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Overnight indexed swap-implied interest rate expectations

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  • Lloyd, Simon P.

Abstract

Overnight indexed swap (OIS) rates are regularly used to measure interest rate expectations. But how suitable are they? What tenors can we rely on? Assessing their performance in the US, UK, Eurozone and Japan, I find they provide broadly reliable measures of rate expectations out to around the 2-year tenor. Beyond these horizons, they contain persistent premia that complicate their use.

Suggested Citation

  • Lloyd, Simon P., 2021. "Overnight indexed swap-implied interest rate expectations," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310761
    DOI: 10.1016/j.frl.2020.101430
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    References listed on IDEAS

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    Cited by:

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    3. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).

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    More about this item

    Keywords

    Monetary policy expectations; Overnightindexed swaps;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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