Estimating Market Expectations of Changes in Bank Rate

10 Pages Posted: 1 Oct 2015  

David Elliott

Bank of England

Joseph Noss

Bank of England

Date Written: September 18, 2015

Abstract

The Bank uses a variety of methods to extract information about market participants’ expectations of the future path of Bank Rate. This article examines some techniques for estimating, using market prices, market expectations of the timing of future changes in Bank Rate and the probability of Bank Rate being changed within a given period of time. These techniques are useful because the expected timing of changes in Bank Rate cannot be directly inferred from the mean expected path of the level of Bank Rate.

Suggested Citation

Elliott, David and Noss, Joseph, Estimating Market Expectations of Changes in Bank Rate (September 18, 2015). Bank of England Quarterly Bulletin 2015 Q3. Available at SSRN: https://ssrn.com/abstract=2667487

David Elliott (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Joseph Noss

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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