Estimating and Interpreting Forward Interest Rates
Download or Read eBook Estimating and Interpreting Forward Interest Rates PDF written by Mr.Lars E. O. Svensson and published by International Monetary Fund. This book was released on 1994-09-01 with total page 76 pages. Available in PDF, EPUB and Kindle.
| Author | : Mr.Lars E. O. Svensson |
| Publisher | : International Monetary Fund |
| Total Pages | : 76 |
| Release | : 1994-09-01 |
| ISBN-10 | : 9781451853759 |
| ISBN-13 | : 1451853750 |
| Rating | : 4/5 (59 Downloads) |
Book Synopsis Estimating and Interpreting Forward Interest Rates by : Mr.Lars E. O. Svensson
Book excerpt: 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.
