English, Article, Journal or magazine article edition: Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function Joerg Doepke; Ulrich Fritsche; Boriss Siliverstovs

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Bookmark: http://trove.nla.gov.au/version/24361
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function
Author
  • Joerg Doepke
  • Ulrich Fritsche
  • Boriss Siliverstovs
Physical Description
  • preprint
Notes
  • Based on annual data for growth and inflation forecasts for Germany covering the time span from 1970 to 2007 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 generalized loss function. We find only limited evidence for the existence of an asymmetric loss functions of German forecasters. As regards the rationality of the forecasts the results depend on the underlying assumption of the test. The rationality of inflation forecasts is more doubtful than those of growth forecasts.
  • Business cycle forecast evaluation, asymmetric loss function, and rational expectations
  • RePEc:hep:macppr:200905
Language
  • English
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