Forecasting the Dollar/British Pound Exchange Rate: Asymmetric Loss and Forecast Rationality

Christian Pierdzioch, Jan Rülke () and Georg Stadtmann ()
Additional contact information
Jan Rülke: WHU -- Otto Beisheim School of Management
Georg Stadtmann: University of Southern Denmark and European-University Viadrina Frankfurt (Oder)

Economics Bulletin, 2012, vol. 32, issue 3, A213

Abstract: We apply an approach recently developed by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125, 2005) to study whether forecasts of the dollar/British pound exchange rate extracted from a panel of survey data are consistent with an asymmetric loss function. We find that only few forecasters seem to form forecasts under an asymmetric loss function. Accounting for the asymmetry of their loss function, however, often makes their forecasts look rational.

Keywords: Exchange rate; Forecasting; Loss function (search for similar items in EconPapers)
JEL-codes: F0 F3 (search for similar items in EconPapers)
Date: 2012-08-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I3-P213.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-11-00862

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().