Scandinavian Working Papers in Economics

Working Papers,
National Institute of Economic Research

No 144: Forecasting Employment Growth in Sweden Using a Bayesian VAR Model

Karine Raoufina ()
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Karine Raoufina: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden

Abstract: In this paper, Bayesian VAR models are used to forecast employment growth in Sweden. Using quarterly data from 1996 to 2015, we conduct an out-of-sample forecast exercise. Results indicate that the forecasting performance at short horizons can be improved when survey data is included, such as employment expectations in the business sector and forward-looking variables from the trade sector.

Keywords: Bayesian VAR model; employment forecasting

JEL-codes: C11; E24

16 pages, June 8, 2016

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