New Techniques to Extract Market Expectations from Financial Instruments

[1]  P. Söderlind.  Monetary Policy and the Fisher Effect , 1999 .

[2]  Glenn D. Rudebusch.  Do Measures of Monetary Policy in a VAR Make Sense , 1998 .

[3]  Martin D. D. Evans.  Peso Problems: Their Theoretical and Empirical Implications , 1998 .

[4]  P. H. Kevin Chang,et al.  Arbitrage-Based Tests of Target-Zone Credibility: Evidence from ERM Cross-Rate Options , 1998 .

[5]  M. Woodford,et al.  Inflation Forecasts and Monetary Policy , 1997 .

[6]  Central bank policy reaction and the expectations hypothesis of the term structure , 1997 .

[7]  William R. Melick,et al.  Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis , 1997, Journal of Financial and Quantitative Analysis.

[8]  Paul Söderlind,et al.  Nominal Interest Rates as Indicators of Inflation Expectations , 1997 .

[9]  F. Fabozzi.  Fixed income mathematics : analytical & statistical techniques , 1997 .

[10]  Richard Roll,et al.  U.S. Treasury Inflation-Indexed Bonds , 1996 .

[11]  Allan M. Malz.  Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark , 1996 .

[12]  Lars E. O. Svensson.  Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets , 1996 .

[13]  Bruce Mizrach,et al.  Did Option Prices Predict the ERM Crises , 1996 .

[14]  Charles P. Thomas,et al.  The sovereignty option: the Quebec referendum and market views on the Canadian dollar , 1996 .

[15]  Mark Deacon,et al.  Estimating and Interpreting the Yield Curve , 1996 .

[16]  David S. Bates.  Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options , 1996 .

[17]  William R. Melick,et al.  Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis , 1996 .

[18]  Geert Bekaert,et al.  On Biases in Tests of the Expecations Hypothesis of the Term Structure of Interest Rates , 1996 .

[19]  R. Shiller,et al.  A Scorecard for Indexed Government Debt , 1996, NBER Macroeconomics Annual.

[20]  Lars E. O. Svensson.  In‡ation Forecast Targeting: Implementing and Monitoring In‡ation Targets , 1996 .

[21]  2 A Theoretical Framework for In ° ation Expectations and Forward Rates , 1995 .

[22]  Kevin D. Salyer.  Habit Persistence and the Nominal Term Premium Puzzle: A Partial Resolution , 1995 .

[23]  C. Engel,et al.  The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence , 1995 .

[24]  Allan M. Malz.  Using Option Prices to Estimate Realignment Probabilities in the European Monetary System , 1995 .

[25]  F. Smets,et al.  The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis , 1995 .

[26]  A. Rose,et al.  Expected and Predicted Realignments: The FF/DM Exchange Rate during the EMS, 1979-93 , 1995 .

[27]  Glenn D. Rudebusch.  Federal Reserve interest rate targeting, rational expectations, and the term structure , 1995 .

[28]  An Empirical Measure of the Real Rate of Interest , 1995 .

[29]  K. Lewis,et al.  Puzzles in International Financial Markets , 1994 .

[30]  Robert P. Flood,et al.  Fixes: Of the Forward Discount Puzzle , 1994 .

[31]  Stanley E. Zin,et al.  Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing , 1994 .

[32]  Lars E. O. Svensson.  Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994 , 1994, SSRN Electronic Journal.

[33]  R. MacDonald,et al.  On the expectations view of the term structure, term premia and survey-based expectations , 1994 .

[34]  G. Hardouvelis,et al.  The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? , 1994 .

[35]  J. Wei,et al.  Upper bounds for american futures options: A note , 1994 .

[36]  Lars E. O. Svensson.  Monetary Policy with Flexible Exchange Rates and Forward Interest Rates as Indicators , 1994 .

[37]  L. Chan.  Consumption, Inflation Risk, and Real Interest Rates: An Empirical Analysis , 1994 .

[38]  M. Woodford.  Nonstandard Indicators for Monetary Policy: Can Their Usefulness Be Judged from Forecasting Regressions? , 1994 .

[39]  Robert J. Shiller,et al.  Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks , 1995 .

[40]  J. MacKinnon,et al.  Estimation and inference in econometrics , 1994 .

[41]  Allan W. Gregory,et al.  Accounting for Forward Rates in Markets for Foreign Currency , 1993 .

[42]  F. Canova,et al.  Profits, risk, and uncertainty in foreign exchange markets , 1993 .

[43]  Lars E. O. Svensson.  Term, Inflation and Foreign Exchange Risk Premia: A Unified Treatment , 1993 .

