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Abstract

This article reviews methods for extracting both risk-neutral and physical density forecasts for interest rates. It presents some applications, with particular focus on issues pertaining to forward guidance and the zero lower bound. Several important applied questions in macroeconomics and monetary economics can be very directly addressed using the wealth of information in interest-rate derivative securities.

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/content/journals/10.1146/annurev-financial-110716-032347
2017-11-01
2024-06-17
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