Indicators of Short-Term Interest Rate Expectations. The Information Contained in the Options Market

María C. Manzano and Isabel Sánchez

Working Papers from Banco de España

Abstract: This paper has estimated, using a non-parametric method, the distribution function of expected three-month interbank rates, using data on call options on the MIBOR-90 future. The evolution over time of this distribution function has enabled the effects of movements in the Banco de España intervention rates on the distribution of agents' short-run interest rate expectations to be assessed.

Keywords: INTEREST RATE; INFORMATION; EXPECTATIONS (search for similar items in EconPapers)
JEL-codes: D83 E43 (search for similar items in EconPapers)
Pages: 50 pages
Date: 1998
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9816

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