The Swiss Job: Exchange rate comovements and the volatility spillover before and after the Swiss National Bank’s unpegging decision

The Swiss Job: Exchange rate comovements and the volatility spillover before and after the Swiss National Bank’s unpegging decision | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article The Swiss Job: Exchange rate comovements and the volatility spillover before and after the Swiss National Bank’s unpegging decision Pankaj Chandorkar This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-8307192/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract We analyse the effect of Central Bank intervention in the foreign exchange market within the context of the Swiss National Bank's decision to unpeg the Swiss Franc from the Euro in January 2015. This intervention involving an exchange rate of a safe-haven currency is an interesting setting to investigate time-varying currency comovements and volatility spillovers. We find that post-unpegging, average comovements and volatility spillovers among major currencies have decreased. We study the practical implications of this analysis by estimating and examining currency hedge ratios. We find that hedge ratios, on average, have decreased since the unpegging decision. JEL classification : C32, C58, E58, F31, F41 and G15 Macroeconomics Finance International Economics foreign exchange dynamic conditional correlation central bank intervention fixed rate floating rate Full Text Additional Declarations The authors declare no competing interests. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-8307192","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":556935881,"identity":"643091e7-20fe-4f4b-bb06-caa236573f31","order_by":0,"name":"Pankaj 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This intervention involving an exchange rate of a safe-haven currency is an interesting setting to investigate time-varying currency comovements and volatility spillovers. We find that post-unpegging, average comovements and volatility spillovers among major currencies have decreased. We study the practical implications of this analysis by estimating and examining currency hedge ratios. 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