Estimating and Interpreting Forward Interest Rates: Sweden 1992-4

Lars Svensson

No 1051, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden between 1992 and 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.

Keywords: Credibility; Inflation Expectations; Monetary Policy Indicators; Term Structure of Interest Rates (search for similar items in EconPapers)
JEL-codes: E50 E52 F31 G12 (search for similar items in EconPapers)
Date: 1994-10
References: Add references at CitEc
Citations: View citations in EconPapers (328)

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=1051 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:1051

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=1051

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().