windows approach is proposed to give a more strict forecasting evaluation. By extending the loss function to an asymmetric …

performance of prediction models using proper loss function. In order to compare how our approach works with respect to classical …

In this paper we obtain conditions under which the central bank loss function is strictly convex in four different … the shape of loss function. Our results also provide conditions under which there exists dependence between instruments of …

We study the loss function of 15 European governments as implied by their budget balance forecasts. Results suggest … that the shape of the loss function varies across countries. The loss function becomes more asymmetric as the forecast … the loss function. Under a fiscal rule, government agencies experience a higher loss when overpredicting the fiscal …

-sectional heterogeneity across forecasters with respect to the shape of their loss function. Forecasters' loss function often appears to be … function often (but not always) makes forecasts look rational. The asymmetry of forecasters' loss function tended to increase … asymmetric with respect to the forecast error, especially in the case of medium-term forecasts. Assuming an asymmetric loss …

of asymmetric loss function is found and finally 4) forecasts of tax revenue growth rate turn out to be rational in a …

uncover members' implicit loss function. Our key finding is that the loss function of FOMC members is asymmetric: FOMC members … underlined by our second result: forecasts remain biased even after accepting an asymmetric loss function. …