Announcements of Interest Rate Forecasts: Do Policymakers Stick to Them?
AbstractIf central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this “forecast adherence” has influenced the monetary policies of the Reserve Bank of New Zealand and the Norges Bank, the two central banks with the longest history of publishing interest rate paths. We derive and estimate a policy rule for a central bank that is reluctant to deviate from its forecasts. The rule can nest a variety of interest rate rules. We find that policymakers appear to be constrained by their most recently announced forecasts.
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Bibliographic InfoPaper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1303.
Length: 40 pages
Date of creation: Apr 2013
Date of revision:
Interest rates; forecasts; Taylor rule; adherence.;
Other versions of this item:
- Nikola Mirkov & Gisle James Natvik, 2013. "Announcements of interest rate forecasts: Do policymakers stick to them?," Working Paper 2013/11, Norges Bank.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-31 (All new papers)
- NEP-CBA-2013-08-31 (Central Banking)
- NEP-FOR-2013-08-31 (Forecasting)
- NEP-MAC-2013-08-31 (Macroeconomics)
- NEP-MON-2013-08-31 (Monetary Economics)
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