Evaluating corporate executives' exchange rate forecasts under a flexible loss function

Yoichi Tsuchiya

Applied Economics Letters, 2013, vol. 20, issue 12, 1135-1138

Abstract: We examine asymmetry in the loss function of corporate executives in their exchange rate forecasts and test for rationality of the forecast under the assumption of a possibly asymmetric loss function. We find evidence that the loss function of the forecast with a 1-year horizon is symmetric and support for rationality. These findings hold for manufacturing and nonmanufacturing sectors.

Date: 2013
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DOI: 10.1080/13504851.2013.792989

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