CFS working paper series
https://gfk-cfs.de/working-papers/
Filtern
Erscheinungsjahr
- 2005 (1)
Dokumenttyp
- Arbeitspapier (1)
Sprache
- Englisch (1) (entfernen)
Volltext vorhanden
- ja (1) (entfernen)
Gehört zur Bibliographie
- nein (1)
Schlagworte
Institut
2005, 09
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. JEL Klassifikation: G12, G14, F31.