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A Note on Forecasting the Rate of Change of the Price of Oil: Asymmetric Loss and Forecast Rationality

Author

Listed:
  • Christian Pierdzioch

    (Department of Economics, Helmut-Schmidt-University, Holstenhofweg 85, P.O. Box 700822, 22008 Hamburg, Germany)

  • Jan-Christoph Rülke

    (Department of Economics, Wissenschaftliche Hochschule für Unternehmensführung (WHU)-Otto Beisheim School of Management, Burgplatz 2, 56179 Vallendar, Germany)

Abstract

We study whether forecasts of the rate of change of the price of oil are rational. To this end, we consider a model that allows the shape of forecasters’ loss function to be studied. The shape of forecasters’ loss function may be consistent with a symmetric or an asymmetric loss function. We find that an asymmetric loss function often (but not always) makes forecasts look rational, and we also report that forecast rationality may have changed over time.

Suggested Citation

  • Christian Pierdzioch & Jan-Christoph Rülke, 2013. "A Note on Forecasting the Rate of Change of the Price of Oil: Asymmetric Loss and Forecast Rationality," Economies, MDPI, vol. 1(1), pages 1-8, March.
    • Handle: RePEc:gam:jecomi:v:1:y:2013:i:1:p:6-13:d:24612
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    Citations

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    Cited by:

    1. Christoph Behrens, 2019. "A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss," Economies, MDPI, vol. 7(3), pages 1-23, September.
    2. Jun-Lin Lin & Yiqing Zhang & Kunhuang Zhu & Binbin Chen & Feng Zhang, 2020. "Asymmetric Loss Functions for Contract Capacity Optimization," Energies, MDPI, vol. 13(12), pages 1-13, June.

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