Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?

By Allan G. Timmermann, Graham Elliott, Ivana Komunjer. 2008

275 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff78097620df52e57ef72ee97b046bd1db7c50b3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Disagreement and Biases in Inflation Expectations (2006, unknown): “For this reason we first briefly review three possible reasons for asymmetric loss, namely a utility cost explanation, a psychological explanation and a strategic explanation−see Elliott et al (2008) for a more detailed discussion.”
Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise (2017, unknown): “The beginning of modern study of decision making under ambiguity is usually associated with Ellsberg (1961). Early discussions appear in Keynes (1921) and Knight (1921). A particularly common idea has been that a person may hold a set of subjective distributions for an unknown event, not a single di”
The Price Is Right: Updating Inflation Expectations in a Randomized Price Information Experiment (2016, methodology): “To motivate our tests, we follow Elliott, Komunjer, and Timmermann (2008) and suppose that respondents’ point forecasts minimize the expectation of a loss function L ð Þ, and we transform L ð Þ’s argument using a function that reflects possible loss aversion, /ð Þ.”
The Determinants of Stock and Bond Return Comovements (2010, methodology): “For the stock and bond return residuals we perform two additional tests, a test for serial correlation on squared standardized residuals (the variance test), using 4 lags again, and Engle and Ng (1993)’s “sign bias” tests.”
Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious? (2005, unknown): “This normalization gives equation (20).”
Estimation and Testing of Forecast Rationality under Flexible Loss (2005, unknown): “Hence, we have shown that given p0 ∈ N∗, for every α0 ∈ (0, 1), the equation φp0(α0, θ) = 0 has a unique solution θ∗ in G and the implicit function θ∗ = θp0(α0) is continuously differentiable from (0, 1) to G with dθp0(α)/dα as given in (10).”