Assessing Central Bank credibility during the ERM crises : comparing option and spot market-based forecasts
Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulatedmoments estimator for option volatilities described in Mizrach (2002); the second is a new approach developed by Haas, Mittnik and Paolella (2004a) for fat-tailed conditionally heteroskedastic time series. In an application to the 1992-93 European Exchange Rate Mechanism crises, that both the options and the underlying exchange rates provide useful information for policy makers. Klassifikation: G12, G14, F31. First Version: October 2004. This Version: February 2005.
| Author: | Markus Haas, Bruce Mizrach |
|---|---|
| URN: | urn:nbn:de:hebis:30-10865 |
| Series (Serial Number) | CFS working paper series (2005, 09) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 13.06.2005 |
| Year of first Publication: | 2005 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | Exchange Rate Mechanism; Fat-tails ; GARCH ; Implied Probability Densities ; Options |
| Source: | CFS working paper ; 2005,09 |
| HeBIS PPN: | 195625935 |
| Institutes: | Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
