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

Stefan Reitz, Jan-Christoph Rülke and Georg Stadtmann ()

No 09-04, WHU Working Paper Series - Economics Group from WHU - Otto Beisheim School of Management

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: C33 D84 F31 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published Journal of Economics and Statistics 230(4), 2010, 454-466

Downloads: (external link)
https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-5216 (application/pdf)

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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