The reason is that market prices reflect not only market expectations, but also risk and liquidity premiums that need to be filtered out to recover the object of interest—for example, expected inflation or long-run r*. This filtering almost always requires a model of some sort, so even market-based estimates of key inputs to monetary policy are, to some extent, model dependent.
Implications for Monetary Policy Let me now draw together some implications of the approach to models, markets, and monetary policy I have laid out in these remarks.