Norges Bank

Staff Memo

A statistical analysis of Norges Bank’s forecasts

Kåre Hagelund and Eilert Husabø
Staff Memo

In this paper, we perform a statistical analysis of the forecasting properties of Norges Bank’s macroeconomic forecasts in the period 1998 – 2019. As a part of the analysis we assess Norges Bank’s forecasts against similar forecasts by Statistics Norway and forecasts from simple models. The review shows that Norges Bank’s projections have stood up well compared with Statistics Norway’s projections and have generally been better than forecasts from simple models, especially in the short run. The projections were for the most part unbiased, but for wages and CPI inflation adjusted for tax changes and excluding energy prices (CPI-ATE), the projections were too high one and two years ahead. The productivity growth projections were too high at all horizons. Exchange rate projections based on "random walk" models were better than Norges Bank’s projections.

Staff Memos present reports and documentation written by staff members and affiliates of Norges Bank, the central bank of Norway. Views and conclusions expressed in Staff Memos should not be taken to represent the views of Norges Bank.

ISSN 1504-2596 (online)

Published 31 March 2022 13:40
Published 31 March 2022 13:40