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Konjunkturinstitutet - National Institute of Economic Research Working Papers, Konjunkturinstitutet - National Institute of Economic Research

No 127:
Policy Interest-Rate Expectations in Sweden: A Forecast Evaluation

Meredith Beechey () and Pär Österholm ()

Abstract: In this paper, we evaluate two types of Swedish policy interest-rate ex-pectations: survey expectations and expectations inferred from market pricing. The data are drawn from the most prominent survey of finan-cial-market economists and from Swedish financial markets and the data are carefully matched by date to ensure comparability. Results show that both kinds of expectations suffer from bias and inefficiency and in terms of forecast precision there is no clear winner. We do find, though, evi-dence that the forecast accuracy of both kinds of policy-rate expectations has improved since the Riksbank started publishing its own policy-rate forecast, suggesting that this communication strategy has been beneficial from a policy perspective.

Keywords: Survey data; Monetary policy; Sveriges Riksbank; (follow links to similar papers)

JEL-Codes: E47; E52; (follow links to similar papers)

23 pages, November 30, 2012

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