Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103180
Authors: 
Fritsche, Ulrich
Pierdzioch, Christian
Ruelke, Jan-Christoph
Stadtmann, Georg
Year of Publication: 
2012
Series/Report no.: 
DEP (Socioeconomics) Discussion Papers, Macroeconomics and Finance Series 1/2012
Abstract: 
Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125,2005), we analyzed whether the loss function of a sample of exchange rate forecasters is asymmetric in the forecast error. Using forecasts of the euro/dollar exchange rate, we found that the shape of the loss function varies across forecasters. Our empirical results suggest that it is important to account for the heterogeneity of exchange rate forecasts at the microeconomic level of individual forecasters when one seeks to analyze whether forecasters form exchange rate forecasts under an asymmetric loss function.
Subjects: 
Exchange rate
Forecasting
Loss function
JEL: 
F31
D84
Document Type: 
Working Paper

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