Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
September 1, 1994
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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.
Subject: Bonds, Financial institutions, Financial services, Futures, Inflation, National accounts, Prices, Return on investment, Yield curve
Keywords: Bonds, Europe, Futures, Inflation, inflation expectation, inflation rate, marginal lending rate, maturity date, monetary policy, Return on investment, risk premium, short interest, spot rate, WP, Yield curve
Pages:
76
Volume:
1994
DOI:
Issue:
114
Series:
Working Paper No. 1994/114
Stock No:
WPIEA1141994
ISBN:
9781451853759
ISSN:
1018-5941
