Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function
Joerg Doepke (),
Ulrich Fritsche () and
Additional contact information
Joerg Doepke: University of Applied Sciences Merseburg
Authors registered in the RePEc Author Service: Jörg Döpke
No 200905, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics
Based on annual data for growth and inflation forecasts for Germany covering the time span from 1970 to 2007 and up to 17 different forecasts per year, we test for a possible asymmetry of the forecasters' loss function and estimate the degree of asymmetry for each forecasting institution using the approach of Elliot et al. (2005). Furthermore, we test for the rationality of the forecasts under the assumption of a possibly asymmetric loss function and for the features of an optimal forecast under the assumption of a generalized loss function. We find only limited evidence for the existence of an asymmetric loss functions of German forecasters. As regards the rationality of the forecasts the results depend on the underlying assumption of the test. The rationality of inflation forecasts is more doubtful than those of growth forecasts.
Keywords: Business cycle forecast evaluation; asymmetric loss function; and rational expectations (search for similar items in EconPapers)
JEL-codes: C53 E42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_5_2009.pdf First version, 2009 (application/pdf)
Journal Article: Evaluating German business cycle forecasts under an asymmetric loss function (2010)
Working Paper: Evaluating German business cycle forecasts under an asymmetric loss function (2009)
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:hep:macppr:200905
Access Statistics for this paper
More papers in Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics Contact information at EDIRC.
Bibliographic data for series maintained by Ulrich Fritsche ().