New techniques to extract market expectations from financial instruments
Article Abstract:
New methods of drawing information about market expectations from asset prices for monetary policy purposes have been developed to depend on implied forward interest rates and take expected future time-paths. The new methods have improved the conventional way of using interest rates and forward exchange rates in extracting expected modes of future interest rates, exchange rates and inflation. The new methods are aimed at extracting the means and the whole probability distribution from a group of option prices.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 1997
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Thrift stock returns and portfolio interest rate sensitivity
Article Abstract:
The existence of positive covariation between stock returns and bond returns in depository institutions have been negated by the results of financial data gathered between 1984 to 1992. It was also revealed that portfolio revaluations resulting from interest rate changes cannot be estimated in terms of stock returns. It was also determined that thrift stock values are significantly related with interest rates without nominal contracting.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 1997
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