New evidence of anti-herding of oil-price forecasters
- We used the oil-price forecasts of the 'Survey of Professional Forecasters' published by the European Central Bank to analyze whether oil-price forecasters herd or anti-herd. Oil-price forecasts are consistent with herding (anti-herding) of forecasters if forecasts are biased towards (away from) the consensus forecast. Based on a new empirical test developed by Bernhardt et al. (J. Financ. Econ. 80: 657-675, 2006), we found strong evidence of anti-herding among oil-price forecasters.
Author: | Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann |
---|---|
URN: | urn:nbn:de:hbz:992-opus4-4568 |
Series (Serial Number): | WHU – Working Paper Series in Economics (WP 10/04) |
Document Type: | Working Paper |
Language: | English |
Date of Publication (online): | 2017/06/26 |
Release Date: | 2017/06/26 |
Tag: | Herdentrieb; Prognose; Ölpreis Forecasting; Herding; Oil price |
Page Number: | 15 |
Institutes: | WHU Economics Group / Chair of Macroeconomics and International Economics |
JEL-Classification: | C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C33 Models with Panel Data |
D Microeconomics / D8 Information, Knowledge, and Uncertainty / D84 Expectations; Speculations | |
F International Economics / F3 International Finance / F31 Foreign Exchange | |
Licence (German): | Copyright for this publication |