By Neil Cooper and Jim Steeley of the Bank’s Monetary Instruments and Markets Division.
In November 1994, the Bank of England adopted a new method for estimating yield curves from the gilt-edged market. The curves are used for measuring expectations of future interest rates and inflation. Recently the Bank used the same method to estimate the yield curves of the other G7 countries’ government debt. This article describes these yield curves and explains how the estimation method was adapted to each particular market.