Concepedia

Forward Rate Determination

Forward Rate Determination is a theoretical framework in financial economics that identifies the process of deriving forward interest rates from current spot rates under the assumption of no-arbitrage equilibrium in term structure modeling.

313

Publications

28.8K

Citations

472

Authors

313

Institutions

Publications per year

2017–2026

20

Parents

Publications

313

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

, , +17

The Information in Long-Maturity Forward Rates

Eugene F. Fama, Robert R. Bliss · American Economic Review · 1987 · 1.6K citations

, , +16

The Market Model of Interest Rate Dynamics

Alan Brace, Dariusz G ̧atarek, Marek Musiela · Mathematical Finance · 1997 · 1.2K citations

, , +17

Measuring the effects of federal reserve forward guidance and asset purchases on financial markets

Eric T. Swanson · Journal of Monetary Economics · 2020 · 575 citations

, , +15

Alternative Theories of the Rate of Interest

John Maynard Keynes · The Economic Journal · 1937 · 529 citations

, , +16

1–5 of 313

Authors

472

  1. LE
    Lars E.O. Svensson

    Stockholm University, Sweden

    8 publications · 1.1K citations

    8

    h-index

  2. BE
    Belal E. Baaquie

    National University of Singapore, Singapore

    5 publications · 190 citations

    5

    h-index

  3. DB
    David Backus

    New York University, United States

    5 publications · 440 citations

    5

    h-index

  4. SK
    Sharon Kozicki

    Bank of Canada, Canada

    5 publications · 237 citations

    5

    h-index

  5. JH
    Jonathan H. Wright

    Johns Hopkins University, United States

    4 publications · 1.2K citations

    4

    h-index

1–5 of 472

Institutions

313

  1. Federal Reserve Board of Governors

    Washington D.C., United States

    13 h-index

    15 publications

    1.4K citations

  2. Federal Reserve

    Washington D.C., United States

    12 h-index

    14 publications

    1.4K citations

  3. National Bureau of Economic Research

    Cambridge, United States

    11 h-index

    16 publications

    1.9K citations

  4. International Monetary Fund

    Washington D.C., United States

    7 h-index

    7 publications

    431 citations

  5. New York University

    New York, United States

    5 h-index

    6 publications

    630 citations

  6. Bank of England

    London, United Kingdom

    5 h-index

    11 publications

    257 citations

  7. National University of Singapore

    Singapore, Singapore

    5 h-index

    8 publications

    292 citations

  8. The Ohio State University

    Columbus, United States

    4 h-index

    5 publications

    90 citations

1–8 of 313

Venues

  1. Journal of International Money and Finance

    23 publications · 1.9K citations

    20

    h-index

  2. SSRN Electronic Journal

    Repository · 29 publications · 1.6K citations

    19

    h-index

  3. The Journal of Finance

    19 publications · 1.3K citations

    16

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 12 publications · 1K citations

    10

    h-index

  5. Journal of money credit and banking

    9 publications · 492 citations

    9

    h-index

1–5