US Inflation Expectations and Heterogeneous Loss Functions, 1968-2010

ABSTRACTRecent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, and that there may be heterogeneity across forecasters in the degree to which they weigh under‐ and over‐predictions. Using an individual‐level analysis that exploits the Survey of Professional...

Full description

Saved in:
Bibliographic Details
Published inJournal of forecasting Vol. 33; no. 1; pp. 1 - 14
Main Author Clements, Michael P.
Format Journal Article
LanguageEnglish
Published Chichester Blackwell Publishing Ltd 01.01.2014
Wiley Periodicals Inc
Subjects
Asymmetric information
asymmetric loss
disagreement
Economic forecasts
Expectation
forecast uncertainty
Forecasting techniques
Functional analysis
Inflation
Macroeconomics
Studies
Survey of Professional Forecasters
United States > US
Online AccessGet full text
ISSN0277-6693
1099-131X
DOI10.1002/for.2277

Cover

More Information
Summary:ABSTRACTRecent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, and that there may be heterogeneity across forecasters in the degree to which they weigh under‐ and over‐predictions. Using an individual‐level analysis that exploits the Survey of Professional Forecasters respondents’ histogram forecasts, we find little evidence of asymmetric loss for the inflation forecasters. Copyright © 2013 John Wiley & Sons, Ltd.
Bibliography:ArticleID:FOR2277
istex:74C49E2B643453B350BC3F404959C0AB378A2B2C
ark:/67375/WNG-RD14SJP7-H
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ObjectType-Article-2
content type line 23
ISSN:0277-6693
1099-131X
DOI:10.1002/for.2277