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US inflation expectations and heterogeneous loss functions, 1968–2010

  • Clements, Michael P.

    (University of Warwick, Department of Economics)

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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Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 986.

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Date of creation: 2012
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Handle: RePEc:wrk:warwec:986
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  1. Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," NBER Working Papers 6228, National Bureau of Economic Research, Inc.
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