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Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1994 (English)Report (Other academic)
Abstract [en]

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.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 579
Keyword [en]
monetary policy indicators, terms structure of interest rates, inflation expectations, credibility
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41904OAI: oai:DiVA.org:su-41904DiVA: diva2:342900
Available from: 2010-08-11 Created: 2010-08-11 Last updated: 2010-08-11Bibliographically approved

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Svensson, Lars E.O.
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf