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A multivariate evaluation of German output growth and inflation forecasts

Author

Listed:
  • Jens J. Krüger

    (Darmstadt University of Technology)

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.

Suggested Citation

  • Jens J. Krüger, 2014. "A multivariate evaluation of German output growth and inflation forecasts," Economics Bulletin, AccessEcon, vol. 34(3), pages 1410-1418.
    • Handle: RePEc:ebl:ecbull:eb-13-00634
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    References listed on IDEAS

    as
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    Cited by:

    1. Jörg Döpke & Ulrich Fritsche & Karsten Müller, 2018. "Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany," Macroeconomics and Finance Series 201803, University of Hamburg, Department of Socioeconomics.

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    More about this item

    Keywords

    macroeconomic forecasting; asymmetric loss; financial markets; survey expectations;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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