dc.contributor.author | Bowe, Frida | |
dc.contributor.author | Kirkeby, Sara J. | |
dc.contributor.author | Lindalen, Ingvild H. | |
dc.contributor.author | Matsen, Kristine A. | |
dc.contributor.author | Meyer, Sara S. | |
dc.contributor.author | Robstad, Ørjan | |
dc.date.accessioned | 2023-06-26T07:31:21Z | |
dc.date.available | 2023-06-26T07:31:21Z | |
dc.date.issued | 2023 | |
dc.identifier.isbn | 978-82-8379-286-7 | |
dc.identifier.issn | 1504-2596 | |
dc.identifier.uri | https://hdl.handle.net/11250/3073130 | |
dc.description.abstract | This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices in Norway. The framework combines quantile regressions using a broad set of uncertainty indicators with a skewed t-distribution, allowing for time-variation and asymmetry in the uncertainty forecasts. This approach helps provide deeper insights into the macroeconomic uncertainty surrounding forecasts than more traditional time-series models, where uncertainty is usually symmetric and with limited time-variation. Formal tests, such as the log score and the Continuous Ranked Probability Score (CRPS), show that using informative indicators tend to improve density forecasts, particularity in the medium run. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Norges Bank | en_US |
dc.relation.ispartofseries | Staff Memo;13/2023 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | GDP | en_US |
dc.subject | house prices | en_US |
dc.subject | inflation | en_US |
dc.subject | forecasting | en_US |
dc.subject | quantile regressions | en_US |
dc.subject | growth-at-risk | en_US |
dc.subject | house prices-at-risk | en_US |
dc.subject | inflation-at-risk | en_US |
dc.subject | density forecast | en_US |
dc.subject | fan charts | en_US |
dc.subject | JEL: C53 | en_US |
dc.subject | JEL: E23 | en_US |
dc.subject | JEL: E27 | en_US |
dc.subject | JEL: E3 | en_US |
dc.subject | JEL: E44 | en_US |
dc.title | Quantifying macroeconomic uncertainty in Norway | en_US |
dc.type | Working paper | en_US |
dc.description.version | publishedVersion | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | en_US |
dc.source.pagenumber | 28 | en_US |