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New Techniques to Extract Market Expectations from Financial Instruments

Listed author(s):
  • Paul Soderlind
  • Lars E. O. Svensson

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely on implied forward interest rates, so as to extract expected future time-paths. Very recently only the means but the whole (risk neutral) probability distribution from a set of option prices.

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File URL: http://www.nber.org/papers/w5877.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5877.

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Date of creation: Jan 1997
Publication status: published as Journal of Monetary Economics, Vol. 40, no. 2 (October 1997): 383-429.
Handle: RePEc:nbr:nberwo:5877
Note: AP IFM
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