Policy Interest-Rate Expectations in Sweden: A Forecast Evaluation

Meredith Beechey () and Pär Österholm ()
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Pär Österholm: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden, http://www.konj.se

No 127, Working Papers from National Institute of Economic Research

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 (search for similar items in EconPapers)
JEL-codes: E47 E52 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2012-11-30
New Economics Papers: this item is included in nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.konj.se/download/18.2fd2f1a815162e6a74e ... ecast-Evaluation.pdf (application/pdf)

Related works:
Journal Article: Policy interest-rate expectations in Sweden: a forecast evaluation (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:nierwp:0127

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