility of a currency peg is influenced not only by the actions of the respective central bank but also by the stability of other pegged currencies.