Add to ORKGThe UK pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market’s probability distribution of the future Deutsche mark/sterling exchange rate and UK and German interest rates changed over the summer and autumn of 1992. The results show, among other things, how various policy decisions affected the market’s assessment of the probabilities of realignments and lending rate cuts.Exchange Rates; Futures; Interest Rates; Options; Risk Neutral Distribution
Domestic Credit Expansion, Confidence and the Foreign Exchange Market: Sterling in 1976 This pa...
In light of continuing mixed results in the literature, this paper re-examines the German Dominance ...
This paper models the evolution of monetary policy, the term structure of interest rates and the UK ...
The purpose of this study is to examine market participants’ expectations of future asset prices aro...
This paper describes three distinct phases of UK exchange rate policy in the 1980's (monetary target...
Since the end of the fixed rates in 1973 and after the European Monetary System (EMS) sterling dismi...
In the period from the floating of the exchange rate in 1972 to the granting of independence to the ...
This paper makes a quantitative assessment of the impact of sterling s exit from the exchange rate m...
This paper reviews the main instruments and associated yield curves that can be used to measure fina...
This paper estimates central bank policy preferences in the case of the European Monetary Union and ...
This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum...
Option prices provide valuable information on market expectations. This paper attempts to extract ma...
Much of the debate around a potential British exit (Brexit) from the European Union has centred on t...
Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy...
In light of continuing mixed results in the literature, this paper re‐examines the German Dominance ...
Domestic Credit Expansion, Confidence and the Foreign Exchange Market: Sterling in 1976 This pa...
In light of continuing mixed results in the literature, this paper re-examines the German Dominance ...
This paper models the evolution of monetary policy, the term structure of interest rates and the UK ...
The purpose of this study is to examine market participants’ expectations of future asset prices aro...
This paper describes three distinct phases of UK exchange rate policy in the 1980's (monetary target...
Since the end of the fixed rates in 1973 and after the European Monetary System (EMS) sterling dismi...
In the period from the floating of the exchange rate in 1972 to the granting of independence to the ...
This paper makes a quantitative assessment of the impact of sterling s exit from the exchange rate m...
This paper reviews the main instruments and associated yield curves that can be used to measure fina...
This paper estimates central bank policy preferences in the case of the European Monetary Union and ...
This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum...
Option prices provide valuable information on market expectations. This paper attempts to extract ma...
Much of the debate around a potential British exit (Brexit) from the European Union has centred on t...
Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy...
In light of continuing mixed results in the literature, this paper re‐examines the German Dominance ...
Domestic Credit Expansion, Confidence and the Foreign Exchange Market: Sterling in 1976 This pa...
In light of continuing mixed results in the literature, this paper re-examines the German Dominance ...
This paper models the evolution of monetary policy, the term structure of interest rates and the UK ...