Forecasting the South African inflation rate: On asymmetric loss and forecast rationality
Christian Pierdzioch,
Monique Reid and
Rangan Gupta
Economic Systems, 2016, vol. 40, issue 1, 82-92
Abstract:
Using forecasts of the inflation rate in South Africa, we study the rationality of forecasts and the shape of forecasters’ loss functions. When we study micro-level data of individual forecasts, we find mixed evidence of an asymmetric loss function, suggesting that inflation forecasters are heterogeneous with respect to the shape of their loss functions. We also find strong evidence that inflation forecasts are in line with forecast rationality. When we pool the data and study sectoral inflation forecasts of financial analysts, trade unions and the business sector, we find evidence for asymmetry in the loss function and against forecast rationality. Upon comparing the micro-level results with those for pooled and sectoral data, we conclude that forecast rationality should be assessed based on micro-level data, and that freer access to this data would allow a more rigorous analysis and discussion of the information content of the surveys.
Keywords: Inflation rate; Forecasting; Loss function; Rationality (search for similar items in EconPapers)
JEL-codes: C53 D82 E37 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0939362516000029
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality (2014)
Working Paper: Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality (2014) 
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:eee:ecosys:v:40:y:2016:i:1:p:82-92
DOI: 10.1016/j.ecosys.2015.08.004
Access Statistics for this article
Economic Systems is currently edited by R. Frensch
More articles in Economic Systems from Elsevier Contact information at EDIRC.
Bibliographic data for series maintained by Catherine Liu ().