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.

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LIBOR forward curve (1 week)

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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.

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