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2006•RePEc: Research Papers in EconomicsRequires access

ESTIMATING FORWARD PREMIA OF SHORT-TERM INTEREST RATES BASED ON SURVEY RESULTS*

Isabel Marques Gameiro

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Abstract

Financial market participants ’ expectations regarding future interest rates are important indicators from the central bank’s point of view. Such expectations are useful insofar as they make it possible to assess whether or not a given monetary policy decision will surprise the markets and to analyse the ef-ficiency of the communication policy. Market expectations regarding interest rates are also used as

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Financial market participants ’ expectations regarding future interest rates are important indicators from the central bank’s point of view. Such expectations are useful insofar as they make it possible to assess whether or not a given monetary policy decision will surprise the markets and to analyse the ef-ficiency of the communication policy. Market expectations regarding interest rates are also used as

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Available abstract

Financial market participants ’ expectations regarding future interest rates are important indicators from the central bank’s point of view. Such expectations are useful insofar as they make it possible to assess whether or not a given monetary policy decision will surprise the markets and to analyse the ef-ficiency of the communication policy. Market expectations regarding interest rates are also used as

Key concepts: Interest rate, Risk premium, Forward rate, Economics, Econometrics, Interest rate risk, LIBOR market model, Term (time)

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ESTIMATING FORWARD PREMIA OF SHORT-TERM INTEREST RATES BASED ON SURVEY RESULTS* — Research Paper | ScholarLens