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.
Verfasserangaben: | Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann |
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URN: | urn:nbn:de:hbz:992-opus4-4568 |
Schriftenreihe (Bandnummer): | WHU – Working Paper Series in Economics (WP 10/04) |
Dokumentart: | Arbeitspapier |
Sprache: | Englisch |
Datum der Veröffentlichung (online): | 26.06.2017 |
Datum der Freischaltung: | 26.06.2017 |
Freies Schlagwort / Tag: | Herdentrieb; Prognose; Ölpreis Forecasting; Herding; Oil price |
Seitenzahl: | 15 |
Institute: | WHU Economics Group / Chair of Macroeconomics and International Economics |
JEL-Klassifikation: | 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 | |
Lizenz (Deutsch): | Copyright for this publication |