Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994

76 Pages Posted: 15 Feb 2006

See all articles by Lars E. O. Svensson

Lars E. O. Svensson

Stockholm School of Economics; Stockholm University - Institute for International Economic Studies (IIES); National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: September 1994

Abstract

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

Svensson, Lars E.O., Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994 (September 1994). Available at SSRN: https://ssrn.com/abstract=883856 or http://dx.doi.org/10.2139/ssrn.883856

Lars E.O. Svensson (Contact Author)

Stockholm School of Economics ( email )

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Stockholm University - Institute for International Economic Studies (IIES) ( email )

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Centre for Economic Policy Research (CEPR)

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