IDEAS home Printed from https://ideas.repec.org/r/red/sed012/174.html
   My bibliography  Save this item

The Economics of Options-Implied Inflation Probability Density Functions

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. 5-Year Deflation Probability Moves Off Zero
    by macroblog in Macroblog on 2015-09-04 21:34:05

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
  2. Reis, Ricardo, 2016. "Funding quantitative easing to target inflation," LSE Research Online Documents on Economics 67883, London School of Economics and Political Science, LSE Library.
  3. Thomas M. Mertens & John C. Williams, 2021. "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," American Economic Review, American Economic Association, vol. 111(8), pages 2473-2505, August.
  4. Jonas Dovern & Hans Manner, 2020. "Order‐invariant tests for proper calibration of multivariate density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
  5. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
  6. Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
  7. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
  8. Robert A. Jarrow & Simon S. Kwok, 2021. "Inferring financial bubbles from option data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1013-1046, November.
  9. Francesco Bianchi & Leonardo Melosi, 2017. "Escaping the Great Recession," American Economic Review, American Economic Association, vol. 107(4), pages 1030-1058, April.
  10. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
  11. Lu, Junwen & Qu, Zhongjun, 2021. "Sieve estimation of option-implied state price density," Journal of Econometrics, Elsevier, vol. 224(1), pages 88-112.
  12. Jens Hilscher & Alon Raviv & Ricardo Reis, 2022. "Inflating Away the Public Debt? An Empirical Assessment," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1553-1595.
  13. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
  14. Kejin Wu & Sayar Karmakar, 2023. "A model-free approach to do long-term volatility forecasting and its variants," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
  15. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
  16. Ulrich K. Müller & Mark W. Watson, 2016. "Measuring Uncertainty about Long-Run Predictions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1711-1740.
  17. Galati, Gabriele & Gorgi, Zion & Moessner, Richhild & Zhou, Chen, 2018. "Deflation risk in the euro area and central bank credibility," Economics Letters, Elsevier, vol. 167(C), pages 124-126.
  18. Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J., 2017. "Generating options-implied probability densities to understand oil market events," Energy Economics, Elsevier, vol. 64(C), pages 440-457.
  19. Chipeniuk, Karsten O. & Walker, Todd B., 2021. "Forward inflation expectations: Evidence from inflation caps and floors," Journal of Macroeconomics, Elsevier, vol. 70(C).
  20. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
  21. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
  22. Ryan Niladri Banerjee & Juan Contreras & Aaron Mehrotra & Fabrizio Zampolli, 2020. "Inflation at risk in advanced and emerging economies," BIS Working Papers 883, Bank for International Settlements.
  23. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
  24. Smith, Tom, 2012. "Option-implied probability distributions for future inflation," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 224-234.
  25. M. Chudý & S. Karmakar & W. B. Wu, 2020. "Long-term prediction intervals of economic time series," Empirical Economics, Springer, vol. 58(1), pages 191-222, January.
  26. Sirio Aramonte, 2022. "Inflation risk and the labor market: beneath the surface of a flat Phillips curve," BIS Working Papers 1054, Bank for International Settlements.
  27. Matthew Raskin, 2013. "The effects of the Federal Reserve's date-based forward guidance," Finance and Economics Discussion Series 2013-37, Board of Governors of the Federal Reserve System (U.S.).
  28. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
  29. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
  30. Scharnagl, Michael & Stapf, Jelena, 2014. "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers 24/2014, Deutsche Bundesbank.
  31. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
  32. Jean-François Bégin, 2016. "Deflation Risk and Implications for Life Insurers," Risks, MDPI, vol. 4(4), pages 1-36, December.
  33. Gimeno, Ricardo & Ibáñez, Alfredo, 2018. "The eurozone (expected) inflation: An option's eyes view," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 70-92.
  34. Yoshibumi Makabe & Yoshihiko Norimasa, 2022. "The Term Structure of Inflation at Risk: A Panel Quantile Regression Approach," Bank of Japan Working Paper Series 22-E-4, Bank of Japan.
  35. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
  36. Sayar Karmakar & Marek Chudý & Wei Biao Wu, 2022. "Long‐term prediction intervals with many covariates," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 587-609, July.
  37. Roc Armenter, 2015. "On the use of market-based probabilities for policy decisions," Working Papers 15-44, Federal Reserve Bank of Philadelphia.
  38. Kejin Wu & Sayar Karmakar, 2021. "Model-Free Time-Aggregated Predictions for Econometric Datasets," Forecasting, MDPI, vol. 3(4), pages 1-14, December.
  39. Sayar Karmakar & Marek Chudy & Wei Biao Wu, 2020. "Long-term prediction intervals with many covariates," Papers 2012.08223, arXiv.org, revised Sep 2021.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.