Arbeitspapier
Forecasting the Euro: Do Forecasters Have an Asymmetric Loss Function?
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series ; No. 1/2012
- Klassifikation
-
Wirtschaft
Foreign Exchange
Expectations; Speculations
- Thema
-
Exchange rate
Forecasting
Loss function
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fritsche, Ulrich
Pierdzioch, Christian
Ruelke, Jan-Christoph
Stadtmann, Georg
- Ereignis
-
Veröffentlichung
- (wer)
-
Hamburg University, Department Socioeconomics
- (wo)
-
Hamburg
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fritsche, Ulrich
- Pierdzioch, Christian
- Ruelke, Jan-Christoph
- Stadtmann, Georg
- Hamburg University, Department Socioeconomics
Entstanden
- 2012
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