Recent Advances in Extracting Policy-Relevant Information from Market Interest Rates

10 Pages Posted: 18 Jun 2008

See all articles by Michael Joyce

Michael Joyce

Bank of England - Monetary Analysis

Steffen Sorensen

Moody's Investor Services

Olaf Weeken

Bank of England - Monetary Analysis

Date Written: 2008

Abstract

Market interest rates form an important part of the transmission mechanism of monetary policy. They also contain information about market expectations of future policy rates as well as attitudes to, and perceptions of, risk. Extracting and interpreting this policy-relevant information is not straightforward, however. This article describes recent advances in this field and how they can be used to shed light on the downward trend in long-term real forward interest rates and the upward trend in long-term inflation forward rates, both developments that have attracted the attention of policymakers.

Suggested Citation

Joyce, Michael and Sorensen, Steffen and Weeken, Olaf, Recent Advances in Extracting Policy-Relevant Information from Market Interest Rates (2008). Bank of England Quarterly Bulletin, 2008 Q2. Available at SSRN: https://ssrn.com/abstract=1147035

Michael Joyce

Bank of England - Monetary Analysis ( email )

Threadneedle Street
London EC2R 8AH
United Kingdom
44 (0)207 601 4444 (Phone)

HOME PAGE: http://www.bankofengland.co.uk

Steffen Sorensen

Moody's Investor Services

New York, NY 10007
United States

Olaf Weeken (Contact Author)

Bank of England - Monetary Analysis ( email )

Threadneedle Street
London EC2R 8AH
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
57
Abstract Views
582
rank
368,763
PlumX Metrics