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US inflation expectations and heterogeneous loss functions, 1968–2010

Michael Clements

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: The recent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, and that there may be heterogeneity across forecasters in the degree to which they weigh under and over-predictions. Using an individual-level analysis that exploits the SPF respondents’ histogram forecasts, we find little evidence of asymmetric loss for the in‡ation forecasters. Key words: Disagreement ; forecast uncertainty ; asymmetric loss ; Survey of Professional Forecasters JEL Classification: C53 ; E31 ; E37

New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
Date: 2012
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Journal Article: US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010 (2014) Downloads
Working Paper: US inflation expectations and heterogeneous loss functions, 1968–2010 (2012) Downloads
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