Forecasting the South African inflation rate : on asymmetric loss and forecast rationality

Show simple item record Pierdzioch, Christian Reid, Monique Gupta, Rangan 2016-04-29T08:17:29Z 2016-03
dc.description.abstract Using forecasts of the inflation rate in South Africa, we study the rationality of forecasts and the shape of forecasters’ loss functions. When we study micro-level data of individual forecasts, we find mixed evidence of an asymmetric loss function, suggesting that inflation forecasters are heterogeneous with respect to the shape of their loss functions. We also find strong evidence that inflation forecasts are in line with forecast rationality. When we pool the data and study sectoral inflation forecasts of financial analysts, trade unions and the business sector, we find evidence for asymmetry in the loss function and against forecast rationality. Upon comparing the micro-level results with those for pooled and sectoral data, we conclude that forecast rationality should be assessed based on micro-level data, and that freer access to this data would allow a more rigorous analysis and discussion of the information content of the surveys. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2017-03-31
dc.description.librarian hb2016 en_ZA
dc.description.sponsorship German Science Foundation (Deutsche Forschungsgemeinschaft).(Project “Macroeconomic Forecasting in Great Crises”). en_ZA
dc.description.uri en_ZA
dc.identifier.citation Pierdzioch, C, Reid, MB & Gupta, R 2016, 'Forecasting the South African inflation rate : on asymmetric loss and forecast rationality', 2016, vol. 40, no. 1, pp. 82-92. en_ZA
dc.identifier.issn 0939-3625 (print)
dc.identifier.issn 1878-5433 (online)
dc.identifier.other 10.1016/j.ecosys.2015.08.004
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2016 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economic Systems. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economic Systems, vol. 40, no, 1, pp. 82-92, 2016. doi : 10.1016/j.ecosys.2015.08.004. en_ZA
dc.subject Inflation rate en_ZA
dc.subject Forecasting en_ZA
dc.subject Loss function en_ZA
dc.subject Rationality en_ZA
dc.title Forecasting the South African inflation rate : on asymmetric loss and forecast rationality en_ZA
dc.type Postprint Article en_ZA

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