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Central-Bank Council Meetings and Money Market Uncertainty

  • Martin Mandler
Chapter
  • 131 Downloads
Part of the Contributions to Economics book series (CE)

Abstract

In this chapter we study the effects of central-bank council meetings on market expectations by extracting risk-neutral probability density functions from interest-rate options. Since monetary policy has the strongest impact on money-market rates our data set will consist of options on a short-term interbank interest rate.

Keywords

Interest Rate Option Price Market Participant Implied Volatility Future Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Martin Mandler
    • 1
  1. 1.Department of Economics and Business AdministrationUniversity of GießenGießenGermany

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