Changes in Risk Perceptions on Yen Interest Rates and Exchange Rates Observed in Options Markets: Developments in Implied Probability Distributions amid Rate Hikes in the United States and Europe from 2022 to 2023
August 7, 2024 YONEYAMA Akihito*, TSUCHIYA Akitaka**, FUKUMA Noritaka Financial Markets Department *Currently, Fukuoka Branch. **Currently, Personnel and Corporate Affairs Department. Full Text [PDF 1,269KB] In this paper, we extract the implied probability distributions from daily option prices for the future levels of yen swap rates and the U.S. dollar/yen exchange rate, which came under