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Evaluating corporate executives' exchange rate forecasts under a flexible loss function

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  • Y. Tsuchiya

Abstract

We examine asymmetry in the loss function of corporate executives in their exchange rate forecasts and test for rationality of the forecast under the assumption of a possibly asymmetric loss function. We find evidence that the loss function of the forecast with a 1-year horizon is symmetric and support for rationality. These findings hold for manufacturing and nonmanufacturing sectors.

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  • Y. Tsuchiya, 2013. "Evaluating corporate executives' exchange rate forecasts under a flexible loss function," Applied Economics Letters, Taylor & Francis Journals, vol. 20(12), pages 1135-1138, August.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:12:p:1135-1138
    DOI: 10.1080/13504851.2013.792989
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    Cited by:

    1. Tsuchiya, Yoichi, 2015. "Herding behavior and loss functions of exchange rate forecasters over interventions and financial crises," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 266-276.

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