Background

Forecasts

February 2010

June 2009

January 2009

June 2008

January 2008

June 2007

January 2007

July 2006

January 2006

July 2005

January 2005

June 2004

Evaluation

January 2009

April 2008

November 2007

September 2007

February 2007

November 2006

September 2006

 

Normetrics page

Ragnar Nymoen's workpage

 

Automatized Inflation Forecasts (AIF)

 

This page is developed for research and teaching purposes, in order to motivate and evaluate automatized econometric inflation forecasts, and to contribute to the public discussion of the inflation outlook. See the Background link in the left column.

The first forecast was posted on 30th June 2004, and can be seen by clicking the June 2004 forecast in the menu on the left hand side of the page. The forecasts was then referred to as automatized econometric inflation report forecasts, AIR. Since july 2007 we have changed the acronym to AIF, for automatized  inflation forecasts

The February 2010 forecast is the most recent forecast, and is attained from the February 2010 forecast link. The forecasts are quarterly, and the primary variable of interest is the annual rate of 'core inflation'. To produce the econometric forecasts, several stochastic explanatory variables are forecasted along with inflation, using one and the same econometric model.

The forecasts are probabilistic and are presented as fan-charts showing the 90% most likely outcome (given the information processed by the forecasting mechanism). The forecasts are automatized, with a minimum of intervention after the specification of the forecasting mechanism is finished, and the initial conditions have been updated.

The evaluation of the June 2004 to June 2008 forecasts shows that the AIF forecasts perform surprisingly well compared to Norges Bank's forecasts in the Inflation Reports from the same period.

For an evaluation of how the forecasting model underlying AIF performs relative to Norges Banks inflation forecasts in 2002 and 2003, see Nymoen (2005).

Norges Bank Watch 2008, An Independent Review of Monetary Policymaking in Norway, contains several reference to AIF, in particular in Chapter 2 ("Assesment of nowcasting and forecasting peformance").

NOTE:  October 2011:

The article The Accuracy of a Forecast Targeting Central Bank by Nina Skrove Falch and Ragnar Nymoen marks the end of this project.  

Please refer to the page of the Norwegian Aggregate Model (NAM) for current model based forecasts of the Norwegian Economy.