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dc.contributor.authorGürkaynak, Refet S.en
dc.contributor.authorWolfers, Justinen
dc.date.accessioned2006-04-06-
dc.date.accessioned2010-07-07T09:13:40Z-
dc.date.available2010-07-07T09:13:40Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen
dc.relation.ispartofseries|aIZA Discussion Papers |x1899en
dc.subject.jelC23en
dc.subject.jelD21en
dc.subject.jelJ50en
dc.subject.jelL13en
dc.subject.ddc330en
dc.subject.keywordeconomic derivativesen
dc.subject.keywordmacroeconomic forecastingen
dc.subject.keyworduncertaintyen
dc.subject.keyworddisagreementen
dc.subject.keywordprediction marketsen
dc.subject.keyworddensity forecastingen
dc.subject.stwTermingeschäften
dc.subject.stwFinanzderivaten
dc.subject.stwPrognoseen
dc.subject.stwRisikoen
dc.subject.stwEntscheidung bei Unsicherheiten
dc.titleMacroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty and risk-
dc.type|aWorking Paperen
dc.identifier.ppn504808737en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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