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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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:
Contact details of provider:
Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
Phone: 46-(0)8-453 59 00
Fax: 46-(0)8-453 59 80
Web page: http://www.konj.se/
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.:
- 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.
- 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.
- Öller, Lars-Erik & Barot, Bharat, 1999. "Comparing the Accuracy of European GDP Forecasts," Working Paper 64, National Institute of Economic Research.
- Huhtala, Anni & Samakovlis, Eva, 2003. "Green Accounting, Air Pollution and Health," Working Paper 82, National Institute of Economic Research.
- 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.
- Url, Thomas, 1996. "Internationalists, Regionalists, or Eurocentrists," Working Paper 51, National Institute of Economic Research.
- Gren, Ing-Marie, 2003. "Monetary Green Accounting and Ecosystem Services," Working Paper 86, National Institute of Economic Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Henrik Hellström).
If references are entirely missing, you can add them using this form.