LIBOR forward curve
MacroVar analyzes the LIBOR forward curve to monitor the market’s expectations for the Federal Reserve’s monetary policy actions (rate hikes/cuts) and its effects on financial markets and the US economic outlook.
The 3-month USD LIBOR forward curve represents the market’s expectation of future fixings derived from trade data of Eurodollar Futures and LIBOR swap rates. The 3-month USD LIBOR forward curve reflects future expectations of Federal Open Market Committee (FOMC) policy.
|3||USD 3M LIBOR||0.140||0.210||0.210||0.290||0.385||0.550||0.660||0.800||1.020||1.155||1.270||1.385||1.495||1.590|
LIBOR forward curve (1 week)
|3||USD 3M LIBOR||0.000||0.005||0.005||0.005||0.005||0.025||0.025||0.025||0.030||0.045||0.050||0.060||0.065||0.065|
LIBOR forward curve prediction
The chart below presents historical data of LIBOR forward curve over the actual path LIBOR followed. The forward curve has been a very accurate predictor 6-months in advance, of market events.