Does Forecast Combination Improve Norges Bank Inflation Forecasts?

Arbeitspapier

We develop a system that provides model-based forecasts for inflation in Norway. Forecasts are recursively evaluated from 1999 to 2008. The performance of the models over this period is then used to derive weights that are used to combine the forecasts. Our results indicate that model combination improves upon the point forecasts from individual models. Furthermore, when comparing the whole forecasting period; model combination outperforms Norges Banks own point forecast for inflation at the forecast horizon up to a year. By using a suite of models we allow for a greater range of modelling techniques and data to be used in the forecasting process.

Object Details

• ISBN: 978-82-7553-483-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2009/01

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Money and Interest Rates: Forecasting and Simulation: Models and Applications
• Subject: forecasting ; forecast combination

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bjørnland, Hilde C. ; Gerdrup, Karsten R. ; Jore, Anne Sofie ; Smith, Christie ; Thorsrud, Leif Anders
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/209917
• Last update: 10.03.2025, 11:42 AM CET