Estimating and Interpreting Forward Interest Rates : Sweden 1992-1994

Author/Editor:

Lars E. O. Svensson

Publication Date:

September 1, 1994

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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. 94/114

Subject:

English

Publication Date:

September 1, 1994

ISBN/ISSN:

9781451853759/1018-5941

Stock No:

WPIEA1141994

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

76

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