Peg Abandonment and Cross-Currency Contagion
利用外汇掉期交易商报价数据，研究瑞士央行2015年突然放弃瑞郎/欧元最低汇率对其他盯住货币的影响，发现交易商重新评估盯住汇率突然终止的风险，导致盯住货币的买卖价差扩大。
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. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.01117 .