Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR
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- Puigvert Gutiérrez, Josep Maria & Vergote, Olivier, 2011. "Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor," Working Paper Series 1391, European Central Bank.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014.
"A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities,"
- Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
- Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
- Jung, Alexander, 2016. "Have monetary data releases helped markets to predict the interest rate decisions of the European Central Bank?," Working Paper Series 1926, European Central Bank.
More about this item
KeywordsRisk-neutral probability density functions; Option-implied densities; Interest rate expectations; Central bank communication; Intraday analysis; Announcement effects; Tick data;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
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