Forward-Looking Estimates of Interest-Rate Distributions

Jonathan Wright

Annual Review of Financial Economics, 2017, vol. 9, issue 1, 333-351

Abstract: This article reviews methods for extracting both risk-neutral and physical density forecasts for interest rates. It presents some applications, with particular focus on issues pertaining to forward guidance and the zero lower bound. Several important applied questions in macroeconomics and monetary economics can be very directly addressed using the wealth of information in interest-rate derivative securities.

Keywords: density forecasting; interest rates; options; risk premia; zero lower bound (search for similar items in EconPapers)
JEL-codes: C53 E43 G12 (search for similar items in EconPapers)
Date: 2017
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