[44]  R. Hall,et al.  Nominal Income Targeting , 1993 .

[45]  Yingmei Cheng,et al.  Exchange rate risk premiums , 1993 .

[46]  Giuseppe Bertola,et al.  A Model of Target Changes and the Term Structure of Interest Rates , 1993 .

[47]  Louis O. Scott,et al.  Pricing interest rate futures options with futures‐style margining , 1993 .

[48]  Marvin Goodfriend,et al.  Interest Rate Policy and the Inflation Scare Problem: 1979-1992 , 1993 .

[49]  B. Mccallum,et al.  A Reconsideration of the Uncovered Interest Parity Relationship , 1992 .

[50]  D. Duffie.  Dynamic Asset Pricing Theory , 1992 .

[51]  M. Chinn,et al.  Exchange Rate Expectations and the Risk Premium: Tests for a Cross- Section of 17 Currencies , 1991 .

[52]  David S. Bates.  The Crash of ʼ87: Was It Expected? The Evidence from Options Markets , 1991 .

[53]  Lars E. O. Svensson.  Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the Erm 1979-1992 , 1991 .

[54]  A. Rose,et al.  Expected and Predicted Realignments: The Ff/Dm Exchange Rate During the EMS , 1991 .

[55]  Frederic S. Mishkin.  A multi-country study of the information in the shorter maturity term structure about future inflation , 1991 .

[56]  Frederic S. Mishkin.  Is the Fisher Effect for Real? A Reexamination of the Relationship between Inflation and Interest Rates , 1991 .

[57]  Philippe Jorion,et al.  A Multi-Country Comparison of Term Structure Forecasts at Long Horizons , 1991 .

[58]  George G. Pennacchi.  Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data , 1991 .

[59]  R. J. Ritchey,et al.  CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES , 1990 .

[60]  Lars E. O. Svensson.  The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk , 1990 .

[61]  Lars E. O. Svensson.  The Simplest Test of Target Zone Credibility , 1990, SSRN Electronic Journal.

[62]  Kenneth A. Froot,et al.  Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market , 1990, SSRN Electronic Journal.

[63]  Kenneth A. Froot.  Short Rates and Expected Asset Returns , 1990 .

[64]  E. Fama.  Term-structure forecasts of interest rates, inflation and real returns , 1990 .

[65]  Stanley E. Zin,et al.  Risk Premiums in the Term Structure: Evidence from Artificial Economies , 1989 .

[66]  P. Kehoe,et al.  On the denomination of government debt: a critique of the portfolio balance approach , 1989 .

[67]  Jeffrey A. Frankel,et al.  Forward Discount Bias: Is it an Exchange Risk Premium? , 1988 .

[68]  R. Hodrick,et al.  The empirical evidence on the efficiency of forward and futures foreign exchange markets . The political economy of protection . The welfare economics of international trade , 1987 .

[69]  R. Shiller,et al.  The Term Structure of Interest Rates , 1987 .

[70]  Kenneth A. Froot.  New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates , 1987 .

[71]  A. Siegel,et al.  Parsimonious modeling of yield curves , 1987 .

[72]  E. Fama,et al.  The Information in Long-Maturity Forward Rates , 1987 .

[73]  N. Mankiw,et al.  The Term Structure of Interest Rates Revisited , 1986 .

[74]  Lemma W. Senbet,et al.  International financial markets , 1986 .

[75]  E. Fama,et al.  The information in the term structure , 1984 .

[76]  S. Ross,et al.  The relation between forward prices and futures prices , 1981 .

[77]  David M. Kreps,et al.  Martingales and arbitrage in multiperiod securities markets , 1979 .

[78]  M. David.  HARRISON, J. Michael, and KREPS, . Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, , . , 1979 .

[79]  Douglas T. Breeden,et al.  Prices of State-Contingent Claims Implicit in Option Prices , 1978 .

[80]  Oldrich A. Vasicek,et al.  Abstract: An Equilibrium Characterization of the Term Structure , 1977, Journal of Financial and Quantitative Analysis.

[81]  Oldrich A. Vasicek.  An equilibrium characterization of the term structure , 1977 .

[82]  F. Black.  The pricing of commodity contracts , 1976 .

[83]  S. Ross,et al.  The valuation of options for alternative stochastic processes , 1976 .

[84]  Mark Rubinstein,et al.  The Valuation of Uncertain Income Streams and the Pricing of Options , 1976 .

[85]  J. McCulloch,et al.  An Estimate of the Liquidity Premium , 1975, Journal of Political Economy.

[86]  J. McCulloch,et al.  Measuring the Term Structure of Interest Rates , 1971 .