| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1683 |
| DP1683 Heterogeneous Traders and the Unbiasedness Hypothesis: Explaining the Mark/Dollar Bias | |
| Nikos Christodoulakis; Sarantis C Kalyvitis | |
| 发表日期 | 1997-08-31 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper develops a particular technique for extracting market expectations from asset prices. We use the term structure of interest rates to estimate the probability the market attaches to a country, Italy, joining the European Monetary Union at a given date. The extraction of such a probability is based on the presumption that the term structure contains valuable information regarding the markets? assessment of a country?s chances of joining EMU. The case of Italy is interesting because in the survey regularly conducted by Reuters the probability that Italy joins EMU in 1999 fluctuated, in the first months of 1997, between 0.07 and 0.15 while during the same period the measures computed by financial houses ? which are based on the term structure of interest rates ? ranged between 0.5 and 0.8. The paper proposes a new method for computing these probabilities and shows that the discrepancies between survey and market-based measures are not the result of market inefficiencies, but of incorrect use of the term structure to compute probabilities. The technique proposed in the paper can also be used to distinguish between convergence of probabilities and convergence of fundamentals, that is to find out whether an observed reduction in interest rate spreads signals a higher probability of joining EMU at a given time, or simply reflects improved fundamentals. It could also be applied, more generally, to extract information on imminent changes in an exchange rate regime from asset prices. |
| 主题 | International Macroeconomics |
| 关键词 | Expectational model Probabilities of entering emu Term structure of interest rates |
| URL | https://cepr.org/publications/dp1683 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530826 |
| 推荐引用方式 GB/T 7714 | Nikos Christodoulakis,Sarantis C Kalyvitis. DP1683 Heterogeneous Traders and the Unbiasedness Hypothesis: Explaining the Mark/Dollar Bias. 1997. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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