The Relativity Theory Revisited: Is Publishing Interest Rate Forecasts Really so Valuable?

Brzoza‐Brzezina, Michał; Kot, Adam

doi:10.2139/ssrn.1752917

Cited by 12 publications

(11 citation statements)

References 22 publications

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“…Keynesian model depends on the central bank's ability to forecast demand and supply shocks, while Brzoza-Brzezina and Kot (2008) show that the benefits of publishing interest rate forecasts are marginal once other macroeconomic forecasts are provided. Blinder et al (2003) argue that agreeing on a specific interest rate path could be challenging in individualistic committees like e.g., the MPC at the Bank of England.…”

Section: Introductionmentioning

confidence: 99%

Forward Guidance Through Interest Rate Projections: Does It Work?

Brubakk¹,

Hong

Ellen³

2017

SSRN Journal

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Section: Introductionmentioning

confidence: 99%

Forward Guidance Through Interest Rate Projections: Does It Work?

Brubakk¹,

Hong

Ellen³

2017

SSRN Journal

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“…It is quite difficult for economic agents to forecast economic development. But once they are given, the forecast of inflation (or broader -macroeconomic forecast), they can much easily predict future level of the interest rates (Brzoza-Brzezina, Kot, 2008). The second reason is of an empirical nature: the interdependences of the forecast and policy path (instead of the central path of inflation) were also calculated in this research.…”

Section: Results and Commentsmentioning

confidence: 97%

Central Banks Inflation Forecast and Expectations. A Comparative Analysis

Szyszko¹

2017

Prague Economic Papers

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The question on the inflation expectations management is one of the most important ones from the central bank's point of view. The inflation forecast can be a helpful tool of managing expectations. If it actually is, the interdependences of the inflation forecast and expectations can be observed. The existence of such interdependences opens the field for determining the preconditions that might support expectations formation. The hypothesis assumes that associations of inflation forecasts and inflation expectations depend on the central bank's credibility and consistency in inflation forecast targeting. The research covers the Czech National Bank, the National Bank of Hungary, the National Bank of Poland and Sveriges Riksbank. The research combines qualitative and quantitative methods. The research uses survey-based expectations quantified with probabilistic method. The main finding is that the relatively high level of credibility and consistency in inflation forecast targeting is not sufficient to achieve strong interdependences of inflation forecast and expectations.

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“…The result could be herding behavior and overreaction to policy announcements. Morris and Shin (2002) Brzoza-Brzezina and Kot (2008) show that the benefits of publishing interest rate forecasts are marginal once macroeconomic forecasts are provided.…”

Section: Forward Guidance: the Theorymentioning

confidence: 99%

How Effective Is Central Bank Forward Guidance?

Kool¹,

Thornton²

2015

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In this paper, we use survey forecasts to investigate the impact of forward guidance on the predictability of future short-and long-term interest rates in four countries: New Zealand, Norway, Sweden, and the United States. New Zealand began providing forward guidance in 1997, Norway in 2005, and Sweden in 2007. The United States had two periods of implicit forward guidance: 2003-2005 and 2008-2011. Overall, we find little or no convincing evidence that forward guidance actually improves markets' ability to forecast future rates or that any improvement in forecasting short-term rates is reflected in longer-term yields. The weak support we do find is at the short end of the yield curve and at relatively short forecast horizons and only for Norway and Sweden. There is no evidence that forward guidance has increased the efficacy of monetary for New Zealand, the country with the longest-15-year-forward guidance history.

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The Relativity Theory Revisited: Is Publishing Interest Rate Forecasts Really so Valuable?

Cited by 12 publications

References 22 publications

Forward Guidance Through Interest Rate Projections: Does It Work?

Forward Guidance Through Interest Rate Projections: Does It Work?

Central Banks Inflation Forecast and Expectations. A Comparative Analysis

How Effective Is Central Bank Forward Guidance?

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