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New Techniques to Extract Market Expectations from Financial Instruments

  • Soderlind, P
  • Svensson, L-E-O

Central banks have several reasons for extracting information from asset prices. Asset prices may embody more accurate and more up-to-date macroeconomic data than what is currently published or directly available to policy makers. Aberrations in some asset prices may indicate imperfections or manipulations relevant for banking and financial market surveillance. Especially, asset prices will reflect market participants' expectations about the future, which is the focus of this paper.

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Paper provided by Stockholm - International Economic Studies in its series Papers with number 621.

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Length: 47 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:stocin:621
Contact details of provider: Postal: UNIVERSITY OF STOCKHOLM, INSTITUTE FOR INTERNATIONAL ECONOMIC STUDIES, S- 106 91 STOCKHOLM SWEDEN.
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