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http://ssrn.com/abstract=106370
 
 

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Extracting Expectations about 1992 UK Monetary Policy from Option Prices


Paul Söderlind


University of St. Gallen; Centre for Economic Policy Research (CEPR); University of St. Gallen - SoF: School of Finance

March 1998

CEPR Discussion Paper Series Number 1823

Abstract:     
The UK pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market's probability distribution of the future Deutsche mark/sterling exchange rate and UK and German interest rates changed over the summer and autumn of 1992. The results show, among other things, how various policy decisions affected the market's assessment of the probabilities of realignments and lending rate cuts.

JEL Classification: E43, E52, G13

working papers series





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Date posted: July 15, 1998  

Suggested Citation

Söderlind, Paul, Extracting Expectations about 1992 UK Monetary Policy from Option Prices (March 1998). CEPR Discussion Paper Series Number 1823. Available at SSRN: http://ssrn.com/abstract=106370

Contact Information

Paul Söderlind (Contact Author)
University of St. Gallen ( email )
Rosenbergstrasse 52
St. Gallen, 9000
Switzerland
+41 71 224 7064 (Phone)
+41 71 224 7088 (Fax)
HOME PAGE: http://home.datacomm.ch/paulsoderlind/
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
University of Saint Gallen - SoF: School of Finance ( email )
Rosenbergstrasse 52
St.Gallen, CH-9000
Switzerland

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