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Forward-Looking Estimates of Interest-Rate Distributions

Author

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  • Jonathan H. Wright

    (Department of Economics, Johns Hopkins University, Baltimore, Maryland 21218)

Abstract

This article reviews methods for extracting both risk-neutral and physical density forecasts for interest rates. It presents some applications, with particular focus on issues pertaining to forward guidance and the zero lower bound. Several important applied questions in macroeconomics and monetary economics can be very directly addressed using the wealth of information in interest-rate derivative securities.

Suggested Citation

  • Jonathan H. Wright, 2017. "Forward-Looking Estimates of Interest-Rate Distributions," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 333-351, November.
    • Handle: RePEc:anr:refeco:v:9:y:2017:p:333-351
    DOI: 10.1146/annurev-financial-110716-032347
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    More about this item

    Keywords

    density forecasting; interest rates; options; risk premia; zero lower bound;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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