TAILIEUCHUNG - The information content of central bank interest rate projections: Evidence from New Zealand - 2012

We test three hypotheses concerning the impact of loan market competition on euro area banks’ loan and deposit rates. First, we examine the effect of loan market competition on the level on bank loan and deposit rates; second, using a panel error-correction model (ECM) we estimate the effect of loan market competition on the long-run equilibrium pass-through of bank interest rates to changes in corresponding market interest rates; third, we also test the impact of competition in the loan market on the immediate adjustment of bank interest rates to changes in market interest rates | RESERVE BANK OF NEW ZEALAND DP2012 03 The information content of central bank interest rate projections Evidence from New Zealand Gunda-Alexandra Detmers and Dieter Nautz February 2012 JEL classification E52 E58 research discusspapers Discussion Paper Series ISSN 1177-7567 DP2012 03 The information content of central bank interest rate projections Evidence from New Zealand Gunda-Alexandra Detmers and Dieter Nautzy Abstract 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. The Reserve Bank of New Zealand s discussion paper series is externally refereed. The views expressed in this paper are those of the author s and do not necessarily reflect the views of the Reserve Bank of New Zealand. This research was supported by the German Research Foundation through the CRC 649 Economic Risk . The research was partly conducted while the authors were visitors of the Reserve Bank of New Zealand. We thank seminar participants at the Reserve Bank and in particular Ozer Karagedikli and Leo Krippner for helpful comments and suggestions. Freie Universitat Berlin Department of Economics Boltzmannstrafie 20 D-14195 Berlin Germany. E-mail ISSN 1177-7567 Reserve Bank of New Zealand 1 Introduction Central banks take different views on how to manage expectations about future monetary policy. In particular it is not clear to what extent central banks should reveal information about the policy-intended future interest .

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