Do foreign exchange forecasters apply asymmetric loss functions? Evidence from three major exchange rates |
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| Authors: | Michael Frenkel Jan-Christoph Rülke Matthias Mauch |
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| Institution: | 1. Economics Group, WHU - Otto Beisheim School of Management, Economics Group, Vallendar, Germany;2. EBS Universit?t für Wirtschaft und Recht, Management and Economics Faculty, Oestrich-Winkel, Germany |
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| Abstract: | This article investigates which type of loss function is consistent with the hypothesis that major exchange rate forecasts, i.e. the euro, the British pound, and the Japanese yen vis-à-vis the US dollar, are rational. We apply a comprehensive data set, which also allows us to examine different forecast horizons and heterogeneity of forecasters. |
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| Keywords: | Foreign exchange market forecasts asymmetric loss rationality |
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