INFERRING MARKET EXPECTATIONS USING CURRENCY OPTION PRICE AND VOLUME DATA

Zhaohui Chen and Charles A. E. Goodhart
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Zhaohui Chen: International Monetary Fund and Centre for Economic Policy Research, UK
Charles A. E. Goodhart: London School of Economics, USA

Chapter 10 in Currency Options and Exchange Rate Economics, 1998, pp 183-196 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionAn Alternative Way to Infer Market ExpectationsWhat is wrong with UIP?Information from the currency option marketSome Empirical EvidenceWas the fall of the pound anticipated?The information contents of option trading dataConcluding RemarksReferences

Date: 1998
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