Scandinavian Working Papers in Economics

Working Papers,
National Institute of Economic Research

No 128: Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years

Meredith Beechey () and Pär Österholm ()
Additional contact information
Meredith Beechey: Sveriges Riksbank, Postal: Sveriges Riksbank, 103 37 Stockholm , Sweden
Pär Österholm: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden

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

JEL-codes: E52

32 pages, January 22, 2013

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