Forward-Looking Estimates of Interest-Rate Distributions

被引：4
|
作者：
Wright, Jonathan H. [1 ]
机构：
[1] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA
来源：
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 9 | 2017年 / 9卷
关键词：
density forecasting; interest rates; options; risk premia; zero lower bound; TERM-STRUCTURE MODELS; STATE-PRICE DENSITIES; INTEREST-RATE FORECASTS; STOCHASTIC VOLATILITY; PROBABILITY DENSITY; BOND YIELDS; NONPARAMETRIC-ESTIMATION; MONETARY-POLICY; RISK; TREASURY;
D O I：
10.1146/annurev-financial-110716-032347
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article reviews methods for extracting both risk-neutral and physical density forecasts for interest rates. It presents some applications, with particular focus on issues pertaining to forward guidance and the zero lower bound. Several important applied questions in macroeconomics and monetary economics can be very directly addressed using the wealth of information in interest-rate derivative securities.
引用
收藏
页码：333 / 351
页数：19
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