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A forecast evaluation of the Riksbank's policy‐rate projections

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  • Martin Nordström

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.

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  • Martin Nordström, 2020. "A forecast evaluation of the Riksbank's policy‐rate projections," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(3), September.
    • Handle: RePEc:bla:ecnote:v:49:y:2020:i:3:n:e12167
    DOI: 10.1111/ecno.12167
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