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

Young Bin Ahn, Yoichi Tsuchiya

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)3489-3507
ページ数19
ジャーナルEmerging Markets Finance and Trade
57
12
DOI
出版ステータスPublished - 2021

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学および金融学(全般)

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