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

Stefan Reitz, Jan Ruelke and Georg Stadtmann

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Oil price; survey data; forecast bias; peso problem (search for similar items in EconPapers)
JEL-codes: D84 (search for similar items in EconPapers)
Date: 2009-06-05
New Economics Papers: this item is included in nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Are oil-price-forecasters finally right? – Regressive expectations towards more fundamental values of the oil price (2009)
Working Paper: Are oil price forecasters finally right? Regressive expectations toward more fundamental values of the oil price (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15607

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