Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years
AbstractIn recent years the central banks of Norway and Sweden have published their endogenous policy interest-rate forecasts. In this paper, we evaluate those forecasts alongside policy-rate expectations inferred from market pricing. We find that for both economies there are only small differences in relative forecasting precision between the central bank and market-implied measures. However, both types of forecast fail tests for unbiasedness and efficiency at longer horizons.
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Bibliographic InfoPaper provided by National Institute of Economic Research in its series Working Paper with number 128.
Length: 32 pages
Date of creation: 22 Jan 2013
Date of revision:
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Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
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More information through EDIRC
Monetary policy; Market expectations; Norges Bank; Sveriges Riksbank;
Find related papers by JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
- NEP-CBA-2013-03-09 (Central Banking)
- NEP-FOR-2013-03-09 (Forecasting)
- NEP-MAC-2013-03-09 (Macroeconomics)
- NEP-MON-2013-03-09 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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