Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103187
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 2/2012
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.
Subjects: 
Exchange rate
Forecasting
Loss function
JEL: 
F31
D84
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.