A note on forecasting the prices of gold and silver: Asymmetric loss and forecast rationality

被引：5

作者：

Pierdzioch, Christian ^{[1
]}

Ruelke, Jan-Christoph ^{[2
]}

Stadtmann, Georg ^{[3
,4
]}

机构：

[1] Helmut Schmidt Univ, Dept Econ, D-22008 Hamburg, Germany

[2] WHU Otto Beisheim Sch Management, Dept Econ, D-56179 Vallendar, Germany

[3] Univ Southern Denmark, Dept Business & Econ, Campusvej 55, DK-5230 Odense M, Denmark

[4] Europa Univ Viadrina, Lehrstuhl Volkswirtschaftslehre, Insb Makrookon, D-15207 Frankfurt, Oder, Germany

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2013年 / 53卷 / 03期

关键词：

Gold; Silver; Forecasting; Loss function;

D O I：

10.1016/j.qref.2013.04.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Given that the prices of gold and silver have witnessed large and substantial swings in recent years, policymakers and investors need readily available and reliable forecasts of the prices of these two precious metals. Survey data of forecasts of the prices of gold and silver provide a particularly rich data environment for policymakers and investors to study developments in the markets for gold and silver. Our research helps to develop a deeper understanding of the properties of survey data of the prices of gold and silver. We study the shape of forecasters loss function and the rationality of their forecasts. Assuming an asymmetric loss function weakens evidence against forecast rationality, but results depend on the empirical model being studied. (C) 2013 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

引用

页码：294 / 301

页数：8

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