Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103167
Authors: 
Doepke, Joerg
Fritsche, Ulrich
Siliverstovs, Boriss
Year of Publication: 
2009
Series/Report no.: 
DEP (Socioeconomics) Discussion Papers, Macroeconomics and Finance Series 5/2009
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.
Subjects: 
Business cycle forecast evaluation
asymmetric loss function
and rational expectations
JEL: 
C53
E42
Document Type: 
Working Paper

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