A note on forecasting the rate of change of the price of oil: Asymmetric loss and forecast rationality

We study whether forecasts of the rate of change of the price of oil are rational. To this end, we consider a model that allows the shape of forecasters' loss function to be studied. The shape of forecasters' loss function may be consistent with a symmetric or an asymmetric loss function. We find that an asymmetric loss function often (but not always) makes forecasts look rational, and we also report that forecast rationality may have changed over time.

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Year of publication:	2013
Authors:	Pierdzioch, Christian ; Rülke, Jan-Christoph
Published in:	Economies. - Basel : MDPI, ISSN 2227-7099. - Vol. 1.2013, 1, p. 6-13
Publisher:	Basel : MDPI
Subject:	oil price \| forecasting \| loss function \| rationality of forecasts

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/economies1010006 [DOI] 746500564 [GVK] hdl:10419/98468 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010369332