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Central banks’ inflation forecasts under asymmetric loss: Evidence from four Latin-American countries

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  • Pierdzioch, Christian
  • Rülke, Jan-Christoph
  • Stadtmann, Georg

Abstract

We study the rationality of the inflation forecasts of the central banks of Argentina, Brazil, Chile, and Mexico. We reject rationality under a symmetric (Chile is an exception) but not under an asymmetric loss function. An overprediction implies a larger loss than an underprediction. We also analyze alternative rationality tests, growth forecasts, and private-sector forecasts.

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  • Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2015. "Central banks’ inflation forecasts under asymmetric loss: Evidence from four Latin-American countries," Economics Letters, Elsevier, vol. 129(C), pages 66-70.
    • Handle: RePEc:eee:ecolet:v:129:y:2015:i:c:p:66-70
    DOI: 10.1016/j.econlet.2015.02.014
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    Cited by:

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    5. de Mendonça, Helder Ferreira & de Deus, Joseph David Barroso Vasconcelos, 2019. "Central bank forecasts and private expectations: An empirical assessment from three emerging economies," Economic Modelling, Elsevier, vol. 83(C), pages 234-244.

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    More about this item

    Keywords

    Central banks; Forecasting; Loss function; Asymmetric loss;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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