Central bank policy paths and market forward rates: A simple model

Ferre De Graeve and Jens Iversen ()
Additional contact information
Jens Iversen: Monetary Policy Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden

No 303, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: Increasingly many central banks announce likely paths for future policy rates. Re- cent experience suggest that market forward rates can differ substantially from those announced. Models commonly adopted in policy analysis ignore such differences. This paper studies a simple model that can capture deviations between announced paths and market forward rates. We detail the macroeconomic transmission of such deviations both in the model and in the data and show how the model can inform policy deliberations.

Keywords: Policy path; forward rate; forward guidance (search for similar items in EconPapers)
JEL-codes: E43 E44 E58 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2015-06-01
New Economics Papers: this item is included in nep-cba, 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.riksbank.se/Documents/Rapporter/Working ... rap_wp303_150701.pdf (application/pdf)

Related works:
Journal Article: Central Bank Policy Paths and Market Forward Rates: A Simple Model (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0303

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