Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
1994 (English)Report (Other academic)
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.
Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 50 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 579
monetary policy indicators, terms structure of interest rates, inflation expectations, credibility
IdentifiersURN: urn:nbn:se:su:diva-41904OAI: oai:DiVA.org:su-41904DiVA: diva2:342900