Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994
The 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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| Length: | 26 pages |
| Date of creation: | 1994 |
| Date of revision: | |
| Handle: | RePEc:fth:stocin:579 |
| Contact details of provider: | Postal: Phone: +46-8-162000 Fax: +46-8-161443 Web page: http://www.iies.su.se/ More information through EDIRC
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