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Estimating market expectations of changes in Bank Rate

Author

Listed:
  • Elliott, David

    (Bank of England)

  • Noss, Joseph

    (Bank of England)

Abstract

The Bank uses a variety of methods to extract information about market participants’ expectations of the future path of Bank Rate. This article examines some techniques for estimating, using market prices, market expectations of the timing of future changes in Bank Rate and the probability of Bank Rate being changed within a given period of time. These techniques are useful because the expected timing of changes in Bank Rate cannot be directly inferred from the mean expected path of the level of Bank Rate.

Suggested Citation

  • Elliott, David & Noss, Joseph, 2015. "Estimating market expectations of changes in Bank Rate," Bank of England Quarterly Bulletin, Bank of England, vol. 55(3), pages 273-282.
  • Handle: RePEc:boe:qbullt:0182
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    References listed on IDEAS

    as
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    5. Jackson, Christopher & Sim , Mathew, 2013. "Recent developments in the sterling overnight money market," Bank of England Quarterly Bulletin, Bank of England, vol. 53(3), pages 223-233.
    6. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
    7. Andreasen, Martin M & Meldrum, Andrew, 2015. "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers 541, Bank of England.
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