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 DP2012/03, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: 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
Date: 2012-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33) Track citations by RSS feed

Downloads: (external link)
http://www.rbnz.govt.nz/-/media/ReserveBank/Files/ ... pers/2012/dp12-3.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 (2011) 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:nzb:nzbdps:2012/03

Access Statistics for this paper

More papers in Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Reserve Bank of New Zealand Knowledge Centre ().

 
Page updated 2020-01-17
Handle: RePEc:nzb:nzbdps:2012/03