Are Oil Price Forecasters Finally Right? Regressive Expectations Toward More Fundamental Values of the Oil Price

48 Pages Posted: 8 Jun 2016

See all articles by Stefan Reitz

Stefan Reitz

German Federal Bank - Economics Department

Jan-Christoph Rülke

WHU - Otto Beisheim School of Management

Georg Stadtmann

European University Viadrina Frankfurt (Oder)

Date Written: 2009

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

JEL Classification: F31, D84, C33

Suggested Citation

Reitz, Stefan and Rülke, Jan-Christoph and Stadtmann, Georg, Are Oil Price Forecasters Finally Right? Regressive Expectations Toward More Fundamental Values of the Oil Price (2009). Bundesbank Series 1 Discussion Paper No. 2009,32. Available at SSRN: https://ssrn.com/abstract=2785362

Stefan Reitz (Contact Author)

German Federal Bank - Economics Department ( email )

Wilhelm-Epstein-Str. 14
60431 Frankfurt
Germany

Jan-Christoph Rülke

WHU - Otto Beisheim School of Management

Burgplatz 2
Vallendar, 56179
Germany

Georg Stadtmann

European University Viadrina Frankfurt (Oder) ( email )

Grosse Scharrnstr. 59
Frankfurt (Oder), Brandenburg 15230
Germany

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