New Techniques to Extract Market Expectations from Financial Instruments
Journal
Journal of Monetary Economics
ISSN
0304-3932
Type
journal article
Date Issued
1997-10-01
Author(s)
Abstract
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely on implied forward interest rates, so as to extract expected future time-paths. Very recently, methods have been designed to extract not only the means but the whole (risk neutral) probability distribution from a set of option prices.
Language
English
Keywords
Interest rates
exchange rates
inflation
options
forward rate curve
risk neutral distribution.
HSG Classification
not classified
Refereed
No
Publisher
North-Holland
Publisher place
Amsterdam
Volume
40
Number
2
Start page
383
End page
429
Pages
47
Subject(s)
Division(s)
Eprints ID
8747
File(s)![Thumbnail Image]()
Name
FinInfo199611.pdf
Size
754.51 KB
Format
HTML
Checksum (MD5)
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