References contributed by pne58-1143
Adrian, T., and Shin, H. (2008). Financial intermediaries, financial stability, and monetary policy. Federal Reserve Bank of New York Staff Report No. 346. Andersson, M., and Lomakka, M. (2005). Evaluating implied RNDs by some new confidence interval estimation techniques. Journal of Banking Finance, 29, 1535–1557.
Ang, A., Bekaert, G., and Wei, M. (2007). Do macro variables, asset markets, or surveys forecast inflation better? Journal of Monetary Economics, 54, 1163–1212.
- Bahra, B. (2002). Implied risk-neutral probability density functions from option prices: A central bank perspective. In J. Knight and S. Satchell (Eds.), Forecasting volatility in the financial markets. Oxford, United Kingdom: Butterworth-Heinemann. 137–167.
Paper not yet in RePEc: Add citation now
Bean, C. (2004). Asset prices, financial instability, and monetary policy. The American Economic Review, 94, 14–18.
Beber, A., and Brandt, M. (2006). The effect of macroeconomic news on beliefs and preferences: Evidence from the options market. Journal of Monetary Economics, 53, 1997–2039.
Bernanke, B.S., and Gertler, M. (1989). Agency costs, net worth, and business fluctuations. American Economic Review, 79, 14–31.
Bernanke, B.S., and Gertler, M. (2000). Monetary policy and asset price volatility. NBER Working Paper No. 7559.
Bernanke, B.S., and Gertler, M. (2001). Should central banks respond to movements in asset prices? American Economic Review, 91, 253–257.
Bernanke, B.S., Gertler, M., and Gilchrist, S. (1996). The financial accelerator and the flight to quality. The Review of Economics and Statistics, 78, 1–15.
Bernanke, B.S., Gertler, M., and Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. In J. Taylor and M. Woodford (Eds.), Handbook of macroeconomics volume 1C. Amsterdam, Netherlands: Elsevier. 1341-1393.
Bhar, R., and Chiarella, C. (2000). Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives. European Journal of Finance, 6, 113–125.
Bliss, R., and Panigirtzoglou, N. (2002). Testing the stability of implied probability density functions. Journal of Banking Finance, 26, 381–422.
Bliss, R., and Panigirtzoglou, N. (2004). Option-implied risk aversion estimates. The Journal of Finance, 59, 407–446.
Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77, 623–685.
Breeden, D., and Litzenberger, R. (1978). Prices of state-contingent claims implicit in option prices. Journal of Business, 51, 621–651.
Campa, J., Chang, K., and Reider, R. (1998). Implied exchange rate distributions: Evidence from OTC option markets. Journal of International Money and Finance, 17, 117–160.
Campbell, J. (2008). Asset prices and monetary policy. University of Chicago Press.
Carlson, J. B., Craig, B. R., and Melick, W. R. (2005). Recovering market expectations of FOMC rate changes with options on federal funds futures. Journal of Futures Markets, 25, 1203–1242.
- Cecchetti, S., Genberg, H., Lipsky, J., and Wadhwani, S. (2000). Asset prices and central bank policy. London, United Kingdom: Centre for Economic Policy Research.
Paper not yet in RePEc: Add citation now
Clarida, R., Gali, J., and Gertler, M. (1998). Monetary policy rules in practice: Some international evidence. European Economic Review, 42, 1033–1067.
- Clews, R., Panigirtzoglou, N., and Proudman, J. (2000). Recent developments in extracting information from options markets. Bank of England Quarterly Bulletin No. 1.
Paper not yet in RePEc: Add citation now
- Cochrane, J. (2005). Asset pricing. Princeton, NJ: Princeton University Press.
Paper not yet in RePEc: Add citation now
Corrado, C., and Su, T. (1996). Skewness and kurtosis in S P 500 index returns implied by option prices. Journal of Financial Research, 19, 175–192.
Coutant, S., Jondeau, E., and Rockinger, M. (2001). Reading Pibor futures options smiles: The 1997 snap election. Journal of Banking Finance, 25, 1957–1987.
