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dc.contributor.authorGürkaynak, Refet S.en_US
dc.contributor.authorWolfers, Justinen_US
dc.date.accessioned2006-04-06en_US
dc.date.accessioned2010-07-07T09:13:40Z-
dc.date.available2010-07-07T09:13:40Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/33650-
dc.description.abstractIn September 2002, a new market in Economic Derivatives was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to survey-based forecasts although the market-based measures somewhat more accurately predict financial market responses to surprises in data. These markets also provide implied probabilities of the full range of specific outcomes, allowing us to measure uncertainty, assess its driving forces, and compare this measure of uncertainty with the dispersion of point-estimates among individual forecasters (a measure of disagreement). We also assess the accuracy of market-generated probability density forecasts. A consistent theme is that few of the behavioral anomalies present in surveys of professional forecasts survive in equilibrium, and that these markets are remarkably well calibrated. Finally we assess the role of risk, finding little evidence that risk-aversion drives a wedge between market prices and probabilities in this market.en_US
dc.language.isoengen_US
dc.publisherIZA Bonnen_US
dc.relation.ispartofseriesIZA Discussion Papers 1899en_US
dc.subject.jelC23en_US
dc.subject.jelD21en_US
dc.subject.jelJ50en_US
dc.subject.jelL13en_US
dc.subject.ddc330en_US
dc.subject.keywordeconomic derivativesen_US
dc.subject.keywordmacroeconomic forecastingen_US
dc.subject.keyworduncertaintyen_US
dc.subject.keyworddisagreementen_US
dc.subject.keywordprediction marketsen_US
dc.subject.keyworddensity forecastingen_US
dc.subject.stwTermingeschäften_US
dc.subject.stwFinanzderivaten_US
dc.subject.stwPrognoseen_US
dc.subject.stwRisikoen_US
dc.subject.stwEntscheidung bei Unsicherheiten_US
dc.titleMacroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty and risken_US
dc.typeWorking Paperen_US
dc.identifier.ppn504808737en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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