NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994

Lars E.O. Svensson

NBER Working Paper No. 4871
Issued in September 1994
NBER Program(s):   IFM   ME

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.

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Document Object Identifier (DOI): 10.3386/w4871

Published: "Estimating Forward Interest Rates with the Extended Nelson and Siegel Method," Sveriges Riksbank Quarterly Review 1995:3, pp 13-26

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