Overnight indexed swap-implied interest rate expectations

Overnight indexed swap (OIS) rates are regularly used to measure interest rate expectations. But how suitable are they? What tenors can we rely on? Assessing their performance in the US, UK, Eurozone and Japan, I find they provide broadly reliable measures of rate expectations out to around the 2-year tenor. Beyond these horizons, they contain persistent premia that complicate their use.

Automated summary

OIS rates are commonly used to measure interest rate expectations, providing reliable measures up to a 2-year tenor. However, beyond this timeframe, they contain persistent premiums that complicate their usability.