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New Techniques to Extract Market Expectations from Financial Instruments

Author

Listed:
  • Soderlind, P
  • Svensson, L-E-O
Abstract
Central banks have several reasons for extracting information from asset prices. Asset prices may embody more accurate and more up-to-date macroeconomic data than what is currently published or directly available to policy makers. Aberrations in some asset prices may indicate imperfections or manipulations relevant for banking and financial market surveillance. Especially, asset prices will reflect market participants' expectations about the future, which is the focus of this paper.

Suggested Citation

  • Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers 621, Stockholm - International Economic Studies.
    • Handle: RePEc:fth:stocin:621
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    Keywords

    CENTRAL BANKS ; PRICING;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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