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  • 标题:Forecasting the Dollar/British Pound Exchange Rate: Asymmetric Loss and Forecast Rationality
  • 本地全文:下载
  • 作者:Christian Pierdzioch ; Jan C Rülke ; Georg Stadtmann
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2012
  • 卷号:32
  • 期号:3
  • 页码:A213
  • 出版社:Economics Bulletin
  • 摘要:We apply an approach recently developed by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125, 2005) to study whether forecasts of the dollar/British pound exchange rate extracted from a panel of survey data are consistent with an asymmetric loss function. We find that only few forecasters seem to form forecasts under an asymmetric loss function. Accounting for the asymmetry of their loss function, however, often makes their forecasts look rational.
  • 关键词:Exchange rate; Forecasting; Loss function
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