Estimating and Interpreting Forward Interest Rates
Author | : Mr.Lars E. O. Svensson |
Publisher | : International Monetary Fund |
Total Pages | : 76 |
Release | : 1994-09-01 |
ISBN-10 | : 9781451853759 |
ISBN-13 | : 1451853750 |
Rating | : 4/5 (750 Downloads) |
Download or read book Estimating and Interpreting Forward Interest Rates written by Mr.Lars E. O. Svensson and published by International Monetary Fund. This book was released on 1994-09-01 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.