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Jin-Kyu Jung, Michael Frenkel and Jan-Christoph Rülke |
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''On the consistency of central banks´ interest rate forecasts'' |
( 2019, Vol. 39 No.1 ) |
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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. |
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Keywords: Central bank communication, forecasts, interest rates, internal consistency |
JEL: E4 - Money and Interest Rates: General E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
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Manuscript Received : Oct 19 2018 | | Manuscript Accepted : Mar 28 2019 |
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