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Central bank forecasts of policy interest rates: An evaluation of the first years
Sveriges Riksbank, Stockholm, Sweden.
National Institute of Economic Research, Stockholm, Sweden.ORCID iD: 0000-0002-4840-7649
2014 (English)In: Economic notes - Monte dei Paschi di Siena, ISSN 0391-5026, E-ISSN 1468-0300, Vol. 43, no 1, p. 63-78Article in journal (Refereed) Published
Abstract [en]

In recent years, the central banks of Norway and Sweden have published their endogenous policy interest‐rate forecasts. In this paper, we evaluate those forecasts alongside policy‐rate expectations inferred from market pricing. We find that for both economies, there are only small differences in relative forecasting precision between the central bank and market‐implied measures. However, both types of forecast fail tests for unbiasedness and efficiency at longer horizons.

Place, publisher, year, edition, pages
John Wiley & Sons, 2014. Vol. 43, no 1, p. 63-78
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:oru:diva-61624DOI: 10.1111/ecno.12012Scopus ID: 2-s2.0-84892556015OAI: oai:DiVA.org:oru-61624DiVA, id: diva2:1150110
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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