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The Norges Bank’s key rate projections and the news element of monetary policy

By Lars Winkelmann


This paper investigates the information content of the Norges Bank’s key rate projections. Wavelet spectrum estimates provide the basis for estimating jump probabilities of short- and long-term interest rates on monetary policy announcement days before and after the introduction of key rate projections. The behavior of short-term interest rates reveals that key rate projections have only little effects on market’s forecasting ability of current target rate changes. In contrast, longer-term interest rates indicate that the announcement of key rate projections has significantly reduced market participants’ revisions of the expected future policy path. Therefore, the announcement of key rate projections further improves central bank communication

Topics: Central bank communication, interest rate projections, wavelets, jump probabilities, 330 Wirtschaft, ddc:330
Publisher: Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
Year: 2010
OAI identifier: oai:edoc.hu-berlin.de:18452/4942
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