Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994

Lars Svensson

No 4871, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: E50 E52 (search for similar items in EconPapers)
Date: 1994-09
Note: IFM ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (447)

Published as "Estimating Forward Interest Rates with the Extended Nelson and Siegel Method," Sveriges Riksbank Quarterly Review 1995:3, pp 13-26

Downloads: (external link)
http://www.nber.org/papers/w4871.pdf (application/pdf)

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)
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:nbr:nberwo:4871

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w4871

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().