EconPapers    
Economics at your fingertips  
 

The information content of central bank interest rate projections: Evidence from New Zealand

Gunda-Alexandra Detmers and Dieter Nautz ()

No SFB649DP2011-032, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: The Reserve Bank of New Zealand (RBNZ) has been the first central bank that began to publish interest rate projections in order to improve its guidance of monetary policy. This paper provides new evidence on the role of interest rate projections for market expectations about future shortterm rates and the behavior of long-term interest rates in New Zealand. We find that interest rate projections up to four quarters ahead play a significant role for the RBNZs expectations management before the crisis, while their empirical relevance has decreased ever since. For interest rate projections at longer horizons, the information content seems to be only weak and partially destabilizing.

Keywords: Central bank interest rate projections; central bank communication; expectations management of central banks (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2011-06
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 (11) Track citations by RSS feed

Downloads: (external link)
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-032.pdf (application/pdf)

Related works:
Journal Article: The Information Content of Central Bank Interest Rate Projections: Evidence from New Zealand (2012) Downloads
Working Paper: The information content of central bank interest rate projections: Evidence from New Zealand (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2011-032

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649 Contact information at EDIRC.
Bibliographic data for series maintained by RDC-Team ().

 
Page updated 2020-01-26
Handle: RePEc:hum:wpaper:sfb649dp2011-032