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Policy interest-rate expectations in Sweden: a forecast evaluation
Sveriges Riksbank, Stockholm, Sweden.
National Institute of Economic Research, Stockholm, Sweden.ORCID iD: 0000-0002-4840-7649
2014 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 21, no 14, p. 984-991Article in journal (Refereed) Published
Abstract [en]

In this article, we evaluate two types of Swedish policy interest-rate expectations: survey expectations and expectations inferred from market pricing. The data are drawn from the most prominent survey of financial-market economists and from Swedish financial markets, and they are carefully matched by date to ensure comparability. Results show that both kinds of expectations suffer from bias and inefficiency, and in terms of forecast precision there is no clear winner. We do find, though, evidence that the forecast accuracy of both kinds of policy-rate expectations has improved since the Riksbank started publishing its own policyrate forecast, suggesting that this communication strategy has been beneficial from a policy perspective.

Place, publisher, year, edition, pages
Taylor & Francis, 2014. Vol. 21, no 14, p. 984-991
Keywords [en]
Survey data, Monetary policy, Sveriges Riksbank
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:oru:diva-61611DOI: 10.1080/13504851.2014.904480ISI: 000337687400008Scopus ID: 2-s2.0-84902378755OAI: oai:DiVA.org:oru-61611DiVA, id: diva2:1150095
Available from: 2017-10-17 Created: 2017-10-17 Last updated: 2017-10-19Bibliographically approved

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Österholm, Pär

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