Forecasting Macroeconomic Variables Using Disaggregate Survey Data

We construct factor models based on disaggregate survey data for forecasting national aggregate macroeconomic variables. Our methodology applies regional and sectoral factor models to Norges Bank’s regional survey and to the Swedish Business Tendency Survey. The analysis identifies which of the pieces of information extracted from the individual regions in Norges Bank’s survey and the sectors for the two surveys perform particularly well at forecasting different variables at various horizons. The results show that several factor models beat an autoregressive benchmark in forecasting inflation and the unemployment rate. However, the factor models are most successful at forecasting GDP growth. Forecast combinations using the past performances of regional and sectoral factor models yield the most accurate forecasts in the majority of the cases.

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