The prudence bias: assessing institutional forecasters´ asymmetric loss functions

Detalhes bibliográficos
Autor(a) principal: Sousa, Pedro Nuno Garcez Moreira de
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/156871
Resumo: The general posture towards forecasts is often one of scepticism: provided with the same in formation, predictions differ significantly. But the inefficient use of information might not be the single cause to blame. I assess the potential biased behaviour from fiscal and monetary authorities towards over- and underpredictions of key macroeconomic variables. I propose an estimation routine based on GMM to identify asymmetric loss functions and discuss the plau sible underlying economic costs that shape the preferences of institutions and thus respective forecasts. I find that all institutions favour the overprediction of real output growth and mone tary authorities prefer to underpredict inflation, whilst fiscal authorities tend to overpredict it.
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spelling The prudence bias: assessing institutional forecasters´ asymmetric loss functionsMacroeconomic 1forecastingLoss functionAsymmetric preferencesForecast rationalityMacroeconometricsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe general posture towards forecasts is often one of scepticism: provided with the same in formation, predictions differ significantly. But the inefficient use of information might not be the single cause to blame. I assess the potential biased behaviour from fiscal and monetary authorities towards over- and underpredictions of key macroeconomic variables. I propose an estimation routine based on GMM to identify asymmetric loss functions and discuss the plau sible underlying economic costs that shape the preferences of institutions and thus respective forecasts. I find that all institutions favour the overprediction of real output growth and mone tary authorities prefer to underpredict inflation, whilst fiscal authorities tend to overpredict it.Duarte, João B.RUNSousa, Pedro Nuno Garcez Moreira de2023-08-25T15:55:55Z2022-01-122021-12-172022-01-12T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/156871TID:202975029enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-05-22T18:13:47Zoai:run.unl.pt:10362/156871Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T18:13:47Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The prudence bias: assessing institutional forecasters´ asymmetric loss functions
title The prudence bias: assessing institutional forecasters´ asymmetric loss functions
spellingShingle The prudence bias: assessing institutional forecasters´ asymmetric loss functions
Sousa, Pedro Nuno Garcez Moreira de
Macroeconomic 1forecasting
Loss function
Asymmetric preferences
Forecast rationality
Macroeconometrics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The prudence bias: assessing institutional forecasters´ asymmetric loss functions
title_full The prudence bias: assessing institutional forecasters´ asymmetric loss functions
title_fullStr The prudence bias: assessing institutional forecasters´ asymmetric loss functions
title_full_unstemmed The prudence bias: assessing institutional forecasters´ asymmetric loss functions
title_sort The prudence bias: assessing institutional forecasters´ asymmetric loss functions
author Sousa, Pedro Nuno Garcez Moreira de
author_facet Sousa, Pedro Nuno Garcez Moreira de
author_role author
dc.contributor.none.fl_str_mv Duarte, João B.
RUN
dc.contributor.author.fl_str_mv Sousa, Pedro Nuno Garcez Moreira de
dc.subject.por.fl_str_mv Macroeconomic 1forecasting
Loss function
Asymmetric preferences
Forecast rationality
Macroeconometrics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Macroeconomic 1forecasting
Loss function
Asymmetric preferences
Forecast rationality
Macroeconometrics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The general posture towards forecasts is often one of scepticism: provided with the same in formation, predictions differ significantly. But the inefficient use of information might not be the single cause to blame. I assess the potential biased behaviour from fiscal and monetary authorities towards over- and underpredictions of key macroeconomic variables. I propose an estimation routine based on GMM to identify asymmetric loss functions and discuss the plau sible underlying economic costs that shape the preferences of institutions and thus respective forecasts. I find that all institutions favour the overprediction of real output growth and mone tary authorities prefer to underpredict inflation, whilst fiscal authorities tend to overpredict it.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-12
2022-01-12T00:00:00Z
2023-08-25T15:55:55Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/156871
TID:202975029
url http://hdl.handle.net/10362/156871
identifier_str_mv TID:202975029
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv mluisa.alvim@gmail.com
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