Citation

Discussion Paper Details

Please find the details for DP1051 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Estimating and Interpreting Forward Interest Rates: Sweden 1992-4

Author(s): Lars E.O. Svensson

Publication Date: October 1994

Keyword(s): Credibility, Inflation Expectations, Monetary Policy Indicators and Term Structure of Interest Rates

Programme Area(s): International Macroeconomics

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.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=1051

Bibliographic Reference

Svensson, L. 1994. 'Estimating and Interpreting Forward Interest Rates: Sweden 1992-4'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=1051