A Note on Forecasting the Rate of Change of the Price of Oil: Asymmetric Loss and Forecast Rationality

Christian Pierdzioch and Jan-Christoph Rülke
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Jan-Christoph Rülke: Department of Economics, Wissenschaftliche Hochschule für Unternehmensführung (WHU)-Otto Beisheim School of Management, Burgplatz 2, 56179 Vallendar, Germany

Economies, 2013, vol. 1, issue 1, 1-8

Abstract: We study whether forecasts of the rate of change of the price of oil are rational. To this end, we consider a model that allows the shape of forecasters’ loss function to be studied. The shape of forecasters’ loss function may be consistent with a symmetric or an asymmetric loss function. We find that an asymmetric loss function often (but not always) makes forecasts look rational, and we also report that forecast rationality may have changed over time.

Keywords: oil price; forecasting; loss function; rationality of forecasts (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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