Forecasting Macroeconomic Variables Using Disaggregate Survey Data
School of Business, Oslo and Akershus University College of Applied Sciences; Norwegian School of Management (BI) - Department of Economics
Norges Bank; BI Norwegian Business School
April 7, 2011
Norges Bank Working Paper 2011/04
We assess the forecast ability of Norges Bank’s regional survey for inflation, GDP growth and the unemployment rate in Norway. We propose several factor models based on regional and sectoral information given by the survey. The analysis identifies which information extracted from the ten sectors and the seven regions performs particularly well at forecasting different variables and horizons. Results show that several factor models beat an auto-regressive benchmark in forecasting inflation and unemployment rate. However, the factor models are most successful in forecasting GDP growth. Forecast combinations based on past performances give, in most cases, more accurate forecasts than the benchmark, but they never give the most accurate forecasts.
Number of Pages in PDF File: 37
Keywords: Factor models, macroeconomic forecasting, qualitative survey data
JEL Classification: C53, C80
Date posted: May 28, 2011 ; Last revised: April 13, 2013
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