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Forecasting Macroeconomic Variables Using Disaggregate Survey Data

Fredrik Wulfsberg

Oslo Business School

Francesco Ravazzolo

Free University of Bolzano

Kjetil Martinsen

Norges Bank

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

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Date posted: May 28, 2011 ; Last revised: April 13, 2013

Suggested Citation

Wulfsberg, Fredrik and Ravazzolo, Francesco and Martinsen, Kjetil, Forecasting Macroeconomic Variables Using Disaggregate Survey Data (April 7, 2011). Norges Bank Working Paper 2011/04 . Available at SSRN: https://ssrn.com/abstract=1847595 or http://dx.doi.org/10.2139/ssrn.1847595

Contact Information

Fredrik Wulfsberg
Oslo Business School ( email )
Pilestredet 35
Oslo, 0557
Francesco Ravazzolo (Contact Author)
Free University of Bolzano ( email )
Kjetil Martinsen
Norges Bank ( email )
P.O. Box 1179
Oslo, N-0107

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