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Market expectations of the Official Cash Rate

Author

Listed:
  • Leo Krippner
  • Michael Gordon

    (Reserve Bank of New Zealand)

Abstract

The Reserve Bank is interested in expectations of the official cash rate that are held by financial market participants. In this article we discuss two formal methods by which the Bank measures these expectations; a direct survey of market surveys, and extracting OCR expectations indirectly from financial market prices.

Suggested Citation

  • Leo Krippner & Michael Gordon, 2001. "Market expectations of the Official Cash Rate," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 64, June.
    • Handle: RePEc:nzb:nzbbul:june2001:3
    as

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    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Bulletins/2001/2001jun64-2KrippnerGordon.pdf
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    References listed on IDEAS

    as
    1. Andy Brookes & Tim Hampton, 2000. "The Official Cash Rate one year on," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 63, June.
    2. David Archer & Andy Brookes & Michael Reddell, 1999. "A cash rate system for implementing monetary policy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 62, March.
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    Citations

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    Cited by:

    1. Aron Drew & Özer Karagedikli, 2007. "Some Benefits of Monetary-Policy Transparency in New Zealand," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
    2. Aron Gereben, 2002. "Extracting market expectations from option prices?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 65, March.
    3. Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand.

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