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Modelling oil price expectations: evidence from survey data

Georges Prat () and Remzi Uctum ()

No 2009-28, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: Using Consensus Forecast survey data on WTI oil price expectations for three and twelve month horizons over the period November 1989 – December 2008, we find that the rational expectation hypothesis is rejected and that none of the traditional extrapolative, regressive and adaptive processes fits the data. We suggest a mixed expectation model defined as a linear combination of these traditional processes, which we interpret as the aggregation of individual mixing behavior and of heterogenous groups of agents using simple processes. This approach is consistent with the economically rational expectations theory. We show that the target price included in the regressive component of this model depends on macroeconomic fundamentals whose effects are subject to structural changes. The estimation results led to validate the mixed expectational model for the two horizons.

Keywords: Expectations formation; oil price (search for similar items in EconPapers)
JEL-codes: D84 G14 Q43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-ene
Date: 2009
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Journal Article: Modelling oil price expectations: Evidence from survey data (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2009-28

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