A forecast evaluation of the Riksbank's policy‐rate projections

Martin Nordström

Economic Notes, 2020, vol. 49, issue 3

Abstract: This paper evaluates the forecasting performance of the policy‐rate path published by the Swedish central bank, the Riksbank. Using data from 2007 to 2019, I find that the Riksbank's forecast has been relatively inaccurate compared to a forecast inferred from market pricing. My analysis indicates that this result is primarily driven by events during the period 2010–2014. This coincides with a period during which the Riksbank arguably “leaned against the wind” and a potential link is discussed in the paper.

Date: 2020
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https://doi.org/10.1111/ecno.12167

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