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Changes in expectations about monetary policy decisions for short-term interest rates
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Resumo(s)
Através de derivados financeiros podemos extrair informação valiosa
quando estamos a analisar as expectativas dos investidores e as suas reações
a choques já experenciados, bem como a potenciais, nos mercados financeiros.
Para realizar esta análise, é necessário estimar a função de densidade
de probabilidade neutra ao risco (DNR) implícita nos preços das
opções.
O presente estudo examina as reações e expectativas sobre as decisões
de política monetária das taxas de juro de curto prazo para o euro e o
dólar americano, durante e depois da pandemia do COVID-19. Durante
a pandemia, os principais bancos centrais como o BCE e o FED desempenharam
um papel importante na economia e, para mitigar o efeito desta
crise, baixaram as taxas de juro e a inflação começou a subir, situando-se
hoje em níveis elevados.
Este processo pressionou tanto o mercado acionista como o mercado
imobiliário, dado que estes estão em baixo, as obrigações de alto rendimento
estão a deflacionar e a economia está num caminho que conduz à
recessão. Enquanto os principais bancos centrais continuarem a aumentar
as taxas de juro, os mercados descem cada vez mais.
Through financial derivatives we can extract valuable information when we are analyzing the investor’s expectations and their reactions to already experienced shocks, as well as the potential ones in the financial markets. To achieve this analysis, it’s needed to estimate the risk-neutral probability density function (DNR) implied in option prices. The present study examines the reactions and expectations about monetary policy decisions of the short-term interest rates for the Euro and US dollar, during the COVID-19 pandemic and after that. During the pandemic, the major central banks such as the ECB and the FED played an important role in the economy, and to mitigate the effect of this crisis, they lowered the interest rates and inflation began to rise, standing today at high levels. This process put pressure on the stock market as well as the real estate market, given that those are down, high-yield bonds are deflating, and the economy is on a path leading to recession. As long as the major central banks continue to raise interest rates, the markets go lower and lower.
Through financial derivatives we can extract valuable information when we are analyzing the investor’s expectations and their reactions to already experienced shocks, as well as the potential ones in the financial markets. To achieve this analysis, it’s needed to estimate the risk-neutral probability density function (DNR) implied in option prices. The present study examines the reactions and expectations about monetary policy decisions of the short-term interest rates for the Euro and US dollar, during the COVID-19 pandemic and after that. During the pandemic, the major central banks such as the ECB and the FED played an important role in the economy, and to mitigate the effect of this crisis, they lowered the interest rates and inflation began to rise, standing today at high levels. This process put pressure on the stock market as well as the real estate market, given that those are down, high-yield bonds are deflating, and the economy is on a path leading to recession. As long as the major central banks continue to raise interest rates, the markets go lower and lower.
Descrição
Mestrado Bolonha em Mathematical Finance
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Contexto Educativo
Citação
Sousa, Miguel Salgado Antunes de (2023). “Changes in expectations about monetary policy decisions for short-term interest rates”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão