Central banks’ inflation forecasts under asymmetric loss: Evidence from four Latin-American countries

Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

Economics Letters, 2015, vol. 129, issue C, 66-70

Abstract: We study the rationality of the inflation forecasts of the central banks of Argentina, Brazil, Chile, and Mexico. We reject rationality under a symmetric (Chile is an exception) but not under an asymmetric loss function. An overprediction implies a larger loss than an underprediction. We also analyze alternative rationality tests, growth forecasts, and private-sector forecasts.

Keywords: Central banks; Forecasting; Loss function; Asymmetric loss (search for similar items in EconPapers)
JEL-codes: D84 F31 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:129:y:2015:i:c:p:66-70

DOI: 10.1016/j.econlet.2015.02.014

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