Estimating and Interpreting Forward Interest Rates
Author | : Lars E. O. Svensson |
Publisher | : |
Total Pages | : 76 |
Release | : 2006 |
ISBN-13 | : OCLC:1291213115 |
ISBN-10 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Estimating and Interpreting Forward Interest Rates written by Lars E. O. Svensson and published by . This book was released on 2006 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.