Monetary policy and asset prices

Manchester School

Volumn 68, Issue 1 SUPPL., 2000, Pages 1-22

  Vickers, John ^a  

^a BANK OF ENGLAND   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 20144373200     PISSN: 14636786     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9957.68.s1.1     Document Type: Article

References (19)

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4. Bernanke, B. and Gertler, M. (1999). 'Monetary Policy and Asset Price Volatility', Paper presented at the Federal Reserve Bank of Kansas City conference on 'New Challenges for Monetary Policy', Jackson Hole, Wyoming, August.
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9. Monetary Policy Committee (1999). The Transmission Mechanism of Monetary Policy, Bank of England.
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12. Bahra, B. (1996). 'Probability Distributions of Future Asset Prices Implied by Option Prices', Bank of England Quarterly Bulletin, Vol. 36, No. 3, pp. 299-311.
13. Bahra, B. (1997). 'Implied Risk-neutral Probability Density Functions from Option Prices: Theory and Application', Bank of England Working Paper 66.
14. Breeden, D. and Litzenberger, R. (1978). 'Prices of State-contingent Claims Implicit in Option Prices', Journal of Business, Vol. 51, pp. 621-651.
15. Fisher, M., Nychka, D. and Zervos, D. (1995). 'Fitting the Term Structure of Interest Rates with Smoothing Splines', Finance and Economics Discussion Series 95-1, Federal Reserve Board.
16. Melick, W. and Thomas, C. (1997). 'Recovering an Asset's Implied PDF from Options Prices: an Application to Crude Oil During the Gulf Crisis', Journal of Financial and Quantitative Analysis, Vol. 32, pp. 91-115.
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19. Waggoner, D. (1997). 'Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices', Federal Reserve Bank of Atlanta Working Paper 97-10.