Estimating and Interpreting Forward Interest Rates
AbstractThe 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.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 94/114.
Date of creation: 01 Sep 1994
Date of revision:
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Postal: International Monetary Fund, Washington, DC USA
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Web page: http://www.imf.org/external/pubind.htm
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