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.
Download (202Kb) | Preview
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|
Anderson, J., 2005, Oil Prices and China, The Economist 374 (8414), February 19th, 2005 (64).
Andrews, D.W.K, 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica 59 (3), 817 – 58.
Batchelor, R.A., 2001, How useful are the forecasts of intergovernmental agencies? – The IMF and OECD versus the consensus, Applied Economics 33, 225 – 35.
Barsky, R. and L. Kilian, 2004, Oil and the Macroeconomy since the 1970s, Journal of Economic Perspectives, 115 – 34.
Bekaert, G., Hodrick, R. and D. Marshall, 2001, ’Peso Problem’ Explanations for Term Structure Anomalies, Journal of Monetary Economics, 241 – 70.
Blix, M., Wadefjord, J., Wienecke, U. and A. Martin, 2001, How Good is the Forecasting Performance of Major Institutions?, Economic Review of the Swedish Central Bank (3).
Brown, S.P.A., Virmani, R. and R. Alm, 2008, Crude Awakening: Behind the Surge in Oil Prices, Economic Letter 3 (5), Federal Reserve Bank of Dallas.
Castro, V., 2008, Are Central Banks Following a Linear or Nonlinear (augmented) Taylor Rule?, NIPE Working Paper 19/2008.
Christiano, L., 1989, P*: Not the Inflation Forecaster’s Holy Grail, Federal Reserve Bank of Minneapolis Quarterly Review 13, 3 – 18.
Diebold, F.X., and R.S. Mariano, 1995, Comparing Predictive Accuracy, Journal of Business and Economic Statistics 13, 253 – 63.
Elliott, G. and T. Ito, 1999, Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market, Journal of Monetary Economics 43, 435 – 56.
Evans, M., 1996, Peso problems: their theoretical and empirical implications, in: G.S. Maddala and C.R. Rao (eds.): Handbook of Statistics 14, 613 – 46.
Evans, M. and R. Lyons, 2005, Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting, American Economic Review Papers and Proceedings 95 (2), 406 – 12.
Faust J., Rogers J.H. and J.H. Wright, 2003, Exchange Rate Forecasting: The Errors We’ve Really Made, Journal of International Economics 60, 35 – 59.
Fricke, T., 2009, Nieder mit den miesen Prognostikern!, Financial Times Deutschland (online), January 9th, 2009.
Gray, S., 1996, Modeling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics 42, 27 – 62.
Hamilton, J.D., 1988, Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates, Journal of Economic Dynamics and Control 12, 385 – 423.
Hamilton, J.D., 1994, Time Series Analysis, Princeton, Princeton University Press.
Hansen, L.P., 1982, Large Sample Properties of Generalized Method of Moments Estimators, Econometrica 50 (4), 1029 – 54.
Ito, T., 1990, Foreign Exchange Expectations: Micro Survey Data, American Economic Review 80, 434 – 49.
Kaminsky, G., 1993, Is there a Peso Problem? Evidence from the Dollar/Pound Exchange Rate 1976 – 1987, American Economic Review 83, 450 – 72.
Keane, M.P. and D.E. Runkle, 1990, Testing the Rationality of Price Forecasts: New Evidence from Panel Data, American Economic Review 80 (4), 714 – 35.
Kilian, L., 2008, Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?, Review of Economics and Statistics 90 (2), 216 – 40.
Kolb, R.A. and H.O. Stekler, 1996, Is There a Consensus among Financial Forecasters?, International Journal of Forecasting 12 (4), 455 – 64.
Krasker W.S., 1980, The ‘Peso Problem’ in Testing Efficiency of Forward Exchange Markets, Journal of Monetary Economics 6, 269 – 76.
Laster, D., Bennett, P., and I.S. Geoum, 1999, Rational Bias in Macroeconomic Forecasts, Quarterly Journal of Economics 114 (1), 293 – 318.
MacDonald, R. and I.W.Marsh, 1993, On the efficiency of oil price forecasts, Applied Financial Economics 3, 293 – 302.
MacDonald, R. and I.W. Marsh, 1996, Currency forecasters are heterogeneous: confirmation and consequences, Journal of International Money and Finance 15, 665 – 85.
Mark, N., 1995, Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability, American Economic Review 85 (1), 201 – 18.
Mitchell, K. and D.K. Pearce, 2007, Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal’s panel of economists, Journal of Macroeconomics 29, 840 – 54.
Nordhaus, W.D., 1987, Forecasting Efficiency: Concepts and Applications, Review of Economics and Statistics, 667 – 74.
Newey, W. and K. West, 1987, A Simple, Positive Semidefinite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55 (3), 703 – 08.
Reitz, S. and U. Slopek, 2009, Nonlinear Oil Price Dynamics – A Tale of Heterogeneous Speculators?, German Economic Review, forthcoming.