TY - JOUR
T1 - Asymmetric Loss of Macroeconomic Forecasts in South Asia
T2 - Evidence from the SPF Survey of India, Indonesia, and Singapore
AU - Ahn, Young Bin
AU - Tsuchiya, Yoichi
N1 - Publisher Copyright:
© 2019 Taylor & Francis Group, LLC.
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
KW - C12
KW - C53
KW - E17
KW - E37
KW - Macroeconomic forecasting
KW - South Asia
KW - asymmetric loss
KW - professional forecasts
UR - http://www.scopus.com/inward/record.url?scp=85076915937&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85076915937&partnerID=8YFLogxK
U2 - 10.1080/1540496X.2019.1699788
DO - 10.1080/1540496X.2019.1699788
M3 - Article
AN - SCOPUS:85076915937
VL - 57
SP - 3489
EP - 3507
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
SN - 1540-496X
IS - 12
ER -