| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16520 |
| DP16520 Measuring Market Expectations | |
| Christiane Baumeister | |
| 发表日期 | 2021-09-06 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Asset prices are a valuable source of information about financial market participants' expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market's rational assessment of future price and policy developments. This paper reviews empirical approaches for recovering market-based expectations. It starts by laying out the two canonical modeling frameworks that form the backbone for estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium estimates and to identify the most accurate market-based expectation measure. The usefulness of this general approach is illustrated for price expectations in the global oil market. Then, the paper provides an overview of the body of empirical evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that complicate the quest for the best possible market-based expectation measure. Finally, it discusses a number of economic applications where market expectations play a key role for evaluating economic models, guiding policy analysis, and deriving shock measures. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Futures markets Risk premia monetary policy Commodities Asset pricing Return regressions Affine term structure models Model uncertainty Forecasting Expectational shocks |
| URL | https://cepr.org/publications/dp16520 |
| 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/545475 |
| 推荐引用方式 GB/T 7714 | Christiane Baumeister. DP16520 Measuring Market Expectations. 2021. |
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