OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

Evaluating German business cycle forecasts under an asymmetric loss function You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3310011ec002.pdf
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Author(s):
Jörg Döpke, Ulrich Fritsche, Boriss Siliverstovs
24 Sep 2010
Pages:
18
Bibliographic information
No.:
6,
Volume:
2010,
Issue:
1
Pages:
1–18
http://dx.doi.org/10.1787/jbcma-2010-5kmlj35rx10s

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Based on annual data for growth and inflation forecasts for Germany covering the 1970-2007 period 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 generalised loss function. We find evidence of the existence of an asymmetric loss function of German forecasters only in the case of pooled data and a quad-quad loss function. We can reject the hypothesis of rationality of the growth forecasts based on a pooled dataset, but not on data for single institutions. The rationality of inflation forecasts is frequently rejected in the case of single institutions, and also for pooled data.

 
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