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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.

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Verfasserangaben:Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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