A thorough understanding of financial markets is necessary for appraising the transmission of monetary policy and thus maintaining price stability as well as for preserving financial stability. Either way, extracting market expectation is always an important part of the exercise. Ultimately, we would like to estimate a distribution of all the relevant economic variables.
But the complexity of the real world does not allow a meaningful estimation of the economic system as a whole. So far, we have been restricted to concentrating mainly on estimating the conditional expected value, knowing that information on dependencies and higher moments would be desirable.