Estimating and Interpreting Forward Interest Rates; Sweden 1992-1994

Preprint
Publisher Website
Google Scholar
    • preprint
      • Published in RePEc
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.

This publication has 0 references indexed in Scilit: