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Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price...
Persistent link: https://www.econbiz.de/10010308142
Recent price trends in housing markets may reflect herding of market participants. A natural question is whether such herding, to the extent that it occurred, reflects herding in forecasts of professional forecasters. Using survey data for Canada, Japan, and the United States, we did not find...
Persistent link: https://www.econbiz.de/10010309309
We analyze more than 20,000 forecasts of nine metal prices at four different forecast horizons. We document that forecasts are heterogeneous and report that anti-herding appears to be a source of this heterogeneity. Forecaster anti-herding reflects strategic interactions among forecasters that...
Persistent link: https://www.econbiz.de/10010310454
evidence that the Phillips curves' goodness of fit is rather high. However, forecasting power is comparatively low. …
Persistent link: https://www.econbiz.de/10010310920
Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125,2005), we analyzed whether the loss function of a sample of exchange rate forecasters is asymmetric in the forecast error. Using forecasts of the euro/dollar exchange rate, we found that the shape of the loss...
Persistent link: https://www.econbiz.de/10010420846
Using forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some...
Persistent link: https://www.econbiz.de/10010420853
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Persistent link: https://www.econbiz.de/10010197013
Persistent link: https://www.econbiz.de/10009675548
Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197..1125, 2005), we analyzed whether the loss function of a sample of exchange rate forecasters is asymmetric in the forecast error. Using forecasts of the euro/dollar exchange rate, we found that the shape of the loss...
Persistent link: https://www.econbiz.de/10010425217