US inflation expectations and heterogeneous loss functions, 1968-2010

Clements, M. ORCID: https://orcid.org/0000-0001-6329-1341 (2014) US inflation expectations and heterogeneous loss functions, 1968-2010. Journal of Forecasting, 33 (1). pp. 1-14. ISSN 1099-131X doi: 10.1002/for.2277

Abstract/Summary

Recent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, and that there may be heterogeneity across forecasters in the degree to which they weigh under- and over-predictions. Using an individual-level analysis that exploits the Survey of Professional Forecasters respondents’ histogram forecasts, we find little evidence of asymmetric loss for the inflation forecasters