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The information content of central bank interest rate projections: Evidence from New Zealand

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Abstract

The Reserve Bank of New Zealand was the first central bank to publish interest rate projections as a tool for forward guidance of monetary policy. This paper provides new evidence on the information content of interest rate projections for market expectations about future short-term rates before and during the financial crisis. While the information content of interest rate projections decreases with the forecast horizon in both periods, we find that their impact on market expectations has declined significantly since the outbreak of the crisis.

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File URL: http://www.rbnz.govt.nz/research_and_publications/discussion_papers/2012/dp12_3.pdf
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Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2012/03.

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Length: 18 p.
Date of creation: Feb 2012
Date of revision:
Handle: RePEc:nzb:nzbdps:2012/03

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  1. Cruijsen, C.A.B. van der & Eijffinger, S.C.W. & Hoogduin, L.H., 2010. "Optimal Central Bank transparency," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4163962, Tilburg University.
  2. Guthrie, Graeme & Wright, Julian, 2000. "Open mouth operations," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 489-516, October.
  3. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
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