1 Department of Business and Economics, Faculty of Business and Social Sciences, SDU2 unknown3 Department of Business and Economics, Faculty of Business and Social Sciences, SDU
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.
Economics Letters, 2012, Vol 115, Issue 1, p. 155-159