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Estimating and Interpreting Forward Interest Rates Sweden 1992-1994

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...

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Bibliographic Details
Main Author: Svensson, Lars
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1994
Series:IMF Working Papers
Subjects:
Interest Rates
Finance
Return On Investment
Financial Services
Deflation
Intangible Capital
National Accounts
Yield Curve
Foreign Exchange
Bonds
Macroeconomics
Capacity
Capital
Futures
Inflation
Institutional Investors
Investment
Pension Funds
Investments: Futures
Financial Institutions
Financial Instruments
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
General Financial Markets: General (includes Measurement And Data)
Investments: Bonds
Derivative Securities
Price Level
Non-bank Financial Institutions
Saving And Investment
Banks And Banking
Investments: General
Prices
Interest Rates: Determination, Term Structure, And Effects
Investment & Securities
Monetary Policy
Sweden
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
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
Physical Description:76 pages
ISBN:9781451853759

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