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

Stefan Reitz, Jan-Christoph Rülke and Georg Stadtmann

No 2009,32, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations. Our findings seem to indicate 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, this result appears to 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)
Date: 2009
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 (3)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/29652/1/61499229X.pdf (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 towards more fundamental values of the oil price (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:200932

Access Statistics for this paper

More papers in Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().