Market Expectations in the UK Before and After the ERM Crisis
Bibliographic Data
| ID | 9726272 |
|---|---|
| Authors | Paul Söderlin (Stockholm School of Economics, corresponding author) |
| Year | 2000 |
| Volume | 67 |
| Issue | 265 |
| Pages | 1-18 |
| Publication date | 2000-02-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/1468-0335.00192 |
| OpenAlex | W3124331949 |
| Language | EN |
| Citations received | 2 |
| References cited | 2 |
The British 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 mark–pound 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
Economics · Exchange rate · Financial economics · German · Inflation (cosmology) · Interest rate · Monetary economics · Monetary policy · Pound (networking) · Fiscal Policies and Political Economy · German Economic Analysis & Policies · Monetary Policy and Economic Impact
| Citations per year | 0.25 |
|---|---|
| Citation span | 2018 - 2025 (8) |
| Highly cited | No |