The Economics of Options-Implied Inflation Probability Density Functions
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Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation are
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美国国家经济研究局创建时间：
2012-06-01
