Recent advances in extracting policy-relevant information from market interest rates

Quarterly Bulletin 2008 Q2
Published on 16 June 2008

By Michael Joyce, Steffen Sorensen and Olaf Weeken of the Bank's Monetary Instruments and Markets Division.

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.

PDF Recent advances in extracting policy-relevant information from market interest rates

Was this page useful?
Add your details...