Asymmetric Loss of Macroeconomic Forecasts in South Asia: Evidence from the SPF Survey of India, Indonesia, and Singapore

Young Bin Ahn, Yoichi Tsuchiya

Research output: Contribution to journalArticlepeer-review

Abstract

This paper examines asymmetry of the loss function of professional forecasters for output growth, inflation, and exchange rate forecasts, based on the survey of professional forecasts (SPF) data of three South Asian countries (India, Indonesia, and Singapore). Our results provide India’s unbiased output growth forecasts and under-predicted inflation and exchange rate forecasts; Indonesia’s broadly unbiased forecasts; and Singapore’s under-predicted output growth forecasts and unbiased inflation and exchange rate forecasts. Testing the rationality of all three countries’ SPF forecasts, we find that all are rational under an asymmetric loss function but not under a symmetric loss function.

Original languageEnglish
JournalEmerging Markets Finance and Trade
DOIs
Publication statusAccepted/In press - 2019 Jan 1

Keywords

  • Macroeconomic forecasting
  • South Asia
  • asymmetric loss
  • professional forecasts

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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