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Title:The information content of central bank interest rate projections: Evidence from New Zealand PDF Logo
Authors:Detmers, Gunda-Alexandra
Nautz, Dieter
Issue Date:2011
Series/Report no.:SFB 649 discussion paper 2011-032
Abstract:The Reserve Bank of New Zealand (RBNZ) has been the first central bank that began to publish interest rate projections in order to improve its guidance of monetary policy. This paper provides new evidence on the role of interest rate projections for market expectations about future short-term rates and the behavior of long-term interest rates in New Zealand. We find that interest rate projections up to four quarters ahead play a significant role for the RBNZs expectations management before the crisis, while their empirical relevance has decreased ever since. For interest rate projections at longer horizons, the information content seems to be only weak and partially destabilizing.
Subjects:central bank interest rate projections
central bank communication
expectations management of central banks
JEL:E52
E58
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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