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

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  • Meredith Beechey
  • Pär Österholm

Abstract

type="main"> 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.

Suggested Citation

  • Meredith Beechey & Pär Österholm, 2014. "Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 63-78, February.
    • Handle: RePEc:bla:ecnote:v:43:y:2014:i:1:p:63-78
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    Cited by:

    1. Natvik, Gisle J. & Rime, Dagfinn & Syrstad, Olav, 2020. "Does publication of interest rate paths provide guidance?," Journal of International Money and Finance, Elsevier, vol. 103(C).
    2. Helder Ferreira de Mendonça & João Pedro Neves Maia, 2022. "Interest rate expectations based on Taylor rule versus central bank’s survey: which performs better in a large emerging economy?," Applied Economics, Taylor & Francis Journals, vol. 54(39), pages 4532-4544, August.

    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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