Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices PDF full book. Access full book title Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices by Noureddine Krichene. Download full books in PDF and EPUB format.
Author: Noureddine Krichene
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 30
Get Book Here
Book Description
Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and interpolated option prices. To address robustness, two distributions, one from actual data and the other from interpolated data, were computed. The main conclusion of the paper is that traders have wide-ranging expectations, and large movements in either direction would not occur as a surprise. The main implication for monetary policy is that should markets become too volatile, then intervention may be required.
Author: Noureddine Krichene
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 30
Get Book Here
Book Description
Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and interpolated option prices. To address robustness, two distributions, one from actual data and the other from interpolated data, were computed. The main conclusion of the paper is that traders have wide-ranging expectations, and large movements in either direction would not occur as a surprise. The main implication for monetary policy is that should markets become too volatile, then intervention may be required.
Author: Noureddine Krichene
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Get Book Here
Book Description
Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns` volatilities are inferred from observed and interpolated option prices. To address robustness, two distributions, one from actual data and the other from interpolated data, were computed. The main conclusion of the paper is that traders have wide-ranging expectations, and large movements in either direction would not occur as a surprise. The main implication for monetary policy is that should markets become too volatile, then intervention may be required.
Author: International Monetary Fund. African Dept.
Publisher: International Monetary Fund
ISBN: 1451950292
Category : Business & Economics
Languages : en
Pages : 97
Get Book Here
Book Description
The five Regional Economic Outlooks published biannually by the IMF cover Asia and Pacific, Europe, the Middle East and Central Asia, Sub-Saharan Africa, and the Western Hemisphere. In each volume, recent economic developments and prospects for the region are discussed as a whole, as well as for specific countries. The reports include key data for countries in the region. Each report focuses on policy developments that have affected economic performance in the region, and discusses key challenges faced by policymakers. The near-term outlook, key risks, and their related policy challenges are analyzed throughout the reports, and current issues are explored, such as when and how to withdraw public interventions in financial systems globally while maintaining a still-fragile economic recovery.These indispensable surveys are the product of comprehensive intradepartmental reviews of economic developments that draw primarily on information the IMF staff gathers through consultation with member countries.
Author: International Monetary Fund. African Dept.
Publisher: International Monetary Fund
ISBN: 9781589065925
Category : Business & Economics
Languages : en
Pages : 78
Get Book Here
Book Description
Provides a broad synopsis of recent economic developments in the Middle East and Central Asia region, highlighting common trends and policies among countries in the region, and reviewing prospects and policies for the coming year. Includes a statistical appendix.
Author: International Monetary Fund. African Dept.
Publisher: International Monetary Fund
ISBN: 1589065263
Category : Business & Economics
Languages : en
Pages : 132
Get Book Here
Book Description
Prepared by the Policy Wing of the IMF African Department, and published twice a year in English and French, Regional Economic Outlook: Sub-Saharan Africa analyzes economic performance and short-term prospects of the 44 countries covered by the Department. Topics examined in recent volumes include responses to exogenous shocks, growth performance and growth-enhancing policies, the effectiveness of regional trade arrangements, macroeconomic implications of scaled-up aid, financial sector development, and fiscal decentralization. Detailed country data, grouped by oil-exporting and -importing countries and by subregion, are provided in an appendix and a statistical appendix, and a list of relevant publications by the African Department is included.
Author: Zhaohui Chen
Publisher: World Scientific
ISBN: 9789810226190
Category : Business & Economics
Languages : en
Pages : 224
Get Book Here
Book Description
This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets. The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Author: International Monetary Fund. African Dept.
Publisher: International Monetary Fund
ISBN: 1589067118
Category : Business & Economics
Languages : en
Pages : 145
Get Book Here
Book Description
The region's prospects continue to be promising, but global developments pose increased risks to the outlook. Growth in sub-Saharan Africa should again average about 61⁄2 percent in 2008 with oil exporters leading the way; meanwhile, growth in oil importers is expected to taper off, though only modestly. With food and energy prices still rising, inflation is projected to average about 81⁄2 percent this year for countries in the region, setting aside Zimbabwe. Risks in 2008 are tilted to the downside, but the region is better placed today to withstand a worsening of the global environment.
Author: International Monetary Fund. African Dept.
Publisher: International Monetary Fund
ISBN: 1589067630
Category : Business & Economics
Languages : en
Pages : 99
Get Book Here
Book Description
Sub-Saharan Africa's prospects have deteriorated somewhat and the risks have increased, according to this report. Growth in the region is projected to dip to 6 percent in 2008 and 2009. The fall is due mainly to the global food and fuel price shock, which has weighed particularly on growth in oil-importing countries, and to the global financial market turmoil, which has slowed global growth and demand for Africa's exports. Inflation is expected to rise to 12 percent in 2008, mainly on account of the food and fuel price shock. As a result of rising prices, particularly of food, poverty may well be on the increase in 2008. In 2009, inflation should ease to 10 percent, helped by recent commodity price declines. There are significant risks to the outlook related to a potentially deeper and longer period of global financial turmoil and resulting slowdown in global activity, and substantial uncertainty concerning commodity prices.
Author: John F. Bilson
Publisher: University of Chicago Press
ISBN: 0226050998
Category : Business & Economics
Languages : en
Pages : 542
Get Book Here
Book Description
This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
Author: International Monetary Fund. African Dept.
Publisher: International Monetary Fund
ISBN: 1589066707
Category : Business & Economics
Languages : en
Pages : 84
Get Book Here
Book Description
The region's prospects look strong. Growth in sub-Saharan Africa should reach 6 percent in 2007 and 63⁄4 percent in 2008. The economic expansion is strongest in oil exporters but cuts across all country groups. This would extend a period of very good performance. In recent years, sub-Saharan Africa has been experiencing its strongest growth and lowest inflation in over 30 years.
