Norges Bank

Working Paper

Forecasting macroeconomic variables using disaggregate survey data

Kjetil Martinsen, Francesco Ravazzolo, and Fredrik Wulfsberg
Working Paper

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 autoregressive benchmark in forecasting inflation and unemployment rate. However, the factor models are most successful in forecasting GDP growth.  Forecast combinations based on past performance give in most cases more accurate forecasts than the benchmark, but they never give the most accurate forecasts.

Norges Bank’s working papers present research projects and reports that are generally not in their final form. Other analyses by Norges Bank’s economists are also included in the series. The views and conclusions in these documents are those of the authors.

Norges Bank’s Working Papers are also distributed by RepEcSSRN and BIS Central Bank Research Hub.

ISSN 1502-8190 (online)

Published 11 April 2011 14:00
Published 11 April 2011 14:00