A forecast evaluation of the Riksbank's policy‐rate projections. (17th May 2020)

• Record Type: Journal Article
• Authors: Nordström, Martin
• Is Part Of: Economic notes. Volume 49:Number 3(2020)
• Page Start: n/a
• Page End: n/a
• Publication Date: 2020-05-17
• Subjects: Economics -- Periodicals; 330.9
• DOI: 10.1111/ecno.12167
• Languages: English
• ISSNs: 0391-5026

Abstract

Abstract: This paper evaluates the forecasting performance of the policy‐rate path published by the Swedish central bank, the Riksbank. Using data from 2007 to 2019, I find that the Riksbank's forecast has been relatively inaccurate compared to a forecast inferred from market pricing. My analysis indicates that this result is primarily driven by events during the period 2010–2014. This coincides with a period during which the Riksbank arguably "leaned against the wind" and a potential link is discussed in the paper.