Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding

Ulrich Fritsche, Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

International Journal of Forecasting, 2015, vol. 31, issue 1, 130-139

Abstract: Using forecasts of exchange rates of the Brazilian real and the Mexican peso against the US dollar, we analyze the symmetry of the loss function of exchange-rate forecasters and the rationality of their forecasts. Symmetry of the loss function can be rejected for some forecasters but not all. Even when allowing for asymmetric loss functions, the predictions of some forecasters do not fit the traditional definition of rational forecasts. We interpret our results in terms of recent research on forecaster (anti-)herding.

Keywords: Exchange rate; Forecasting; Loss function; Forecaster herding (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207014001101
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Forecasting the Brazilian Real and the Mexican Peso: Asymmetric Loss, Forecast Rationality, and Forecaster Herding (2012)
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:intfor:v:31:y:2015:i:1:p:130-139

DOI: 10.1016/j.ijforecast.2014.08.010

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().