Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. The five essays contained in this thesis elaborate upon three separate but complementary topics within the area of financial market research. First, the price discovery process of asset prices following releases of macroeconomic and monetary policy-related news is investigated. Such analysis can help in improving a central bank's understanding of how market participants update their views about future growth and inflation prospects. Second, an attempt is made to identify the factors which explain the time-varying co-movement of bond and stock prices. This analysis reveals that periods of negative correlation between the two assets tend to coincide with periods of very low investor risk appetite. Third, frequency distributions implied by options prices are often employed by central banks to assess the degree of uncertainty prevailing in markets as well as how the perceived balance of risks concerning future asset price movements is tilted. Various methods have been developed to estimate option-implied frequency distributions and the thesis assesses and compares the robustness of two of the most commonly used methods in central banks. / <p>Diss. Stockholm : Handelshögskolan, 2007 S. 9-16: sammanfattning, s. 17-160: 5 uppsatser</p>
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hhs-474 |
| Date | January 2007 |
| Creators | Andersson, Magnus |
| Publisher | Handelshögskolan i Stockholm, Samhällsekonomi (S), Stockholm : Economic Research Institute, Stockholm School of Economics (EFI) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Doctoral thesis, comprehensive summary, info:eu-repo/semantics/doctoralThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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