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

Meredith Beechey and Pär Österholm

Economic Notes, 2014, vol. 43, issue 1, 63-78

Abstract: type="main">

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.

Date: 2014
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Working Paper: Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years (2013)
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