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England gained more operational independence and the long-term ináation target was known, the dynamics of the long-term forward rate was more stable. Orphanides andWilliams (2003) demonstrate also on a theoretical basis how the observed overreaction of long-term interest rates to the short-term interest rate could be explained by the presence of imperfect knowledge and a perpetual learning process by agents about the structure of the economy and the policymaker preferences. Hence, these two features increase the sensitivity of ináation expectations and of the termstructure of interest rates to temporary economic shocks. As shown by Orphanides andWilliams (2002), the imperfect knowledge is also responsible for the possible disconnection between the publicís. | SFB 649 Discussion Paper 2011-032 The information content of central bank interest rate projections Evidence from New Zealand Gunda-Alexandra Detmers Dieter Nautz Freie Universitat Berlin Germany This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 Economic Risk . http sfb649.wiwi.hu-berlin.de ISSN 1860-5664 SFB 649 Humboldt-Universitat zu Berlin Spandauer StraBe 1 D-10178 Berlin SFB 6 4 9 E C O N O M I C R I S K B E R L I N The information content of central bank interest rate projections Evidence from New Zealand Gunda-Alexandra Detmers and Dieter Nautz Freie Universitat Berlin June 3 2011 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 shortterm 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. Keywords Central bank interest rate projections central bank communication expectations management of central banks. JEL classification E52 E58 This research was supported by the German Research Foundation through the CRC 649 Economic Risk . We thank Alfred Guender Ozer Karagedikli seminar participants at the Bundesbank and at the FFM conference 2011 in Marseille for helpful comments. Department of Economics Boltzmannstrafie 20 D-14195 Berlin Germany. E-mail gunda-alexandra.detmers@fu-berlin.de dieter.nautz@fu-berlin.de 1 Introduction Central banks take different views on how to manage expectations about future monetary policy. While most central banks have made several .
