This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Modelling oil price expectations: evidence from survey data

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Georges Prat
Remzi Uctum

Additional information is available for the following registered author(s):

Abstract

Using Consensus Forecast survey data on WTI oil price expectations for three and twelve month horizons over the period November 1989 – December 2008, we find that the rational expectation hypothesis is rejected and that none of the traditional extrapolative, regressive and adaptive processes fits the data. We suggest a mixed expectation model defined as a linear combination of these traditional processes, which we interpret as the aggregation of individual mixing behavior and of heterogenous groups of agents using simple processes. This approach is consistent with the economically rational expectations theory. We show that the target price included in the regressive component of this model depends on macroeconomic fundamentals whose effects are subject to structural changes. The estimation results led to validate the mixed expectational model for the two horizons.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://economix.u-paris10.fr/pdf/dt/2009/WP_EcoX_2009-28.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2009-28.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 27 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:drm:wpaper:2009-28

Contact details of provider:
Postal: 200 Avenue de la R�publique, B�t. K - 92001 Nanterre Cedex
Phone: 01 40 97 59 07
Fax: 01 40 97 70 57
Email:
Web page: http://economix.u-paris10.fr
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Bruno Chaves).

Related research
Keywords: Expectations formation; oil price;

Find related papers by JEL classification:
D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November. [Downloadable!] (restricted)
  2. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July. [Downloadable!] (restricted)
  3. Baghestani, Hamid, 1992. "On the Formation of Expected Inflation under Various Conditions: Some Survey Evidence," Journal of Business, University of Chicago Press, vol. 65(2), pages 281-93, April. [Downloadable!] (restricted)
  4. Hammoudeh, Shawkat & Madan, Vibhas, 1995. "Expectations, target zones, and oil price dynamics," Journal of Policy Modeling, Elsevier, vol. 17(6), pages 597-613, December. [Downloadable!] (restricted)
  5. Sethi, Rajiv & Franke, Reiner, 1995. "Behavioural Heterogeneity under Evolutionary Pressure: Macroeconomic Implications of Costly Optimisation," Economic Journal, Royal Economic Society, vol. 105(430), pages 583-600, May. [Downloadable!] (restricted)
  6. Crettez, Bertrand & Michel, Philippe, 1992. "Economically rational expectations equilibrium," Economics Letters, Elsevier, vol. 40(2), pages 203-206, October. [Downloadable!] (restricted)
  7. Cunado, J. & Perez de Gracia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February. [Downloadable!] (restricted)
    Other versions:
  8. Garratt, Anthony & Hall, Stephen G., 1997. "E-equilibria and adaptive expectations: Output and inflation in the LBS model," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1149-1171, June. [Downloadable!] (restricted)
  9. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(03), pages 315-352, June. [Downloadable!]
    Other versions:
  10. James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
  11. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-76, June. [Downloadable!] (restricted)
    Other versions:
  12. Moosa, Imad A. & Al-Loughani, Nabeel E., 1994. "Unbiasedness and time varying risk premia in the crude oil futures market," Energy Economics, Elsevier, vol. 16(2), pages 99-105, April. [Downloadable!] (restricted)
  13. Abramson, Bruce & Finizza, Anthony, 1991. "Using belief networks to forecast oil prices," International Journal of Forecasting, Elsevier, vol. 7(3), pages 299-315, November. [Downloadable!] (restricted)
  14. Friedrich Heinemann & Katrin Ullrich, 2006. "The Impact of EMU on Inflation Expectations," Open Economies Review, Springer, vol. 17(2), pages 175-195, April. [Downloadable!] (restricted)
    Other versions:
  15. Oberlechner, Thomas, 2001. "Importance of Technical and Fundamental Analysis in the European Foreign Exchange Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 81-93, January. [Downloadable!] (restricted)
