Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994

Lars Svensson

No 1994/114, IMF Working Papers from International Monetary Fund

Abstract: The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 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: WP; risk premium; monetary policy; spot rate; maturity date; inflation expectation; short interest; inflation rate; marginal lending rate; Inflation; Futures; Bonds; Yield curve; Return on investment; Europe (search for similar items in EconPapers)
Pages: 76
Date: 1994-09-01
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Citations: View citations in EconPapers (434)

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Related works:
Working Paper: Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 (1994)
Working Paper: Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:1994/114

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