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
相关论文
共 50 条
  • [31] Forward-looking Exhaust treatment
    不详
    WOCHENBLATT FUR PAPIERFABRIKATION, 2012, 140 (07): : 540 - +
  • [32] FORWARD-LOOKING INVESTMENT BEHAVIOUR
    HELLIWELL, J
    GLORIEUX, G
    REVIEW OF ECONOMIC STUDIES, 1970, 37 (112): : 499 - 516
  • [33] Forward-Looking Fats and Oils
    Nachay, Karen
    FOOD TECHNOLOGY, 2018, 72 (01) : 44 - 54
  • [34] Forward-Looking Art History
    Tseng, Lillian Lan-ying
    Gaifman, Milette
    ART BULLETIN, 2021, 103 (02): : 6 - 7
  • [35] VOTERS AND MACROECONOMICS - ARE THEY FORWARD-LOOKING OR BACKWARD LOOKING
    SMYTH, DJ
    DUA, P
    TAYLOR, SW
    PUBLIC CHOICE, 1994, 78 (3-4) : 283 - 293
  • [36] Looking back on forward-looking COVID models
    Chong, Paul
    Yoon, Byung-Jun
    Lai, Debbie
    Carlson, Michael
    Lee, Jarone
    He, Shuhan
    PATTERNS, 2022, 3 (07):
  • [37] INTEREST-RATE FIREWORKS
    不详
    ECONOMIC AND POLITICAL WEEKLY, 1981, 16 (25-2) : 1089 - 1090
  • [38] INTEREST-RATE TARGETING
    BARRO, RJ
    JOURNAL OF MONETARY ECONOMICS, 1989, 23 (01) : 3 - 30
  • [39] INTEREST-RATES, GOVERNMENT PURCHASES, AND BUDGET DEFICITS - A FORWARD-LOOKING MODEL
    DUA, P
    PUBLIC FINANCE QUARTERLY, 1993, 21 (04): : 470 - 478
  • [40] INTEREST-RATE SWAPS AND THE MANAGEMENT OF INTEREST-RATE RISK FOR MORTGAGE LENDERS
    BENNETT, DE
    COHEN, DL
    MCNULTY, JE
    HOUSING FINANCE REVIEW, 1988, 7 (03): : 249 - 264
12345