Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
76 Pages Posted: 15 Feb 2006
Date Written: September 1994
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 Classification: E50, E52, F31, G12
Suggested Citation: Suggested Citation