This paper compares the out-of-sample forecast accuracy of policymakers, private banks
and three classes of exchange rate models in predicting the yearly Norwegian kroner/Euro,
I-44 and KKI exchange rate. The three classes are time series models, fundamental models,
and general models (simple models that combine various variables that in the
literature have found to hold predictive power on exchange rates). My findings
support the evidence of Meese and Rogoff (1983) that the naïve random walk model is
difficult to outperform out-of-sample. Further, I find that Policymakers and Nordic Banks
are reliable forecasters producing stable and precise forecasts. Finally, I find evidence for
the stable and accurate forecasting power of the Taylor Rule and the output gap differential
between Norway and the Euro-zone
