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A multivariate evaluation of German output growth and inflation forecasts

Author

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  • Jens J. Krüger

    () (Darmstadt University of Technology)

Abstract

Abstract We examine the joint efficiency of German output growth and inflation forecasts using a multivariate loss function which allows for loss asymmetry and different degrees of curvature. Efficiency is evaluated with respect to financial market variables as stock market returns and interest spreads. Thereby we find evidence that the loss function is approximately linear with a considerable degree of asymmetry. Compared to the situation where the two forecasted variables are considered univariately, forecast efficiency is also rejected more frequently. Adding a forward-looking survey-based expectations indicator leads to even stronger rejections of forecast efficiency.

Suggested Citation

  • Jens J. Krüger, 2014. "A multivariate evaluation of German output growth and inflation forecasts," Economics Bulletin, AccessEcon, vol. 34(3), pages 1410-1418.
  • Handle: RePEc:ebl:ecbull:eb-13-00634
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    File URL: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I3-P129.pdf
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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    6. Jörg Döpke & Ulrich Fritsche & Boriss Siliverstovs, 2010. "Evaluating German business cycle forecasts under an asymmetric loss function," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(1), pages 1-18.
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    Cited by:

    1. Jörg Döpke & Ulrich Fritsche & Karsten Müller, 2018. "Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany," Macroeconomics and Finance Series 201803, University of Hamburg, Department of Socioeconomics.

    More about this item

    Keywords

    macroeconomic forecasting; asymmetric loss; financial markets; survey expectations;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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