Forecasting the Brazilian Real and the Mexican Peso: Asymmetric Loss, Forecast Rationality, and Forecaster Herding

Ulrich Fritsche, Christian Pierdzioch, Jan-Christoph Ruelke () and Georg Stadtmann ()
Additional contact information
Jan-Christoph Ruelke: WHU – Otto Beisheim School of Management
Georg Stadtmann: University of Southern Denmark, Department of Business and Economics, and European-University Viadrina

No 201202, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics

Abstract: Using forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some forecasters seem to forecasts under an asymmetric loss function, symmetry of the loss function cannot be rejected for other forecasters. An asymmetric loss function does not necessarily make survey data of exchange-rate forecasts look rational, and the loss function seems to depend not only on the forecast error.

Keywords: Exchange rate; Forecasting; Loss function (search for similar items in EconPapers)
JEL-codes: D84 F31 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2012-02
New Economics Papers: this item is included in nep-for and nep-mon
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Citations: View citations in EconPapers (1)

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https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_2_2012.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:201202

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