Arbeitspapier
Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series ; No. 5/2009
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
- Thema
-
Business cycle forecast evaluation
asymmetric loss function
and rational expectations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Doepke, Joerg
Fritsche, Ulrich
Siliverstovs, Boriss
- Ereignis
-
Veröffentlichung
- (wer)
-
Hamburg University, Department Economics and Politics
- (wo)
-
Hamburg
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Doepke, Joerg
- Fritsche, Ulrich
- Siliverstovs, Boriss
- Hamburg University, Department Economics and Politics
Entstanden
- 2009
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