Nothing Special   »   [go: up one dir, main page]
create a website
Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?. (2014). Stapf, Jelena ; Scharnagl, Michael.
In: Discussion Papers.
RePEc:zbw:bubdps:242014.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 39

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Andersen, T., T. Bollerslev, F. Diebold, and C. Vega (2003). Micro effects of macro announcments: Real-time price discovery in foreign exchange. American Economic Review 93, 38–62.

  2. Andrade, P., E. Ghysels, and J. Idier (2012). Tails of inflation forecasts and tales of monetary policy. Working Paper 407, Banque de France.

  3. Autrup, S. and M. Grothe (2014). Economic surprises and inflation expectations: Has anchoring of expectations survived the crisis? Working Paper Series 1671, European Central Bank.

  4. Bahra, B. (1997). Implied risk-neutral probability density functions from option prices: Theory and application. Working Paper 66, Bank of England.

  5. Beechey, M., B. Johannsen, and A. Levin (2011). Are long-run inflation expectations more firmly anchored in the euro area than in the United States? American Economic Journal of Macroeconomics 3, 104–29.

  6. Bliss, R. and N. Panigirtzoglou (2002). Testing the stability of implied probability density functions. Journal of Banking and Finance 26, 381–422.

  7. Bowles, C., R. Friz, V. Genre, G. Kenny, A. Meyler, and T. Rautannen (2007). The ECB survey of Professional Forecasters (SPF): A review after eight years’ experience. Occasional Paper 59, ECB.

  8. Breeden, D. and R. Litzenberger (1978). Prices of state-contingent claims implicit in option prices. The Journal of Business 51(4), 621–51.

  9. Christensen, J., J. Lopez, and G. Rudebusch (2012, December). Extracting deflation probabilities from treasury yields. International Journal of Central Banking 8, 21–60.

  10. Clarida, R., J. Gali, and M. Gertler (2000). Monetary policy and macroeconomic stability: Evidence and some theory. The Quarterly Journal of Economics 115, 147–80.

  11. Clews, R., N. Panigirtzoglou, and J. Proudman (2000). Recent developments in extracting information from options markets. Quarterly Bulletin 1, Bank of England.
    Paper not yet in RePEc: Add citation now

  12. Craig, B., E. Glatzer, J. Keller, and M. Scheicher (2003). The forecasting performance of German stock option densities. Working Paper 12, Federal Reserve Bank of Cleveland.

  13. Darvas, Z. and B. Varga (2012). Uncovering time-varying parameters with the kalman filter and the flexible least squares: A monte carlo study. Working Paper 4, Corvinus University of Budapest.

  14. ECB (2013a, December). Eurosystem staff macroeconomic projection for the euro area. Monthly bulletin, European Central Bank.
    Paper not yet in RePEc: Add citation now
  15. ECB (2013b). Survey of Professional Forecasters. available at: www.ecb.europa.eu/stats/prices/indic/forecast/html/table32013q4.en.html Q4.
    Paper not yet in RePEc: Add citation now
  16. Fed (2013). Survey of Professional Forecasters. available at: www.phil.frb.org/researchand -data/real-time-center/survey-of-professional-forecasters/2013/survq413.cfm Q4, Federal Reserve Bank of Philadelphia.
    Paper not yet in RePEc: Add citation now

  17. Fleckenstein, M., F. Longstaff, and H. Lustig (2013). Deflation risk. Working Paper 19238, NBER.

  18. Gai, P. and N. Vause (2006, January). Measuring investors’ risk appetite. International Journal of Central Banking 2, 167–88.

  19. Galati, G., S. Pelhekke, and C. Zhou (2011, March). Did the crisis affect inflation expectations ? International Journal of Central Banking 7, 167–207.

  20. Gurkaynak, R. S., A. Levin, and E. Swanson (2010). Does inflation targeting anchor longrun inflation expectations? Evidence from US, UK and Sweden. Journal of the European Economic Association 8(6), 1208–42.

  21. Haubrich, J., G. Pennacchi, and P. Ritchken (2011). Inflation expectations, real rates, and risk premia: Evidence from inflation swaps. Working Paper 7, Federal Reserve Bank of Cleveland.

  22. Hofmann, B. and F. Zhou (2013). Central bank asset purchases and inflation expectations. Quarterly Review March, BIS.

  23. Hull, J. (2006). Options, futures and other derivatives. Number 6th ed. New Jersey, USA: Prentice Hall.
    Paper not yet in RePEc: Add citation now
  24. Jackwerth, J. (2004). Option-implied probability risk-neutral distributions and risk aversion. Charlotteville, USA: The Research Foundation of AMIR.
    Paper not yet in RePEc: Add citation now

  25. Kalaba, R. and L. Tesfatsion (1988). The flexible least squares approach to time-varying linear regression. Journal of Economic Dynamics and Control 12, 43–8.

  26. Kalaba, R. and L. Tesfatsion (1989). Time-varying linear regression via flexible least squares. Computers and Mathematics with Applications 17, 4215–45.

