Macroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty and risk

Arbeitspapier

In 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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IZA Discussion Papers ; No. 1899

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Firm Behavior: Theory ; Labor-Management Relations, Trade Unions, and Collective Bargaining: General ; Oligopoly and Other Imperfect Markets
• Thema: economic derivatives ; macroeconomic forecasting ; uncertainty ; disagreement ; prediction markets ; density forecasting ; Termingeschäft ; Finanzderivat ; Prognose ; Risiko ; Entscheidung bei Unsicherheit

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gürkaynak, Refet S. ; Wolfers, Justin
• Ereignis: Veröffentlichung
• (wer): Institute for the Study of Labor (IZA)
• (wo): Bonn
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/33650
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