Evaluating German business cycle forecasts under an asymmetric loss function
AbstractBased on annual data for growth and inflation forecasts for Germany covering the 1970-2007 period and up to 17 different forecasts per year, we test for a possible asymmetry of the forecasters’ loss function and estimate the degree of asymmetry for each forecasting institution using the approach of Elliot et al. (2005). Furthermore, we test for the rationality of the forecasts under the assumption of a possibly asymmetric loss function and for the features of an optimal forecast under the assumption of a generalised loss function. We find evidence of the existence of an asymmetric loss function of German forecasters only in the case of pooled data and a quad-quad loss function. We can reject the hypothesis of rationality of the growth forecasts based on a pooled dataset, but not on data for single institutions. The rationality of inflation forecasts is frequently rejected in the case of single institutions, and also for pooled data.
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Bibliographic InfoArticle provided by OECD Publishing,CIRET in its journal OECD Journal: Journal of Business Cycle Measurement and Analysis.
Volume (Year): 2010 (2010)
Issue (Month): 1 ()
Other versions of this item:
- Jörg Döpke & Ulrich Fritsche & Boriss Siliverstovs, 2009. "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," KOF Working papers 09-237, KOF Swiss Economic Institute, ETH Zurich.
- Joerg Doepke & Ulrich Fritsche & Boriss Siliverstovs, 2009. "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," Macroeconomics and Finance Series 200905, Hamburg University, Department Wirtschaft und Politik.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
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- The loss aversion of economic forecasters
by Economic Logician in Economic Logic on 2009-12-01 13:59:00
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