Scandinavian Working Papers in Economics

Working Papers,
National Institute of Economic Research

No 112: Improving Unemployment Rate Forecasts Using Survey Data

Pär Österholm ()
Additional contact information
Pär Österholm: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden

Abstract: This paper investigates whether forecasts of the Swedish unemployment rate can be improved by using business and household survey data. We conduct an out-of-sample forecast exercise in which the performance of a Bayesian VAR model with only macroeconomic data is compared to that when the model also includes survey data. Results show that the forecasting performance at short horizons can be improved. The im-provement is largest when forward-looking data from the manufacturing industry is employed.

Keywords: Bayesian VAR; Labour market

JEL-codes: E17; E24; E27

27 pages, June 1, 2009

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