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Title:The accuracy of a forecast targeting central bank PDF Logo
Authors:Skrove Falch, Nina
Nymoen, Ragnar
Issue Date:2011
Citation:[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 5 [Issue:] 2011-15 [Pages:] 1-36
Series/Report no.:Economics 2011-15
Abstract:This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside the central bank. We find that the superiority of the bank's forecast cannot be asserted, when compared with genuine ex-ante real time forecasts from an independent econometric model. The 1-step Monetary Policy Report forecasts are preferable to the 1-step forecasts from the outside model, but for the policy relevant horizons (e.g., 4 quarters ahead), the forecasts from the outsider model are preferred with a wider margin. An explanation in terms of too high speed of adjustment to the inflation target is supported by the evidence. Norges Bank's forecasts are better than the naive forecasts. Norwegian inflation appears to be predictable, despite the reduction in inflation persistence that has taken place over the last two decades.
Subjects:inflation forecasts
monetary policy
forecast comparison
forecast targeting central bank
econometric models
JEL:C32
C53
E37
E44
E47
E52
E58
E65
Persistent Identifier of the first edition:doi:10.5018/economics-ejournal.ja.2011-15
Creative Commons License:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Article
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles

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