The information content of central bank interest rate projections -- evidence from New Zealand

Release date
03/03/2012
Reference
DP2012/03
Authors
Gunda-Alexandra Detmers; Dieter Nautz
Published as
Detmers, Gunda-Alexandra and Nautz Dieter (2012). ‘The information content of central bank interest rate projections: Evidence from New Zealand’, The Economic Record, The Economic Society of Australia, Volume 88(282), Pages 323-329, DOI: https://doi.org/10.1111/j.1475-4932.2012.00813.x.

The Reserve Bank of New Zealand was the first central bank to publish interest rate projections as a tool for forward guidance of monetary policy. This paper provides new evidence on the information content of interest rate projections for market expectations about future short-term rates before and during the financial crisis. While the information content of interest rate projections decreases with the forecast horizon in both periods, we find that their impact on market expectations has declined significantly since the outbreak of the crisis.