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Estimating market probabilities of future interest rate changes
Hlušek, Martin
The goal of this paper is to estimate the market consensus forecast of future monetary policy development and to quantify the priced-in probability of interest rate changes for different future time horizons. The proposed model uses the current spot money market yield curve and available money market derivative instruments (forward rate agreements, FRAs) and estimates the market probability of interest rate changes up to a 12-month horizon.
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Estimating market probabilities of future interest rate changes
Hlušek, Martin
The goal of this paper is to estimate the market consensus forecast of future monetary policy development.

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