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

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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.
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  • info:eu-repo/semantics/restrictedAccess
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Forschungsinformationssystem der UHH
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oai:www.edit.fis.uni-hamburg.de:publications/a9a1c92b-e5a0-4fa9-827f-4491a6109272