Arbeitspapier
Evaluating a central bank's recent forecast failure
Failures are not rare in economic forecasting, probably due to the high incidence of shocks and regime shifts in the economy. Thus, there is a premium on adaptation in the forecast process, in order to avoid sequences of forecast failure. This paper evaluates a sequence of inflation forecasts in the Norges Bank Inflation Report, and we present automatized forecasts which are unaffected by forecast failure. One conclusion is that the Norges Bank fan-charts are too narrow, giving an illusion of very precise forecasts. The automatized forecasts show more adaptation once shocks have occurred than is the case for the official forecasts. On the basis of the evidence, the recent inflation forecast failure appears to have been largely avoidable. The central bank’s understanding of the nature of the transmission mechanism and of the strenght and nature of the disinflationly shock that hit the economy appear to have played a major role in the recent forecast failure.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 2005,22
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy
Central Banks and Their Policies
- Thema
-
Inflation forecasts
Monetary policy
Forecast uncertainty
Fan-charts
Structural change
Econometric models
Zentralbank
Inflation
Prognose
Prognoseverfahren
Kritik
Norwegen
Statistischer Fehler
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nymoen, Ragnar
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Nymoen, Ragnar
- University of Oslo, Department of Economics
Entstanden
- 2005
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