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Interbank interest rates as term structure indicators

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  • Allan M. Malz

Abstract

Interbank fixed income claims are a rich but neglected source of information on the term structure of interest rates and interest rate expectations. The first half of this paper describes the information content of two types of over-the-counter interest rate derivatives, forward rate agreements and interest rate swaps. Interbank interest rates and derivatives lend themselves well to a particular technique for fitting zero-coupon curves. The second half of this paper present this technique, along with some examples of how it can be used to gain insights into market views on interest rates and the stance of monetary policy.

Suggested Citation

  • Allan M. Malz, 1998. "Interbank interest rates as term structure indicators," Research Paper 9803, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednrp:9803
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    References listed on IDEAS

    as
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    4. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
    5. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    6. Alan S. Blinder, 1997. "Distinguished Lecture on Economics in Government: What Central Bankers Could Learn from Academics--And Vice Versa," Journal of Economic Perspectives, American Economic Association, vol. 11(2), pages 3-19, Spring.
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    Cited by:

    1. Uri Ron, 2000. "A Practical Guide to Swap Curve Construction," Staff Working Papers 00-17, Bank of Canada.

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