英文摘要 |
In this paper, we study information contents of the risk neutral densities (RND) implied by option prices. Using weekly options data of multiple currencies (Euro, JPY, ZAR, and RMB) during the period from January 4, 2006 till July 27, 2016 (total of 552 weeks), we have the following innovative findings: (1) RND moments contain more information than implied volatility; (2) the third moment of the RND has substantially high correlation with FX swap curves; (3) the moments of the RNDs are much more sensitive to catastrophic events than the implied volatility; and (4) the third and fourth moments have higher predictive powers for exchange rate movement than the implied volatility does. |