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Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years

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  • Beechey, Meredith

    ()
    (Sveriges Riksbank)

  • Österholm, Pär

    ()
    (National Institute of Economic Research)

Abstract

In 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 Info

Paper provided by National Institute of Economic Research in its series Working Paper with number 128.

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Length: 32 pages
Date of creation: 22 Jan 2013
Date of revision:
Handle: RePEc:hhs:nierwp:0128

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Keywords: Monetary policy; Market expectations; Norges Bank; Sveriges Riksbank;

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  1. Eriksson, Kimmo & Karlander, Johan & Öller, Lars-Erik, 1997. "Hierarchical Assignments: Stability and Fairness," Working Paper Series in Economics and Finance 201, Stockholm School of Economics.
  2. Barot, Bharat & Yang, Zan, 2002. "House Prices and Housing Investment in Sweden and the United Kingdom: Econometric Analysis for the Period 1970-1998," Working Paper 80, National Institute of Economic Research.
  3. Öller, Lars-Erik & Barot, Bharat, 1999. "Comparing the Accuracy of European GDP Forecasts," Working Paper 64, National Institute of Economic Research.
  4. Huhtala, Anni & Samakovlis, Eva, 2003. "Green Accounting, Air Pollution and Health," Working Paper 82, National Institute of Economic Research.
  5. Baghestani, Hamid, 2008. "Federal Reserve versus private information: Who is the best unemployment rate predictor," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 101-110.
  6. Url, Thomas, 1996. "Internationalists, Regionalists, or Eurocentrists," Working Paper 51, National Institute of Economic Research.
  7. Gren, Ing-Marie, 2003. "Monetary Green Accounting and Ecosystem Services," Working Paper 86, National Institute of Economic Research.
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