TY  - JOUR
AU  - Soderlind,Paul
AU  - Svensson,Lars E. O.
TI  - New Techniques to Extract Market Expectations from Financial Instruments
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5877
PY  - 1997
Y2  - January 1997
UR  - http://www.nber.org/papers/w5877
L1  - http://www.nber.org/papers/w5877.pdf
N1  - Author contact info:
Paul Soderlind
University of St. Gallen
St. Gallen, Switzerland
E-Mail: Paul.Soderlind@unisg.ch

Lars E.O. Svensson
Sveriges Riksbank
SE-103 37 Stockholm
SWEDEN
Tel: +46 8 787 0107
Fax: +46 8 21 0531
E-Mail: lars.svensson@iies.su.se
AB  - 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.
ER  -