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• W2537338701 abstract "[eng] The evolution of market interest rates is a key component of the trans-mission of monetary policy. Central Banks, market participants and monetary policy practitioners make use of the information contained in financial prices to better understand market interest rates develop-ments. Such a comprehensive and quantitative assessment might also be derived from option-implied probability density functions (PDFs), and in particular when applied to Euribor options, which constitute a natural complement to the existing financial market indicators. A number of methods for constructing these option-implied PDFs have already been developed in the literature. In general, although these methods might differ in the extremes of the tails of the distribution, there is no major difference in the central section of the estimated option-implied PDFs. And, arguably it is the central section of the option-implied PDFs which is more likely to be useful for monetary policy purposes, in contrast to financial stability analysis, where there may be greater focus on the tails of the distribution. In particular, such option-implied PDFs have not been studied in detail during periods of financial crisis, where arguably they may be the most useful. In general, the methods that have been used to construct and estimate implied densities are risk-neutral. Hence, they are indifferent regarding the investor behaviour and do not include a risk premium component. Some authors have already extended these methods to create real-world option-implied PDFs which incorporate the investor behaviour and take into account the risk premium component. However, there is very little research analysing and comparing the differences between these two densities in the Euribor market and, in particular, around episodes of crisis or monetary policy decisions. By using anon-parametric technique, based on the Bliss and Panigirzoglou methodology, this thesis presents an analysis of PDFs for Euribor outturns in three months’ time, using ”risk-neutral” and ”real-world” option-implied PDFs. This type of analysis allows us to reveal typical market reactions which could be potentially used by central banks as a complement to the already existing tools that allow them to take monetary policy decisions. * A quantitative mirror on the Euribor market using implied probability density functions. Puigvert-Gutierrez J., de Vincent- Humphreys R. Eurasian Economic Review 2(1), 1-31, Spring 2012. * Interest rate expectations and uncertainty during ECB Go- verning Council days: Evidence from intraday implied den- sities of 3-month Euribor. Vergote O., Puigvert-Gutierrez J. Journal of Banking and Finance 36 (2012) 2804-2823. * Interest rate forecasts, state price densities and risk premium from Euribor options. Ivanova V., Puigvert-Gutierrez J. Journal of Banking and Finance 48 (2014) 210-223. The ?rst two articles above have been also published in the ECB Working Paper Series and were additionally peer-reviewed by two anonymous referees. [cat] L'evolucio dels tipus d'interes de mercat es un dels components princi-pals del mecanisme de transmissio de la politica monetaria. Els bancs centrals, els participants del mercat i els professionals de la politica monetaria recorren a la informacio continguda en els preus financers per entendre millor l'evolucio dels tipus d'interes de mercat. Tambe es possible obtenir una avaluacio completa i quantitativa d' aquestes ca-racteristiques a traves de les funcions de densitat de probabilitat (PDFs, per les seves sigles en angles) implicita en opcions, en particular quan s'apliquen a opcions sobre l'Euribor, la qual cosa constitueix un com-plement natural dels indicadors del mercat financer existents. La literatura recull diversos metodes per a construir aquestes PDFs implicita basades en opcions. En general, si be els metodes poden pre-sentar diferencies als extrems de les cues de la distribucio, no s' obser-ven diferencies significatives a la seccio central de les PDFs implicites basades en opcions calculades. I, precisament, es pot afirmar que la seccio central de les PDFs implicita basades en opcions es la que pot ser mes util a efectes de la politica monetaria, al contrari del que passa amb l' analisi de l'estabilitat financera, que s' acostuma a fixar mes en les cues de la distribucio. Concretament, aquestes PDFs implicita basades en opcions no s'han estudiat a fons durant periodes de crisi financera, que es precisament quan podrien resultar mes utils. En general, els metodes que s'han emprat per construir i calcular densitats implicites son «neutrals al risc». Per tant, son indiferents al comportament dels inversors i no inclouen el component de la prima de risc. Alguns autors ja han ampliat aquests metodes, la qual cosa ha donat lloc a PDFs implicita basades en opcions “de condicions reals”, que incorporen el comportament dels inversors i tenen en compte el component de la prima de risc. No obstant aixo, hi ha molts pocs estudis que analitzin i comparin les diferencies entre aquestes dues densitats en el mercat de l’Euribor i, en particular, en relacio amb episodis de crisi o decisions de politica monetaria. En recorrer a una tecnica no parametrica, basada en la metodologia de Bliss i Panigirzoglou, aquesta tesi presenta un analisi de PDFs per als resultats de l’Euribor a tres mesos, a partir de PDFs implicita basades en opcions “neutrals al risc” i “de condicions reals”. Un analisi d’aquestes caracteristiques permet posar de manifest reaccions tipiques dels mercats, que els bancs centrals podrien emprar com a complement de les eines de les quals ja disposen per prendre decisions de politica monetaria. Aquesta tesi consta dels tres articles seguents, publicats en revistes internacionals arbitrades: * A quantitative mirror on the Euribor market using implied probability density functions. Puigvert-Gutierrez J., de Vincent- Humphreys R. Eurasian Economic Review 2(1), 1-31. * Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month Euribor. Vergote O., Puigvert-Gutierrez J. Jour- nal of Banking and Finance 36 (2012) 2804-2823. * Interest rate forecasts, state price densities and risk premium from Euribor options. Ivanova V., Puigvert-Gutierrez J. Journal of Banking and Finance 48 (2014) 210-223. Els dos primers s’han publicat tambe a la ECB Working Paper Series i van ser revisats, a mes, per dos avaluadors anonims. " @default.
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• W2537338701 title "3-month Euribor expectations and uncertainty using option-implied probability densities" @default.
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