English, Article edition: Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets Nakamura, Hisashi; Shiratsuka, Shigenori

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets
Author
  • Nakamura, Hisashi
  • Shiratsuka, Shigenori
Physical Description
  • article
Notes
  • This paper focuses on the recently developing financial derivatives markets, and examines the usefulness of option prices as an information variable for monetary policy implementation. A set of option prices provides us with information on the entire probability distribution of the future values of underlying assets. Such information enables us to examine the development of market expectations. The paper estimates a time series of implied probability distributions from daily option prices on stock price index and long-term government bond futures in Japan. The estimation is done for a sample of daily closing prices for the following three periods: (1) the period of a collapsing "bubble" in the stock market in 1989-90; (2) the period of serious stock market slump in 1992-94; and (3) the period of increasing anxiety in the market about a possible deflationary spiral in 1995.
  • RePEc:ime:imemes:v:17:y:1999:i:1:p:1-43
Language
  • English
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