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Options on Quantum Money : Quantum Path-Integral with Serial Shocks
Ingber, Lester - 2017
The author previously developed a numerical multivariate path-integral algorithm, PATHINT, which has been applied to several classical physics systems, including statistical mechanics of neocortical interactions, options in financial markets, and other nonlinear systems including chaotic...
Persistent link: https://www.econbiz.de/10012963220
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On the credibility of the Euro/Swiss Franc floor : a financial market perspective
Zimmermann, Heinz; Hertrich, Markus - 2015
The sheer existence of EUR/CHF put options with strike prices below the EUR/CHF 1.20 floor, trading at non-zero cost, challenged the full credibility of the Swiss National Bank (SNB) in enforcing the lower barrier implemented in September 6, 2011 and abandoned on January 15, 2015. We estimate...
Persistent link: https://www.econbiz.de/10011569649
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies
Olijslagers, Stan - 2019
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10012888949
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What Option Prices Tell Us About the ECB's Unconventional Monetary Policies
Olijslagers, Stan - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10012906936
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Pricing Interest Rate Derivatives Under Monetary Policy Changes
Genaro, Alan - 2013
Traders worldwide use interest rate options and futures to speculate on future monetary decisions, in particular in countries where the monetary regime is Inflation Targeting (IT). Central Banks under an IT regime tend to define the target rate on scheduled meetings. We propose in this paper a...
Persistent link: https://www.econbiz.de/10013091162
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Low interest rates and executive risk-taking incentives : evidence from the United States
Castro, Paula; Tascon, Maria T.; Castaño, Francisco J.; … - In: Business research quarterly : BRQ 24 (2021) 4, pp. 324-354
incentives of US managers to adopt riskier business policies. Specifically, based on the agency problems between shareholders and … managers and between shareholders and creditors, a research framework is developed to identify the influence of low interest … rates on managers’ risk-taking incentives proxied by the sensitivity of executive compensation to stock return volatility …
Persistent link: https://www.econbiz.de/10012694415
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Monetary policy surprises, positions of traders, and changes in commodity futures prices
Gospodinov, Nikolaj; Jamali, Ibrahim - 2013
Using futures data for the period 1990 - 2008, this paper finds evidence that expansionary monetary policy surprises tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices. Our analysis uncovers substantial heterogeneity in the...
Persistent link: https://www.econbiz.de/10010201348
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Monetary Policy Shocks and Stock Returns : Evidence from the British Market
Gregoriou, Andros - 2010
returns in the United Kingdom. The monetary policy shock is generated from the change in the 3-month sterling LIBOR futures …
Persistent link: https://www.econbiz.de/10013142104
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Subjective models of the macroeconomy : evidence from experts and a representative sample
Andre, Peter; Pizzinelli, Carlo; Roth, Christopher; … - 2019
the inflation rate respond to four different hypothetical exogenous shocks: a monetary policy shock, a government spending … shock, an income tax shock, and an oil price shock. While expert predictions are quantitatively close to benchmarks from … predictions of changes in inflation are at odds with those of experts both for the tax shock and the interest rate shock. We show …
Persistent link: https://www.econbiz.de/10012104048