Forecasting Belgian and Norwegian CPI Inflation with Commodity Indexes

This paper examines whether the inclusion of several commodity indexes in multivariate mod- els could improve the forecast of CPI inflation for Belgium and Norway. The results from the multivariate forecast models are compared to three different univariate models: an AR(1), an Atkeson & Ohanian model, and an other autoregressive model with specific lags chosen. The second objective of this thesis, is to assess if the economic profile of a country would provide better forecasting results. In this case, due to the importance of commodities for the Norwegian economy (almost 70% of their total... Mehr ...