Series: Working Papers. 9511.
Author: Juan Luis Díaz del Hoyo and A. Javier Prado Domínguez.
Interest rates
- Financial markets
- Cash, coins and banknotes
- Economic situation
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Abstract
This paper addresses the construction of forward-interest-rate indicators to provide for analysis of the trend of the expected interest rates on a currency, changes therein and comparisons of trends of different currencies. Comparison of different alternatives has led to the conclusion that Forward Rate Agreements (FRAs) traded on over-thecounter markets offer more homogeneous prices and a greater capacity to analyse international markets. Based on the information provided by FRAs, two indicators showing the forward short-term interest-rate structure for a set of currencies have been constructed: time paths of forward rates and forward rate-maturity curves.