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On the consistency of central banks´ interest rate forecasts

Author

Listed:
  • Jin-Kyu Jung

    (WHU - Otto Beisheim School of Management)

  • Michael Frenkel

    (WHU - Otto Beisheim School of Management)

  • Jan-Christoph Rülke

    (EBS Universitaet fuer Wirtschaft und Recht)

Abstract

In this paper, we derive internal consistency restrictions on short-term and long-term interest rate forecasts as published by the central banks of the Czech Republic, New Zealand, Norway and Sweden. We find different degrees of forecast consistency across these countries and also document that consistency is more apparent among short-term forecasts compared to long-term forecasts. Our results are robust when taking a more complex lag structure and more consistency restrictions into account. These results offer interesting policy implications as central banks´ interest rate forecasts can be regarded as an important instrument of central bank communication.

Suggested Citation

  • Jin-Kyu Jung & Michael Frenkel & Jan-Christoph Rülke, 2019. "On the consistency of central banks´ interest rate forecasts," Economics Bulletin, AccessEcon, vol. 39(1), pages 701-716.
    • Handle: RePEc:ebl:ecbull:eb-18-00828
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Central bank communication; forecasts; interest rates; internal consistency;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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