Cox, J., and Ross, S. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145–166.
de Vincent-Humphreys, R., and Noss, J. (2012). Estimating probability distributions of future asset prices: Empirical transformations from option-implied risk-neutral to real-world density functions. Bank of England working paper No. 455.
Fackler, P., and King, R. (1990). Calibration of option-based probability assessments in agricultural commodity markets. American Journal of Agricultural Economics, 72, 73–83.
Favero, C. (2006). Taylor rules and the term structure. Journal of Monetary Economics, 53, 1377–1393.
Fendel, R., Frenkel, M., and Rülke, J.-C. (2011). ‘Ex-ante’ Taylor rules: Newly discovered evidence from the G7 countries. Journal of Macroeconomics, 33, 224–232.
Fendel, R., Frenkel, M., and Rülke, J.-C. (2013). Do professional forecasters trust in Taylor-type rules? Evidence from the Wall Street Journal poll. Applied Economics, 45, 829–838.
Frenkel, M., Lis, E. M., and Rülke, J.-C. (2011). Has the economic crisis of 2007–2009 changed the expectation formation process in the euro area? Economic Modelling, 28, 1808–1814.
Galati, G., Higgins, P., Humpage, O., and Melick, W. (2007). Option prices, exchange market intervention, and the higher moment expectations channel: A user's guide. International Journal of Finance Economics, 12, 225–247.
Galati, G., Melick, W., and Micu, M. (2005). Foreign exchange market intervention and expectations: The yen/dollar exchange rate. Journal of International Money and Finance, 24, 982–1011.
Glatzer, E., and Scheicher, M. (2005). What moves the tail? The determinants of the option-implied probability density function of the DAX index. Journal of Futures Markets, 25, 515–536.
Gnabo, J., and Teïletche, J. (2009). Foreign-exchange intervention strategies and market expectations: Insights from Japan. Journal of International Financial Markets, Institutions and Money, 19, 432–446.
Goodfriend, M. (1987). Interest rate smoothing and price level trend-stationarity. Journal of Monetary Economics, 19, 335–348.
Hördahl, P., and Vestin, D. (2005). Interpreting implied risk-neutral densities: The role of risk premia. Review of Finance, 9, 97–137.
Hansen, L.P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029–1054.
Harrison, M., and Kreps, D. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20, 381–408.
Jackwerth, J. (1999). Option implied risk-neutral distributions and implied binomial trees: A literature review. Journal of Derivatives, 7, 66–82.
Jovanovic, M., and Zimmermann, T. (2010). Stock market uncertainty and monetary policy reaction functions of the Federal Reserve Bank. The B.E. Journal of Macroeconomics, 10, article 21.
Kostakis, A., Panigirtzoglou, N., and Skiadopoulos, G. (2011). Market timing with option-implied distributions: A forward-looking approach. Management Science, 57, 1231–1249.
Lettau, M., and Ludvigson, S. (2004). Understanding trend and cycle in asset values: Reevaluating the wealth effect on consumption. American Economic Review, 94, 276–299.
Longstaff, F. (2000). The term structure of very short-term rates: New evidence for the expectations hypothesis. Journal of Financial Economics, 58, 397–415.
MacKinnon, J. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11, 601–618.
- Malz, A. (1997). Estimating the probability distribution of the future exchange rate from option prices. Journal of Derivatives, 5, 18–36.
Paper not yet in RePEc: Add citation now
Martin, C., and Milas, C. (2013). Financial crises and monetary policy: Evidence from the UK. Journal of Financial Stability (forthcoming).
Melick, W., and Thomas, C. (1997). Recovering an asset's implied pdf from option prices: An application to crude oil during the gulf crisis. Journal of Financial and Quantitative Analysis, 32, 91–115.
Mishkin, F.S. (2009). Is monetary policy effective during financial crises? NBER Working Paper No. 14678.
Mishkin, F.S., and White, E. (2002). US stock market crashes and their aftermath: Implications for monetary policy. NBER Working Paper No. 8992.
