New Techniques to Extract Market expectations from Financial Instruments

Paul Söderlind and Lars Svensson

No 142, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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 interewst 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.

Keywords: Interest rates; exchange rates; inflation; options; forward rate curve; risk neutral distribution (search for similar items in EconPapers)
JEL-codes: E43 E52 G13 (search for similar items in EconPapers)
Pages: 47 pages
Date: 1996-12
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Citations: View citations in EconPapers (6)

Published in Journal of Monetary Economics, 1997, pages 383-429.

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Related works:
Journal Article: New techniques to extract market expectations from financial instruments (1997)
Working Paper: New Techniques to Extract Market Expectations from Financial Instruments (1997)
Working Paper: New Techniques to Extract Market Expectations from Financial Instruments (1997)
Working Paper: New Techniques to Extract Market Expectations from Financial Instruments (1997)
Working Paper: New Techniques to Extract Market Expectations from Financial Instruments (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0142

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