New Techniques to Extract Market Expectations from Financial Instruments

Paul Söderlind and Lars Svensson

No 5877, NBER Working Papers from National Bureau of Economic Research, Inc

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 only the means but the whole (risk neutral) probability distribution from a set of option prices.

JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 1997-01
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (218)

Published as Journal of Monetary Economics, Vol. 40, no. 2 (October 1997): 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 (1996)
Working Paper: New Techniques to Extract Market expectations from Financial Instruments (1996)
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