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Are oil-price-forecasters finally right?

  • We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecaster build their expectations. Our findings point into the direction that the extrapolative as well as the regressive expectation formation hypothesis play a role. Standard measures of forecast accuracy reveal forecasters' underperformance relative to the random-walk benchmark. However, it seems that this result might be biased due to peso problems.

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Metadaten
Author:Stefan Reitz, Jan-Christoph Rülke, Georg Stadtmann
URN:urn:nbn:de:hbz:992-opus4-5216
Subtitle (English):Regressive expectations towards more fundamental values of the oil price
Series (Serial Number):WHU – Working Paper Series in Economics (WP 09/04)
Publisher:WHU - Otto Beisheim School of Management
Place of publication:Vallendar
Document Type:Working Paper
Language:English
Date of Publication (online):2017/11/24
Year of first Publication:2009
Release Date:2017/11/24
Tag:Abweichung von der Vorhersage; Befragungsdaten; Erdölpreis; Peso <Währung>; Währungsproblem
Currency problem; Forecast bias; Oil price; Peso <Currency>; Survey data
Page Number:26
Institutes:WHU Economics Group / Chair of Monetary 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