Evidence on Forecasting Inflation Under Asymmetric Loss
Hamid Baghestani and
Authors registered in the RePEc Author Service: Bassam Abu Al-Foul
The American Economist, 2010, vol. 55, issue 1, 105-110
This study extends previous work on the asymmetric information hypothesis by comparing the Federal Reserve and private inflation forecasts in terms of directional accuracy for 1983â€“2002. In support of this hypothesis, the Federal Reserve forecasts show superiority in terms of both predictive content and directional accuracy. However, both sets of forecasts are far more accurate in predicting upward moves than they are in predicting downward moves. In an environment where maintaining price stability is a top priority, we interpret such evidence as preference for over-prediction under asymmetric loss and argue that the bias in the inflation forecasts is rational.
Keywords: Directional accuracy; Rational bias; Monetary policy; Greenbook; Survey of Professional; Forecasters (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sae:amerec:v:55:y:2010:i:1:p:105-110
Access Statistics for this article
More articles in The American Economist from Sage Publications
Bibliographic data for series maintained by SAGE Publications ().