  16. MacDonald, Ronald & Marsh, Ian, 1993. "On the Efficiency of Oil Price Forecasts," Applied Financial Economics, Taylor and Francis Journals, vol. 3(4), pages 293-302, December. [Downloadable!] (restricted)
  17. Carlos Coimbra & Paulo Soares Esteves, 2004. "Oil price assumptions in macroeconomic forecasts: should we follow futures market expectations?," OPEC Review, Organization of the Petroleum Exporting Countries, vol. 28(2), pages 87-106, 06. [Downloadable!] (restricted)
  18. MacDonald, Ronald, 2000. " Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Blackwell Publishing, vol. 14(1), pages 69-100, February. [Downloadable!] (restricted)
  19. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April. [Downloadable!] (restricted)
  20. Michael Ye & John Zyren & Joanne Shore, 2006. "Short-Run Crude Oil Price and Surplus Production Capacity," International Advances in Economic Research, Springer, vol. 12(3), pages 390-394, August. [Downloadable!] (restricted)
  21. Walls, Margaret A., 1992. "Modeling and forecasting the supply of oil and gas : A survey of existing approaches," Resources and Energy, Elsevier, vol. 14(3), pages 287-309, September. [Downloadable!] (restricted)
  22. Robert K. Kaufmann & Stephane Dees & Pavlos Karadeloglou & Marcelo Sanchez, 2004. "Does OPEC Matter? An Econometric Analysis of Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 25(4), pages 67-90.
  23. Wirl, Franz, 1991. "Energy demand and consumer price expectations : An empirical investigation of the consequences from the recent oil price collapse," Resources and Energy, Elsevier, vol. 13(3), pages 241-262, September. [Downloadable!] (restricted)
  24. Cologni, Alessandro & Manera, Matteo, 2008. "Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries," Energy Economics, Elsevier, vol. 30(3), pages 856-888, May. [Downloadable!] (restricted)
    Other versions:
  25. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October. [Downloadable!] (restricted)
  26. Jesus Crespo Cuaresma & Adusei Jumah & Sohbet Karbuz, 2009. "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," The Energy Journal, International Association for Energy Economics, vol. 30(3), pages 81-90.
    Other versions:
  27. Feige, Edgar L & Pearce, Douglas K, 1976. "Economically Rational Expectations: Are Innovations in the Rate of Inflation Independent of Innovations in Measures of Monetary and Fiscal Policy?," Journal of Political Economy, University of Chicago Press, vol. 84(3), pages 499-522, June. [Downloadable!] (restricted)
  28. Dermot Gately & Hiliard G. Huntington, 2002. "The Asymmetric Effects of Changes in Price and Income on Energy and Oil Demand," The Energy Journal, International Association for Energy Economics, vol. 23(1), pages 19-56.
  29. Michael Ye & John Zyren & Carol Blumberg & Joanne Shore, 2009. "A Short-Run Crude Oil Price Forecast Model with Ratchet Effect," Atlantic Economic Journal, International Atlantic Economic Society, vol. 37(1), pages 37-50, March. [Downloadable!] (restricted)
  30. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October. [Downloadable!] (restricted)
    Other versions:
  31. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    Other versions:
  32. Georges Prat & Remzi Uctum, 2007. "Switching Between Expectation Processes in the Foreign Exchange Market: A Probabilistic Approach Using Survey Data," Post-Print halshs-00081586_v1, HAL. [Downloadable!]
    Other versions:
  33. Pearce, Douglas K, 1984. "An Empirical Analysis of Expected Stock Price Movements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(3), pages 317-27, August. [Downloadable!] (restricted)
  34. S. Gurcan Gulen, 1999. "Regionalization in the World Crude Oil Market: Further Evidence," The Energy Journal, International Association for Energy Economics, vol. 20(1), pages 125-140.
  35. Salah Abosedra, 2005. "Futures versus univariate forecast of crude oil prices," OPEC Review, Organization of the Petroleum Exporting Countries, vol. 29(4), pages 231-241, December. [Downloadable!] (restricted)
  36. John C.B. Cooper, 2003. "Price elasticity of demand for crude oil: estimates for 23 countries," OPEC Review, Organization of the Petroleum Exporting Countries, vol. 27(1), pages 1-8, 03. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS uses the data collected within the RePEc project, the largest online bibliographic database in Economics.

This page was last updated on 2009-11-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.