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Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price

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  • Reitz, Stefan
  • Ruelke, Jan
  • Stadtmann, Georg

Abstract

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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15607.

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Date of creation: 05 Jun 2009
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Handle: RePEc:pra:mprapa:15607

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Keywords: Oil price; survey data; forecast bias; peso problem;

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