Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 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.
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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