Reitz, Stefan and Ruelke, Jan and Stadtmann, Georg (2009): Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price|
|Keywords:||Oil price, survey data, forecast bias, peso problem|
|Subjects:||D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D84 - Expectations; Speculations|
|Depositing User:||Stefan Reitz|
|Date Deposited:||10. Jun 2009 05:59|
|Last Modified:||13. Feb 2013 01:05|
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