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US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010

  • Michael P. Clements

The recent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, and that there may be heterogeneity across forecasters in the degree to which they weigh under and over-predictions. Using an individual-level analysis that exploits the SPF respondents’ histogram forecasts, we find little evidence of asymmetric loss for the in‡ation forecasters. Key words: Disagreement ; forecast uncertainty ; asymmetric loss ; Survey of Professional Forecasters JEL Classification: C53 ; E31 ; E37

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File URL: http://hdl.handle.net/10.1002/for.2277
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 33 (2014)
Issue (Month): 1 (01)
Pages: 1-14

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Handle: RePEc:wly:jforec:v:33:y:2014:i:1:p:1-14
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  18. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics.
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