Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years. (February 2014)

• Record Type: Journal Article
• Authors: Beechey, Meredith; Österholm, Pär
• Is Part Of: Economic notes. Volume 43:Number 1(2014:Feb.)
• Page Start: 63
• Page End: 78
• Publication Date: 2014-02
• Subjects: Economics -- Periodicals; 330.9
• DOI: 10.1111/ecno.12012
• Languages: English
• ISSNs: 0391-5026

Abstract

<abstract abstract-type="main"> <title> <x xml:space="preserve">Abstract</x> </title> <sec id="ecno12012-sec-0001" sec-type="section"> <p>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.</p> </sec> </abstract>