Journal Article
Implied rate correlations and policy expectations
Abstract: Certain financial instruments provide information on expectations of future interest rate movements. One relatively new instrument is yield curve options, which allow investors to take financial positions on a range of possible future interest rates. These options can shed light on the views of financial markets regarding future monetary policy at a time when short-term interest rates are near zero.
Keywords: Interest rates;
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File(s): File format is application/pdf http://www.frbsf.org/economic-research/publications/economic-letter/2013/november/implied-rate-correlations-interest-rate-movements-yield-curve-options/
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Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: FRBSF Economic Letter
Publication Date: 2013
Order Number: 32