A Note on Forecasting the Euro: Do Forecasters Have an Asymmetric Loss Function?

Link:

https://doi.org/10.1080/10168737.2013.810661

Autor/in:

Erscheinungsjahr:

2014

Medientyp:

Text

Schlagworte:

Forecast
Inflation expectations
Professional forecasters
Monetary Policy
Economic Growth
Exports
loss function
forecasting
exchange rate
Forecast
Inflation expectations
Professional forecasters
Monetary Policy
Economic Growth
Exports

Beschreibung:

Based on the approach advanced by Elliott, Komunjer, and Timmermann (2005), we analyzed whether the loss function of a sample of exchange-rate forecasters is asymmetric in the forecast error. Using forecasts of the dollar/euro exchange rate, we found that the shape of the loss function varies across forecasters. Some forecasters appear to make forecasts under an asymmetric loss function, while a symmetric loss function seems to describe well the loss function of other forecasters. Accounting for an asymmetric loss function does not necessarily make forecasts 'look' rational. © 2013 © 2013 Korea International Economic Association.

Lizenz:

info:eu-repo/semantics/restrictedAccess

Quellsystem:

Forschungsinformationssystem der UHH

Interne Metadaten

Quelldatensatz: oai:www.edit.fis.uni-hamburg.de:publications/a9a1c92b-e5a0-4fa9-827f-4491a6109272