Minneapolis Fed: "Estimates of the Future Behavior of Asset Prices"

From the Federal Reserve Bank Of Minneapolis:

We can observe the current prices of assets (commodities like gold or wheat, or financial assets like stocks) from transactions that are taking place every instant in markets all over the world. But the public and policymakers often need to make decisions that depend on what’s going to happen to asset prices in the future. For a large number of assets, we use prices from option markets to estimate the chance or probability of future changes in that asset’s price. Thus, on this web page we provide estimates of the probability of a 20% increase in the S&P 500 over the coming year, or the probability of a 20% fall in the dollar value of the euro over the next six months.

To be more precise, we provide estimates of what economists call risk-neutral probabilities. We do so because the Federal Reserve Bank of Minneapolis has concluded that the economic policymakers will typically find risk-neutral probabilities useful in their decision-making. Most importantly, the risk-neutral probability accounts for how valuable resources will be in the future relative to today. For example, suppose we find that the risk-neutral probability of a 20% fall in real estate prices is larger than the risk-neutral probability of a 20% increase in real estate prices....MORE 

Here's the bank's "Weekly Commentary on Future Asset Values":
Updated with data through July 10, 2014

Latest ReportJuly 10, 2014 [PDF]

...Banks & Insurance Companies
Since our last report on June 12, median share prices have changed little (CCAR 17 banks -0.1%; 11 insurance companies +0.5%). Median MPD standard deviations are higher by 30 basis points for the banks and lower by -30 basis points for the insurance companies indicating only minor changes in tail risk expectations from already low levels. MPD slews generally rose for banks indicating less market probability for downside price moves.

• Given the recent news around Barclay’s alleged dark pool improprieties, we examined MPD information for the firm over the past 11 weeks (Since May 1). While tail risk, as measured by MPD standard deviation has risen, it remains below the value taken at the beginning of May. (See blue bars in chart below.)

• Given the recent news related to CS assisting in improper tax evasion behaviors, we examined MPD information for the firm over the past 11 weeks (Since May 1). While tail risk, as measured by MPD standard deviation has risen, it remains below the values measured in most of May and June. (See orange bars in chart below.)...MORE

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