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Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion

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Author Info
Martin Cincibuch
Martina Hornikova

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Abstract

Market views on EMU enlargement are measured by a new indicator based on the short-term dynamics of forward spreads. Conceptually, this indicator stems from the notion of uncertainty averse agents and equilibrium indeterminacy. The method was applied on data from central European countries, including the Czech Republic, Hungary, Poland and Slovakia. Comparing our results with financial market opinion surveys, the results of the proposed method seems to be in accordance with market expectations.

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Paper provided by Czech National Bank, Research Department in its series Working Papers with number 2007/13.

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Date of creation: Dec 2007
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Handle: RePEc:cnb:wpaper:2007/13

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Related research
Keywords: Ambiguity aversion; EMU calculators; EMU Enlargement; EMU Poll; forwards; uncertainty.;

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Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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  1. Favero, Carlo A & Giavazzi, Francesco & Spaventa, Luigi, 1997. "High Yields: The Spread on German Interest Rates," Economic Journal, Royal Economic Society, vol. 107(443), pages 956-85, July. [Downloadable!] (restricted)
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  2. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
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  3. Sujoy Mukerji & Jean-Marc Tallon, 2000. "Ambiguity Aversion and the Absence of Indexed Debt," Economics Series Working Papers 028, University of Oxford, Department of Economics. [Downloadable!]
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  4. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, vol. 44(9), pages 1607-1632, October. [Downloadable!] (restricted)
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  5. Favero, Carlo A., 1999. "Financial markets' assessments of EMU : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 271-280, December. [Downloadable!] (restricted)
  6. Angeloni, I. & Violi, R., 1997. "Long-Term Interest Rate Convergence in Europe and the Probability of EMU," Papers 322, Banca Italia - Servizio di Studi.
  7. Luca Rigotti & Chris Shannon, 2005. "Uncertainty and Risk in Financial Markets," Econometrica, Econometric Society, vol. 73(1), pages 203-243, 01. [Downloadable!] (restricted)
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  8. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
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