The Effect of the Zero Lower Bound, Forward Guidance and Unconventional Monetary Policy on Interest Rate Sensitivity to Economic News in Sweden

Moessner, Richhild; Haan, Jakob de; Jansen, David‐Jan

doi:10.2139/ssrn.2386705

Cited by 3 publications

(1 citation statement)

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“…A reduction in the sensitivity of market interest rates to domestic economic news with the introduction of the publication of interest rate forecasts would therefore provide evidence that financial market participants interpret the forecast as conditional. Moessner et al (2014) find that the sensitivity of interest rate swaps to Swedish macroeconomic news was not significantly affected by the Riksbank's introduction of the publication of interest rate forecasts, suggesting that the conditionality of the communication was understood by market participants and that it was not interpreted as Odyssean. Similarly, Moessner and Nelson (2008) find no evidence that market participants systematically overweight interest rate forecasts published by the Reserve Bank of New Zealand or that they do not appreciate the uncertainty and conditionality of it.…”

Section: Conditionality Of Forecastsmentioning

confidence: 89%

Communication About Future Policy Rates in Theory and Practice: A Survey

2015

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We discuss the theoretical rationale for central bank communication about future policy rates as part of inflation targeting or of forward guidance. We also summarize actual central bank communication about future policy rates in major advanced countries as well as empirical evidence on the effectiveness of both types of communication. We argue that there is a disconnect between the theory and practice of forward guidance, with theory assuming commitment by the central bank, while in practice central banks generally do not commit. Future theoretical research on forward guidance should therefore take the absence of commitment by central banks into account.

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Section: Conditionality Of Forecastsmentioning

confidence: 89%