search query: @indexterm TERM STRUCTURE OF INTEREST RATES / total: 111
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| Author: | Favero, C. |
| Title: | Extracting information from asset prices: the methodology of EMU calculators |
| Journal: | European Economic Review
2000 : OCT, VOL. 44:9, p. 1607-1632 |
| Index terms: | TERM STRUCTURE OF INTEREST RATES PROBABILITY EUROPEAN MONETARY SYSTEM |
| Language: | eng |
| Abstract: | This paper develops a particular technique for extracting market expectations from asset prices. The authors use the term structure of interest rates to estimate the probability the market attaches to the event that a country, Italy, joins the European Monetary Union at a given date. The case of Italy is interesting because in the survey regularly conducted by Reuters, the probability that Italy joins EMU in 1999 has fluctuated. This paper proposes a new method for computing these probabilities. |
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