New Techniques to Extract Market Expectations from Financial Instruments

Paul Söderlind and Lars Svensson

No 1556, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 also the whole (risk neutral) probability distribution from a set of option prices.

Keywords: Exchange Rates; Forward Rate Curve; Inflation; Interest Rates; Options; Risk Neutral Distribution (search for similar items in EconPapers)
JEL-codes: E43 E52 G13 (search for similar items in EconPapers)
Date: 1997-01
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Citations: View citations in EconPapers (220)

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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 (1996)
Working Paper: New Techniques to Extract Market expectations from Financial Instruments (1996)
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