Market Expectations in the UK Before and After the ERM Crisis
利用1992年夏季和秋季的每日期权价格，估计市场对英镑与德国马克汇率及英德利率的概率分布变化，揭示政策决策如何影响市场对汇率调整和利率下调的预期。
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.