Forward-Looking Estimates of Interest-Rate Distributions

Posted: 3 Jan 2018

See all articles by Jonathan H. Wright

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Date Written: November 2017

Abstract

This article reviews methods for extracting both risk-neutral and physical density forecasts for interest rates. It presents some applications, with particular focus on issues pertaining to forward guidance and the zero lower bound. Several important applied questions in macroeconomics and monetary economics can be very directly addressed using the wealth of information in interest-rate derivative securities.

Suggested Citation

Wright, Jonathan H., Forward-Looking Estimates of Interest-Rate Distributions (November 2017). Annual Review of Financial Economics, Vol. 9, pp. 333-351, 2017, Available at SSRN: https://ssrn.com/abstract=3095978 or http://dx.doi.org/10.1146/annurev-financial-110716-032347

Jonathan H. Wright (Contact Author)

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

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