New techniques to extract market expectations from financial instruments

• 成果类型: Article; Proceedings Paper
• 署名作者: Soderlind, P; Svensson, L
• 署名单位: Stockholm University; Stockholm School of Economics
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00047-0
• 发表日期: 1997
• 页码: 383-429
• 关键词: options; forward rate curve; risk neutral distribution

摘要

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