On the loss function of the Bank of Canada: A note

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 115
Issue: 2
Pages: 155-159

Authors (3)

Pierdzioch, Christian (Helmut Schmidt Universität Ham...) Rülke, Jan-Christoph (not in RePEc) Stadtmann, Georg (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Based on the approach advanced by Elliott et al. [Elliott, G., Komunjer, I., Timmermann, A., 2005. Estimation and testing of forecast rationality under flexible loss. Review of Economic Studies 72, 1107–1125], we studied whether the inflation and output growth projections published by the Bank of Canada are consistent with an asymmetric loss function. Current-year projections provide no signs of asymmetry, but next-year projections do. The hypothesis of rationality of the projections can be rejected under symmetric loss, but not under asymmetric loss.

Technical Details

RePEc Handle
repec:eee:ecolet:v:115:y:2012:i:2:p:155-159
Journal Field
General
Author Count
3
Added to Database
2026-01-29