Working Papers, Konjunkturinstitutet - National Institute of Economic Research
Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years
() and Pär Österholm
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.
Keywords: Monetary policy; Market expectations; Norges Bank; Sveriges Riksbank; (follow links to similar papers)
JEL-Codes: E52; (follow links to similar papers)
32 pages, January 22, 2013
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