| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6179 |
| 来源ID | Working Paper 6179 |
| Implied Exchange Rate Distributions: Evidence from OTC Option Markets | |
| Jose M. Campa; P.H. Kevin Chang; Robert L. Reider | |
| 发表日期 | 1997-09-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper uses a rich new data set of option prices on the dollar-mark, dollar-yen, and key EMS cross-rates to extract the entire risk-neutral probability density function (pdf) over horizons of one and three months. We compare three alternative smoothing methods---cubic splines, an implied binomial tree (trimmed and untrimmed), and a mixture of lognormals---for transforming option data into the pdf. Despite their methodological ifferences, the three approaches lead to a similar pdf distinct from the lognormal benchmark, and usually characterized by skewness and leptokurtosis. We then document a striking positive correlation between skewness in these pdfs and the spot rate. The stronger a currency the more expectations are skewed towards a further appreciation of that currency. We interpret this finding as a rejection that these exchange rates evolve as a martingale, or that they follow a credible target zone, explicit or implicit. Instead, this this positive correlation is consistent with target zones with endogenous realignment risk. We discuss two interpretations of our results on skewness: when a currency is stronger, the actual probability of further large appreciation is higher, or because of risk, such states are valued more highly. |
| URL | https://www.nber.org/papers/w6179 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563687 |
| 推荐引用方式 GB/T 7714 | Jose M. Campa,P.H. Kevin Chang,Robert L. Reider. Implied Exchange Rate Distributions: Evidence from OTC Option Markets. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6179.pdf（2056KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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