Recoverıng rısk-neutral densıtıes from exchange rate optıons: Evıdence ın turkey
Yükleniyor...
Dosyalar
Tarih
2009
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İnönü Üniversitesi İktisadi ve İdari Bilimler Fakültesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper uses over-the-counter currency options data to investigate market expectations on Turkish Lira-U.S. Dollar exchange rate. We extract option implied density functions to examine the evolution of market sentiment over the possible values of future exhange rates. Uncertainty is well measured by option-implied probabilities. Estimated densities for selected days point out an increase in uncertainty in foreign exchange market during financial turbulence periods. We make inferences about the effectiveness of policy measures and see how the market perception changed throughout the crisis. We uncover the effectiveness of policy measures by observing shrinking densities and confidence bands.
Açıklama
Anahtar Kelimeler
Options, Risk neutral density, Market expectations
Kaynak
WoS Q Değeri
Scopus Q Değeri
Cilt
0
Sayı
0
Künye
Aydın, Hİ. Değerli, A. Özlü, P. (2009). Recoverıng rısk-neutral densıtıes from exchange rate optıons: Evıdence ın turkey. 1-19 ss.
