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Abstract

We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations. Our findings seem to indicate 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, this result appears to be biased due to peso problems. --

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2009,32.

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Date of creation: 2009
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Handle: RePEc:zbw:bubdp1:200932

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Related research

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

Other versions of this item:

Find related papers by JEL classification:

• F31 - International Economics - - International Finance - - - Foreign Exchange
• D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
• C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series

This paper has been announced in the following NEP Reports:

• NEP-ALL-2010-02-05 (All new papers)
• NEP-ENE-2010-02-05 (Energy Economics)
• NEP-FOR-2010-02-05 (Forecasting)

References

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