| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5478 |
| DP5478 The European Commission - Appointment, Preferences and Institutional Relations | |
| Mika Widgren; Stefan Napel | |
| 发表日期 | 2006-01-24 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | September 2002, a new market in 'Economic Derivatives' was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to survey-based forecasts although the market-based measures somewhat more accurately predict financial market responses to surprises in data. These markets also provide implied probabilities of the full range of specific outcomes, allowing us to measure uncertainty, assess its driving forces, and compare this measure of uncertainty with the dispersion of point-estimates among individual forecasters (a measure of disagreement). We also assess the accuracy of market-generated probability density forecasts. A consistent theme is that few of the behavioural anomalies present in surveys of professional forecasts survive in equilibrium, and that these markets are remarkably well calibrated. Finally we assess the role of risk, finding little evidence that risk-aversion drives a wedge between market prices and probabilities in this market. |
| 主题 | Financial Economics ; Labour Economics |
| 关键词 | Density forecasts Disagreement Economic derivatives Expectations Forecasting Macroeconomic surveys Prediction markets Surveys Uncertainty |
| URL | https://cepr.org/publications/dp5478 |
| 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/534335 |
| 推荐引用方式 GB/T 7714 | Mika Widgren,Stefan Napel. DP5478 The European Commission - Appointment, Preferences and Institutional Relations. 2006. |
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