Interbank interest rates as term structure indicators

Allan M. Malz

No 9803, Research Paper from Federal Reserve Bank of New York

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.

Keywords: Foreign exchange futures; Swaps (Finance); Interest rates; Derivative securities (search for similar items in EconPapers)
Date: 1998
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