文章基本信息

标题：On the consistency of central banks´ interest rate forecasts
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作者：Jin-Kyu Jung ; Michael Frenkel ; Jan-Christoph Rülke 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2019
卷号：39
期号：1
页码：1-17
出版社：Economics Bulletin
摘要：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.