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Overnight indexed swap-implied interest rate expectations

Simon Lloyd

Finance Research Letters, 2021, vol. 38, issue C

Abstract: Overnight indexed swap (OIS) rates are regularly used to measure interest rate expectations. But how suitable are they? What tenors can we rely on? Assessing their performance in the US, UK, Eurozone and Japan, I find they provide broadly reliable measures of rate expectations out to around the 2-year tenor. Beyond these horizons, they contain persistent premia that complicate their use.

Keywords: Monetary policy expectations; Overnightindexed swaps (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310761

DOI: 10.1016/j.frl.2020.101430

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