  27. Kanter, L. (2013). Global inflation-linked products: A user’s guide. Barclays Bank PLC.
    Paper not yet in RePEc: Add citation now
  28. Kerkhof, J. (2005). Inflation derivatives explained. Lehman Brothers Inc.
    Paper not yet in RePEc: Add citation now

  29. Kitsul, Y. and J. H. Wright (2013). The economics of option implied inflation probability density functions. Journal of Financial Economics 110, 696–711.

  30. Melick, W. and C. Thomas (1997). Recovering an asset’s implied PDF from option prices: an application to crude oil during the Gulf crisis. Journal of Financial and Quantitative Analysis 32, 91–115.

  31. Neely, C. (2010). The large scale asset purchases had large international effects. Working Paper 2010-018, Federal Reserve Bank of St. Louis.

  32. Neely, C. and D. Rapach (2011). International comovements in inflation rates and country characteristics. Journal of International Money and Finance 30, 1471–90.

  33. Netsunajev, A. and L. Winkelmann (2014). Inflation expectations spillovers between the United States and the euro area. SFB 649 Economic Risk Working Paper 2014-023, Humboldt-Universitaet zu Berlin.
    Paper not yet in RePEc: Add citation now
  34. Schmitt-Groh e, S. and M. Uribe (2013). The making of a great contractions with a liquidity trap and a jobless recovery. Working Paper 2166, Columbia Universtiy.
    Paper not yet in RePEc: Add citation now

  35. Schulz, A. and J. Stapf (2014). Price discovery on traded inflation expectations: Does the financial crisis matter? The European Journal of Finance forthcoming.

  36. Smith, T. (2012). Option-implied probability distributions for future inflation. Quarterly Bulletin 3, Bank of England.

  37. Tarashev, N., K. Tsatsaronis, and D. Karampatos (2003). Investors’ attitude towards risk: What can we learn from options? Quarterly Review June, BIS.
    Paper not yet in RePEc: Add citation now
  38. Whittal, C. (2012). Derivatives: Inflation options markets booms. available at: www.ifre.com/derivatives-inflation-options-market-booms/210004568.article, International Financing Review.
    Paper not yet in RePEc: Add citation now

  39. Wright, J. H. (2012). What does monetary policy do to long-term interest rates at the zero lower bound? The Economic Journal 122, 448–66.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Identifying structural shocks to volatility through a proxy-MGARCH model. (2021). Polivka, Jeannine ; Fengler, Matthias.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2021:03.

    Full description at Econpapers || Download paper

  2. Policy and Macro Signals as Inputs to Inflation Expectation Formation. (2016). Hubert, Paul ; Maule, Becky .
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1.

    Full description at Econpapers || Download paper

  3. Impact of macro-economic surprises on carry trade activity. (2013). Sushko, Vladyslav ; Hutchison, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:4:p:1133-1147.

    Full description at Econpapers || Download paper

  4. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1302.

    Full description at Econpapers || Download paper

  5. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4264.

    Full description at Econpapers || Download paper

  6. Price and trading response to public information. (2010). Malinowska, Magdalena .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101177.

    Full description at Econpapers || Download paper

  7. Intraday volatility responses to monetary policy events. (2009). Lunde, Asger ; Zebedee, Allan .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:4:p:383-399.

    Full description at Econpapers || Download paper

  8. The Effects of Economic News on Commodity Prices; Is Gold Just Another Commodity?. (2009). Rossi, Marco ; Roache, Shaun K.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/140.

    Full description at Econpapers || Download paper

  9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  10. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?. (2008). Valente, Giorgio ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6638.

    Full description at Econpapers || Download paper

  11. Anchoring bias in consensus forecasts and its effect on market prices. (2007). Sharpe, Steven ; Campbell, Sean D..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-12.

    Full description at Econpapers || Download paper

  12. The Impact of Macroeconomic News on Exchange Rate Volatility. (2007). Laakkonen, Helinä.
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:20:y:2007:i:1:p:23-40.

    Full description at Econpapers || Download paper

  13. The transmission of emerging market shocks to global equity markets. (2007). Thimann, Christian ; Fratzscher, Marcel ; Cuadro Sáez, Lucía ; Saez, Lucia Cuadro .
    In: Working Papers.
    RePEc:bde:wpaper:0727.

    Full description at Econpapers || Download paper

  14. Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets. (2006). Kräussl, Roman ; Canto, Bea ; Kraussl, Roman.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200625.

    Full description at Econpapers || Download paper

  15. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12413.

    Full description at Econpapers || Download paper

  16. Resolving Macroeconomic Uncertainty in Stock and Bond Markets. (2006). Beber, Alessandro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12270.

    Full description at Econpapers || Download paper

  17. Expectations and Exchange Rate Policy. (2006). Engel, Charles ; Devereux, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12213.

    Full description at Econpapers || Download paper

  18. Idiosyncratic volatility, economic fundamentals, and foreign exchange rates. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-025.

