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Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function

Joerg Doepke (), Ulrich Fritsche () and Boriss Siliverstovs
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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

Abstract: 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
Date: 2009-07
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https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_5_2009.pdf First version, 2009 (application/pdf)

Related works:
Journal Article: Evaluating German business cycle forecasts under an asymmetric loss function (2010) Downloads
Working Paper: Evaluating German business cycle forecasts under an asymmetric loss function (2009) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:200905

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