Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
- 1 January 1994
- journal article
- Published by International Monetary Fund (IMF) in IMF Working Papers
- Vol. 94 (114)
- https://doi.org/10.5089/9781451853759.001
Abstract
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.Keywords
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