skip to content
Macroeconomic derivatives : an initial analysis of market-based macro forecasts, uncertainty, and risk Preview this item
ClosePreview this item
Checking...

Macroeconomic derivatives : an initial analysis of market-based macro forecasts, uncertainty, and risk

Author: Refet S Gürkaynak; Justin Wolfers; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research.
Series: Working paper series (National Bureau of Economic Research), no. 11929.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Abstract: In September 2002, a new market in "Economic Derivatives" was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to survey-based forecasts although the market-based measures somewhat more accurately predict financial market responses  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Refet S Gürkaynak; Justin Wolfers; National Bureau of Economic Research.
OCLC Number: 62940670
Notes: January 2006.
Cover title.
Description: 1 online resource (1 v.)
Series Title: Working paper series (National Bureau of Economic Research), no. 11929.
Responsibility: Refet Gürkaynak, Justin Wolfers.

Abstract:

Abstract: In September 2002, a new market in "Economic Derivatives" was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to survey-based forecasts although the market-based measures somewhat more accurately predict financial market responses to surprises in data. These markets also provide implied probabilities of the full range of specific outcomes, allowing us to measure uncertainty, assess its driving forces, and compare this measure of uncertainty with the dispersion of point-estimates among individual forecasters (a measure of disagreement). We also assess the accuracy of market-generated probability density forecasts. A consistent theme is that few of the behavioral anomalies present in surveys of professional forecasts survive in equilibrium, and that these markets are remarkably well calibrated. Finally we assess the role of risk, finding little evidence that risk-aversion drives a wedge between market prices and probabilities in this market

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


<http://www.worldcat.org/oclc/62940670>
library:oclcnum"62940670"
library:placeOfPublication
library:placeOfPublication
owl:sameAs<info:oclcnum/62940670>
rdf:typeschema:Book
schema:about
schema:about
schema:bookFormatschema:EBook
schema:contributor
schema:contributor
schema:creator
schema:datePublished"2006"
schema:exampleOfWork<http://worldcat.org/entity/work/id/47050401>
schema:inLanguage"en"
schema:name"Macroeconomic derivatives an initial analysis of market-based macro forecasts, uncertainty, and risk"@en
schema:publisher
schema:url<http://papers.nber.org/papers/w11929>
schema:url
schema:url<http://0-papers.nber.org.biblio.eui.eu/papers/>

Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.