Central Bank Forecasts of Policy Interest Rates - Konjunkturinstitutet

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NIER prepares analyses and forecasts of the Swedish and international economy and conductsrelated research. NIER is a government agency accountable to the Ministry of Financeand is financed largely by Swedish government funds. Like other governmentagencies, NIER has an independent status and is responsible for the assessments that itpublishes.The Working Paper series consists of publications of research reports and other detailedanalyses. The reports may concern macroeconomic issues related to the forecasts of theinstitute, research in environmental economics, or problems of economic and statisticalmethods. Some of these reports are published in their final form in this series, whereasothers are previews of articles that are subsequently published in international scholarlyjournals under the heading of Reprints. Reports in both of these series can be ordered freeof charge. Most publications can also be downloaded directly from the NIER home page.KONJUNKTURINSTITUTET, KUNGSGATAN 12-14, BOX 3116, SE-103 62 STOCKHOLMTEL: +46 8 453 59 00 FAX: +46 8 453 59 80E-MAIL: KI@KONJ.SE HOMEPAGE: WWW.KONJ.SEISSN 1100-7818
AbstractIn recent years the central banks of Norway and Sweden have published their endogenouspolicy interest-rate forecasts. In this paper, we evaluate those forecasts alongsidepolicy-rate expectations inferred from market pricing. We find that for both economiesthere are only small differences in relative forecasting precision between the central bankand market-implied measures. However, both types of forecast fail tests for unbiasednessand efficiency at longer horizons.JEL Classification: E52Keywords: Monetary policy, Market expectations, Norges Bank, Sveriges Riksbank
Page 1: Working PaperNo. 128. Januari 2013C
Page 6 and 7: Summary in SwedishPå senare år ha
Page 9 and 10: 71. IntroductionCentral bank transp
Page 11 and 12: 9Figure 1. Policy interest rates in
Page 13 and 14: 11Table 1. RMSEs and results from t
Page 15 and 16: 13wheree are the forecast errors of
Page 17 and 18: 15However, both central-bank projec
Page 19 and 20: 17Rudebusch, G. D. (2008), “Publi
Page 21 and 22: 19Figure A3. Forecast errors at the
Page 23 and 24: 21Figure A7. Forecast errors at the
Page 25 and 26: 20 Gorton, Gary andRichard RosenCor
Page 27 and 28: 54 Östblom, Göran Emissions to th
Page 29 and 30: 90 Henrik Braconier, A New Method f
Page 31 and 32: 124 Patrik Baard, HenrikCarlsen, Ka

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