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Forecasting metal prices: Do forecasters herd?

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  • Pierdzioch, Christian
  • Rülke, Jan-Christoph
  • Stadtmann, Georg

Abstract

We analyze more than 20,000 forecasts of nine metal prices at four different forecast horizons. We document that forecasts are heterogeneous and report that anti-herding appears to be a source of this heterogeneity. Forecaster anti-herding reflects strategic interactions among forecasters that foster incentives to scatter forecasts around a consensus forecast.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 37 (2013)
Issue (Month): 1 ()
Pages: 150-158

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Handle: RePEc:eee:jbfina:v:37:y:2013:i:1:p:150-158

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Web page: http://www.elsevier.com/locate/jbf

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Keywords: Metal prices; Forecasting; Forecaster (anti-)herding;

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  1. David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias In Macroeconomic Forecasts," The Quarterly Journal of Economics, MIT Press, vol. 114(1), pages 293-318, February.
  2. Froot, Kenneth A & Scharftstein, David S & Stein, Jeremy C, 1992. " Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation," Journal of Finance, American Finance Association, vol. 47(4), pages 1461-84, September.
  3. Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series 2502, CESifo Group Munich.
  4. Georg Stadtmann & Christian Pierdzioch & Jan Ruelke, 2011. "Scattered Fiscal Forecasts," Economics Bulletin, AccessEcon, vol. 31(3), pages 2558-2568.
  5. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non-ferrous metal prices," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 651-701, December.
  6. Ronald Bewley & Denzil G. Fiebig, 2002. "On the herding instinct of interest rate forecasters," Empirical Economics, Springer, vol. 27(3), pages 403-425.
  7. Pierdzioch, Christian & Rülke, Jan Christoph & Stadtmann, Georg, 2010. "New evidence of anti-herding of oil-price forecasters," Energy Economics, Elsevier, vol. 32(6), pages 1456-1459, November.
  8. Hsieh, David A & Kulatilaka, Nalin, 1982. " Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange," Journal of Finance, American Finance Association, vol. 37(5), pages 1199-1207, December.
  9. Dan Bernhardt & Murillo Campbello & Edward Kutsoati, 2002. "Who Herds?," Discussion Papers Series, Department of Economics, Tufts University 0213, Department of Economics, Tufts University.
  10. Rosen, Sherwin, 1981. "The Economics of Superstars," American Economic Review, American Economic Association, vol. 71(5), pages 845-58, December.
  11. Marcel Naujoks & Kevin Aretz & Alexander Kerl & Andreas Walter, 2009. "Do German security analysts herd?," Financial Markets and Portfolio Management, Springer, vol. 23(1), pages 3-29, March.
  12. Dooley, Gillian & Lenihan, Helena, 2005. "An assessment of time series methods in metal price forecasting," Resources Policy, Elsevier, vol. 30(3), pages 208-217, September.
  13. Scharfstein, David S & Stein, Jeremy C, 1990. "Herd Behavior and Investment," American Economic Review, American Economic Association, vol. 80(3), pages 465-79, June.
  14. Sephton, Peter S. & Cochrane, Donald K., 1990. "A note on the efficiency of the London metal exchange," Economics Letters, Elsevier, vol. 33(4), pages 341-345, August.
  15. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 23-42, March.
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Cited by:
  1. Agyei-Ampomah, Sam & Gounopoulos, Dimitrios & Mazouz, Khelifa, 2014. "Does gold offer a better protection against losses in sovereign debt bonds than other metals?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 507-521.

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