Do foreign exchange forecasters apply asymmetric loss functions? Evidence from three major exchange rates

Michael Frenkel, Jan-Christoph Rülke and Matthias Mauch

Applied Economics Letters, 2019, vol. 26, issue 9, 731-735

Abstract: This article investigates which type of loss function is consistent with the hypothesis that major exchange rate forecasts, i.e. the euro, the British pound, and the Japanese yen vis-à-vis the US dollar, are rational. We apply a comprehensive data set, which also allows us to examine different forecast horizons and heterogeneity of forecasters.

Date: 2019
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DOI: 10.1080/13504851.2018.1490692

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