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Estimating and Interpreting Forward Interest Rates
Mr.Lars E. O. Svensson
其他書名
Sweden 1992-1994
出版International Monetary Fund, 1994-09-01
主題Business & Economics / InflationBusiness & Economics / Investments & Securities / FuturesBusiness & Economics / Investments & Securities / Bonds
ISBN14518537509781451853759
URLhttp://books.google.com.hk/books?id=blkYEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋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.