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Implied rate correlations and policy expectations

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  • Allan M. Malz

Abstract

Certain financial instruments provide information on expectations of future interest rate movements. One relatively new instrument is yield curve options, which allow investors to take financial positions on a range of possible future interest rates. These options can shed light on the views of financial markets regarding future monetary policy at a time when short-term interest rates are near zero.

Suggested Citation

  • Allan M. Malz, 2013. "Implied rate correlations and policy expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov4.
  • Handle: RePEc:fip:fedfel:y:2013:i:nov4:n:2013-32
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    Keywords

    Interest rates;

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