Multivariate test for forecast rationality under asymmetric loss functions: Recent evidence from MMS survey of inflation-output forecasts

► MMS forecasts of US inflation and output not rational under symmetric loss. ► Assuming univariate loss causes inefficiencies and invalid inferences. ► PPI forecasts not rational under univariate Linlin/Linex asymmetric loss. ► IP forecasts rational under univariate asymmetric Linex loss. ► MMS inflation-output are jointly rational under multivariate asymmetric Linex loss.