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Indicators of Short-Term Interest Rate Expectations. The Information Contained in the Options Market

Author

Listed:
  • María C. Manzano
  • Isabel Sánchez

Abstract

This paper has estimated, using a non-parametric method, the distribution function of expected three-month interbank rates, using data on call options on the MIBOR-90 future. The evolution over time of this distribution function has enabled the effects of movements in the Banco de España intervention rates on the distribution of agents' short-run interest rate expectations to be assessed.

Suggested Citation

  • María C. Manzano & Isabel Sánchez, 1998. "Indicators of Short-Term Interest Rate Expectations. The Information Contained in the Options Market," Working Papers 9816, Banco de España.
    • Handle: RePEc:bde:wpaper:9816
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    Citations

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    Cited by:

    1. Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005. "Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    2. Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
    3. Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England.
    4. Ruijun Bu & Kaddour Hadri, 2005. "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Working Papers 200510, University of Liverpool, Department of Economics.

    More about this item

    Keywords

    INTEREST RATE ; INFORMATION ; EXPECTATIONS;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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