The information content of central bank interest rate projections: Evidence from New Zealand
Gunda-Alexandra Detmers and
Dieter Nautz ()
No DP2012/03, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand
The Reserve Bank of New Zealand was the first central bank to publish interest rate projections as a tool for forward guidance of monetary policy. This paper provides new evidence on the information content of interest rate projections for market expectations about future short-term rates before and during the financial crisis. While the information content of interest rate projections decreases with the forecast horizon in both periods, we find that their impact on market expectations has declined significantly since the outbreak of the crisis.
JEL-codes: E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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http://www.rbnz.govt.nz/-/media/ReserveBank/Files/ ... pers/2012/dp12-3.pdf
Journal Article: The Information Content of Central Bank Interest Rate Projections: Evidence from New Zealand (2012)
Working Paper: The information content of central bank interest rate projections: Evidence from New Zealand (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbdps:2012/03
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