Estimating And Interpreting Forward Interest Rates
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Estimating and Interpreting Forward Interest Rates
Author | : Lars E. O. Svensson |
Publisher | : |
Total Pages | : 76 |
Release | : 2006 |
Genre | : |
ISBN | : |
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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.
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