NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Paul Soderlind

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

January 1997New Techniques to Extract Market Expectations from Financial Instruments
with Lars E. O. Svensson: w5877
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely on implied forward interest rates, so as to extract expected future time-paths. Very recently only the means but the whole (risk neutral) probability distribution from a set of option prices.

Published: Journal of Monetary Economics, Vol. 40, no. 2 (October 1997): 383-429. citation courtesy of

November 1991Devaluation Expectations: The Swedish Krona 1982-1991
with Hans Lindberg, Lars E.O. Svensson: w3918
Devaluation expectations for the Swedish krona are estimated for the period 1982-1991 with several methods. First the "simplest test" is applied under either only the minimal assumption of "no positive minimum profit" or the additional assumption of uncovered interest parity. Then a more precise method suggested by Bertola and Svensson is used, in which expected rates of depreciation within the exchange rate band, estimated in several ways, are subtracted from interest rate differentials. In addition the probability density of the time of devaluations is estimated. Finally, estimated devaluation expectations are to some extent explained by a few macrovariables and parliament elections.

Published: Economic Journal. vol. 103, pp. 1170-1179, (1993)

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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