Indicators of Short-Term Interest Rate Expectations. The Information Contained in the Options Market
AbstractThis paper has estimated, using a non-parametric method, the distribution function of expected three-month interbank rates, using data on call options on the MIBOR-90 future. The evolution over time of this distribution function has enabled the effects of movements in the Banco de España intervention rates on the distribution of agents' short-run interest rate expectations to be assessed.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9816.
Length: 50 pages
Date of creation: 1998
Date of revision:
INTEREST RATE ; INFORMATION ; EXPECTATIONS;
Find related papers by JEL classification:
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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- Ruijun Bu & Kaddour Hadri, 2005. "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Research Papers, University of Liverpool Management School 200510, University of Liverpool Management School.
- Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers, Bank of England 114, Bank of England.
- Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(2-3), pages 381-422, March.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Banco de Espaï¿½a Working Papers, Banco de Espaï¿½a 0504, Banco de Espa�a.
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