    Full description at Econpapers || Download paper

  19. Global asset prices and FOMC announcements. (2006). Wongswan, Jon ; Hausman, Joshua.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:886.

    Full description at Econpapers || Download paper

  20. Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data. (2006). Wright, Jonathan ; Chaboud, Alain P. ; Chernenko, Sergey V. ; Iyer, Raj S. ; Howorka, Edward ; Berger, David W. ; Liu, David .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:830.

    Full description at Econpapers || Download paper

  21. Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden. (2006). Swanson, Eric ; Levin, Andrew ; Gürkaynak, Refet.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-09.

    Full description at Econpapers || Download paper

  22. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

  23. Expectations and Exchange Rate Policy. (2006). Engel, Charles ; Devereux, Michael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5743.

    Full description at Econpapers || Download paper

  24. Shock Identification of Macroeconomic Forecasts based on Daily Panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: Working Papers.
    RePEc:szg:worpap:0502.

    Full description at Econpapers || Download paper

  25. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11769.

    Full description at Econpapers || Download paper

  26. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11166.

    Full description at Econpapers || Download paper

  27. Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting. (2005). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11042.

    Full description at Econpapers || Download paper

  28. Do Currency Markets Absorb News Quickly?. (2005). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11041.

    Full description at Econpapers || Download paper

  29. Establishing Credibility: Evolving Perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp105.

    Full description at Econpapers || Download paper

  30. CEE Banking Sector Co-Movement: Contagion or Interdependence?. (2005). lucey, brian ; Jokipii, Terhi.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp077.

    Full description at Econpapers || Download paper

  31. Establishing credibility: evolving perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
    In: Staff Reports.
    RePEc:fip:fednsr:231.

    Full description at Econpapers || Download paper

  32. Shock identification of macroeconomic forecasts based on daily panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: Staff Reports.
    RePEc:fip:fednsr:206.

    Full description at Econpapers || Download paper

  33. The response of global equity indexes to U.S. monetary policy announcements. (2005). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:844.

    Full description at Econpapers || Download paper

  34. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2005). Fratzscher, Marcel ; Ehrmann, Michael ; Rigobon, Roberto.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005452.

    Full description at Econpapers || Download paper

  35. Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements. (2005). Jansen, David-Jan ; de Haan, Jakob.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:033.

    Full description at Econpapers || Download paper

  36. Have markets reacted differently to macroeconomic and monetary policy news since 1997? An empirical analysis of UK intraday trades and prices.. (2004). wetherilt, anne ; Burrows, Oliver .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:75.

    Full description at Econpapers || Download paper

  37. The Consequences of ‘In-Work’ Benefit Reform in Britain: New Evidence from Panel Data. (2004). van der Klaauw, Wilbert ; Francesconi, Marco.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1248.

    Full description at Econpapers || Download paper

  38. Exchange rate changes and net positions of speculators in the futures market. (2004). Klitgaard, Thomas ; Weir, Laura.
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2004:i:may:p:17-28:n:v.10no.1.

    Full description at Econpapers || Download paper

  39. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. (2004). Wright, Jonathan ; Chaboud, Alain P. ; Chernenko, Sergey ; Raj S. Krishnasami Iyer, ; Howorka, Edward ; Liu, David .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:823.

    Full description at Econpapers || Download paper

  40. Equal size, equal role? interest rate interdependence between the euro area and the United States. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:800.

    Full description at Econpapers || Download paper

  41. The consequences of in-work benefit reform in Britain: new evidence from panel data. (2004). van der Klaauw, Wilbert ; Francesconi, Marco.
    In: ISER Working Paper Series.
    RePEc:ese:iserwp:2004-13.

    Full description at Econpapers || Download paper

  42. Asset Prices and Exchange Rates. (2004). Rigobon, Roberto ; Pavlova, Anna.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:579.

    Full description at Econpapers || Download paper

  43. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004365.

    Full description at Econpapers || Download paper

  44. Communication and exchange rate policy. (2004). Fratzscher, Marcel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004363.

    Full description at Econpapers || Download paper

  45. Taking stock: monetary policy transmission to equity markets. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004354.

    Full description at Econpapers || Download paper

  46. Equal size, equal role? Interdependence between the euro area and the United States. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004342.

    Full description at Econpapers || Download paper

  47. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

    Full description at Econpapers || Download paper

  48. Inventory Information. (2003). Lyons, Richard ; Evans, Martin ; Cao, Huining.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9893.

    Full description at Econpapers || Download paper

  49. What moves sovereign bond markets? The effects of economic news on U.S. and German yields. (2003). Goldberg, Linda ; Leonard, Deborah.
    In: Current Issues in Economics and Finance.
    RePEc:fip:fednci:y:2003:i:sep:n:v.9no.9.

    Full description at Econpapers || Download paper

  50. The high-frequency response of exchange rates and interest rates to macroeconomic announcements. (2003). Wright, Jonathan ; Wang, Shing-Yi ; Rogers, John ; Faust, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:784.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 20:42:36 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.