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Indicators of Short-Term Interest Rate Expectations. The Information Contained in the Options Market

Author

Listed:
  • María C. Manzano
  • Isabel Sánchez

Abstract

This 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.

Suggested Citation

  • María C. Manzano & Isabel Sánchez, 1998. "Indicators of Short-Term Interest Rate Expectations. The Information Contained in the Options Market," Working Papers 9816, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:9816
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    Citations

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    Cited by:

    1. Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England.
    2. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Working Papers 0504, Banco de España;Working Papers Homepage.
    3. Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
    4. Ruijun Bu & Kaddour Hadri, 2005. "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Research Papers 200510, University of Liverpool Management School.

    More about this item

    Keywords

    INTEREST RATE ; INFORMATION ; EXPECTATIONS;

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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