Morel, C., and Teïletche, J. (2008). Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004. Journal of Empirical Finance, 15, 211–231.
Nelson, E. (2003). UK monetary policy 1972–97: A guide using Taylor rules. In P. Mizen (Ed.), Central banking, monetary theory and practice: Essays in honour of Charles Goodhart volume one. Cheltenham, United Kingdom: Edward Elgar Publishing.
Newey, W., and West, K. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703–708.
- Nikkinen, J., and Vähämaa, S. (2010). Terrorism and stock market sentiment. Financial Review, 45, 263–275.
Paper not yet in RePEc: Add citation now
Orphanides, A. (2001). Monetary policy rules based on real-time data. American Economic Review, 91, 964–985.
Orphanides, A. (2003). Historical monetary policy analysis and the Taylor rule. Journal of Monetary Economics, 50, 983–1022.
Panigirtzoglou, N., and Skiadopoulos, G. (2004). A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S P 500 options. Journal of Banking Finance, 28, 1499–1520.
Rigobon, R., and Sack, B. (2003). Measuring the reaction of monetary policy to the stock market. The Quarterly Journal of Economics, 118, 639–669.
- Roger, S., and Sterne, G. (1999). The financial accelerator in a quantitative business cycle framework. In L. Mahadeva and S. Gabriel (Eds.), The devil in the detail of monetary policy frameworks: Issues and measures of monetary framework characteristics. London, United Kingdom: Routledge.
Paper not yet in RePEc: Add citation now
Rosenberg, J.V., and Engle, R. F. (2002). Empirical pricing kernels. Journal of Financial Economics, 64, 341–372.
Ross, S. (2011). The recovery theorem. NBER Working Paper Series No. 17323.
Rudebusch, G.D., and Svensson, L.E.O. (1999). Policy rules for inflation targeting. In J. B. Taylor (Ed.), Monetary policy rules. University of Chicago Press. 203-262.
- Söderlind, P. (2000). Market expectations in the UK before and after the ERM crisis. Economica, 67, 1–18.
Paper not yet in RePEc: Add citation now
Söderlind, P., and Svensson, L. (1997). New techniques to extract market expectations from financial instruments. Journal of Monetary Economics, 40, 383–429.
Sherrick, B. J., Garcia, P., and Tirupattur, V. (1996). Recovering probabilistic information from option markets: Tests of distributional assumptions. Journal of Futures Markets, 16, 545–560.
Shiller, R. (1981) Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421–436.
- Shimko, D. (1993). Bounds of probability. Risk, 6, 33–37.
Paper not yet in RePEc: Add citation now
Shleifer, A., and Summers, L.H. (1990) The noise trader approach to finance. Journal of Economic Perspectives, 4, 19–33.
Taylor, J.B. (1993). Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy, 39, 195–214.
- Taylor, S. (2005). Asset price dynamics, volatility, and prediction. Princeton, NJ: Princeton University Press.
Paper not yet in RePEc: Add citation now
Vähämaa, S. (2005). Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB. Journal of Economics and Business, 57, 23–38.
Vähämaa, S., Watzka, S., and Aijö, J. (2005). What moves option-implied bond market expectations? Journal of Futures Markets, 25, 817–843.
Vergote, O., and Puigvert-Gutiérrez, J. (2012). Interest rate expectations and uncertainty during ECB governing council days: Evidence from intraday implied densities of 3-month Euribor. Journal of Banking Finance, 36, 2804–2823.
Vincent-Humphreys, R., and Puigvert-Gutiérrez, J. (2010). A quantitative mirror on the Euribor market using implied probability density functions. European Central Bank Working Paper Series No. 1281.
Woodford, M. (2001). The Taylor rule and optimal monetary policy. American Economic Review, 91, 232–237.
- Woodford, M. (2003). Interest and prices: Foundations of a theory of monetary policy. Princeton, NJ: Princeton University Press.
Paper not yet in RePEc: Add citation now