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

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Abstract

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.

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  • Beechey, Meredith & Österholm, Pär, 2013. "Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years," Working Papers 128, National Institute of Economic Research.
  • Handle: RePEc:hhs:nierwp:0128
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    2. Alan S. Blinder & Michael Ehrmann & Marcel Fratzscher & Jakob De Haan & David-Jan Jansen, 2008. "Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence," Journal of Economic Literature, American Economic Association, pages 910-945.
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    4. 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.
    5. Barot, Bharat & Yang, Zan, 2002. "House Prices and Housing Investment in Sweden and the United Kingdom: Econometric Analysis for the Period 1970-1998," Working Papers 80, National Institute of Economic Research.
    6. Url, Thomas, 1996. "Internationalists, Regionalists, or Eurocentrists," Working Papers 51, National Institute of Economic Research.
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    More about this item

    Keywords

    Monetary policy; Market expectations; Norges Bank; Sveriges Riksbank;

    JEL classification:

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

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