Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
Summary:
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.
Series:
Working Paper No. 1994/114
Subject:
Bonds Financial institutions Financial services Futures Inflation National accounts Prices Return on investment Yield curve
English
Publication Date:
September 1, 1994
ISBN/ISSN:
9781451853759/1018-5941
Stock No:
WPIEA1141994
Pages:
76
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