Bank of England staff Simon Lloyd assesses the use of overnight indexed swap (OIS) rates as measures of monetary policy expectations. He finds that 1- to 12-month US OIS rates provide measures of investors’ interest rate expectations that are comparable to those from corresponding-horizon federal funds futures rates, which have regularly been used as financial market-based measures of US interest rate expectations. More generally, Lloyd finds that 1- to 24-month US, euro-zone, and Japanese OIS rates and 1- to 18-month UK OIS rates tend to accurately measure expectations of future short-term interest rates. Motivated by these results, researchers can look to OIS rates as globally comparable measures of monetary policy expectations.
BoE research shows OIS rates measure monetary policy expectations
German central bank’s Dombret on the future relationship between Germany and the UK in finance after Brexit
ECB publishes new guidelines on haircuts, collateral, and Eurosystem monetary policy implementation