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Jens J. Krüger
''A multivariate evaluation of German output growth and inflation forecasts''
( 2014, Vol. 34 No.3 )
Abstract We examine the joint efficiency of German output growth and inflation forecasts using a multivariate loss function which allows for loss asymmetry and different degrees of curvature. Efficiency is evaluated with respect to financial market variables as stock market returns and interest spreads. Thereby we find evidence that the loss function is approximately linear with a considerable degree of asymmetry. Compared to the situation where the two forecasted variables are considered univariately, forecast efficiency is also rejected more frequently. Adding a forward-looking survey-based expectations indicator leads to even stronger rejections of forecast efficiency.
Keywords: macroeconomic forecasting, asymmetric loss, financial markets, survey expectations
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
C4 - Econometric and Statistical Methods: Special Topics
Manuscript Received : Sep 11 2013 Manuscript Accepted : Jul 08 2014

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