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Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years
Author(s) -
Beechey Meredith,
Österholm Pär
Publication year - 2014
Publication title -
economic notes
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.274
H-Index - 19
eISSN - 1468-0300
pISSN - 0391-5026
DOI - 10.1111/ecno.12012
Subject(s) - economics , interest rate , central bank , econometrics , monetary policy , financial economics , monetary economics
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.