Market Rate Expectations and Forward Rates

@inproceedings{Ilmanen1996MarketRE,
  title={Market Rate Expectations and Forward Rates},
  author={A. Ilmanen},
  year={1996}
}
ANTTI ILMANGN is a vice president at Salomon Brothers in fucedincome research in London, England. I hree main forces determine the term structure of forward rates: the market’s rate expectations; required bond risk premiums; and the convexity bias. Many market observers believe that the first force is the dominant one. This article focuses on the impact of the market’s rate expectations on the yield curve shape but emphasizes the consequences of ignoring the two other forces. The impact of rate… CONTINUE READING