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Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price

Author

Listed:
  • Reitz, Stefan
  • Ruelke, Jan
  • Stadtmann, Georg
Abstract
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.

Suggested Citation

  • Reitz, Stefan & Ruelke, Jan & Stadtmann, Georg, 2009. "Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price," MPRA Paper 15607, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:15607
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    References listed on IDEAS

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    Cited by:

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    2. Clostermann, Jörg & Keis, Nikolaus & Seitz, Franz, 2010. "Short-term oil models before and during the financial market crisis," Arbeitsberichte – Working Papers 18, Technische Hochschule Ingolstadt (THI).
    3. Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013. "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, vol. 36(C), pages 491-502.

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    More about this item

    Keywords

    Oil price; survey data; forecast bias; peso problem;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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