Implied rate correlations and policy expectations

Allan M. Malz

FRBSF Economic Letter, 2013, issue nov4

Abstract: Certain financial instruments provide information on expectations of future interest rate movements. One relatively new instrument is yield curve options, which allow investors to take financial positions on a range of possible future interest rates. These options can shed light on the views of financial markets regarding future monetary policy at a time when short-term interest rates are near zero.

Keywords: Interest; rates (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfel:y:2013:i:nov4:n:2013-32

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