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

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.

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Year of publication:	2009
Authors:	Reitz, Stefan ; Rülke, Jan-Christoph ; Stadtmann, Georg
Publisher:	Frankfurt a. M. : Deutsche Bundesbank
Subject:	Erdölpreis \| Sachverständige \| Erwartungstheorie \| Prognose \| Bias \| Extremwertanalyse \| Welt \| Oil price \| survey data \| forecast bias \| peso problem

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Series:	Discussion Paper Series 1 ; 2009,32
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-3-86558-584-4
Other identifiers:	61499229X [GVK] hdl:10419/29652 [Handle] RePEc:zbw:bubdp1:200932 [RePEc]
Classification:	F31 - Foreign Exchange ; D84 - Expectations; Speculations ; C33 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10010299850