Lars E... O... Svensson
Published: 1994
Total Pages: 55
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Annotation 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 Siegels functional form.