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Policy Interest-Rate Expectations in Sweden: A Forecast Evaluation

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  • Beechey, Meredith

    ()
    (Sveriges Riksbank)

  • Österholm, Pär

    ()
    (National Institute of Economic Research)

Abstract

In this paper, we evaluate two types of Swedish policy interest-rate ex-pectations: survey expectations and expectations inferred from market pricing. The data are drawn from the most prominent survey of finan-cial-market economists and from Swedish financial markets and the data are carefully matched by date to ensure comparability. Results show that both kinds of expectations suffer from bias and inefficiency and in terms of forecast precision there is no clear winner. We do find, though, evi-dence that the forecast accuracy of both kinds of policy-rate expectations has improved since the Riksbank started publishing its own policy-rate forecast, suggesting that this communication strategy has been beneficial from a policy perspective.

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Bibliographic Info

Paper provided by National Institute of Economic Research in its series Working Paper with number 127.

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Length: 23 pages
Date of creation: 30 Nov 2012
Date of revision:
Handle: RePEc:hhs:nierwp:0127

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Keywords: Survey data; Monetary policy; Sveriges Riksbank;

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References

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