Oil price forecasting under asymmetric loss

Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

No 314, Discussion Papers from European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics

Abstract: Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their forecast fell short of the price of oil. Accounting for the asymmetry of the loss function does not necessarily make forecasts look rational.

Keywords: oil price; forecasting; loss function; rationality of forecasts (search for similar items in EconPapers)
JEL-codes: D84 F31 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ene, nep-for and nep-upt
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Journal Article: Oil price forecasting under asymmetric loss (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:euvwdp:314

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