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

Meredith Beechey () and Pär Österholm

No 128, Working Papers from National Institute of Economic Research

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 (search for similar items in EconPapers)
JEL-codes: E52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2013-01-22
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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Related works:
Journal Article: Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:nierwp:0128

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