Oil price forecasting under asymmetric loss

Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

Applied Economics, 2013, vol. 45, issue 17, 2371-2379

Abstract: Based on the approach developed by Elliott et al . (2005), 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.

Date: 2013
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DOI: 10.1080/00036846.2012.663478

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