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Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data

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  • Czudaj, Robert L.

Abstract

This paper assesses information contained in the micro dataset of the ECB Survey of Professional Forecasters regarding quarterly Brent crude oil price forecasts. We examine the expectations building mechanism by referring to the processing of information and confirm the presence of information rigidity within the crude oil market. However, our findings also show that simple models of imperfect information considered in the literature are insufficient to explain the behavior of professional forecasters. We provide additional stylized facts which are helpful for designing more elaborate imperfect information models.

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  • Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    • Handle: RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000071
    DOI: 10.1016/j.euroecorev.2022.104041
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    Cited by:

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    4. Czudaj, Robert L., 2023. "Expectation Formation and the Phillips Curve Revisited," MPRA Paper 119478, University Library of Munich, Germany.

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    More about this item

    Keywords

    Crude oil; Disagreement; Expectations; Heterogeneity; Information rigidity; Survey data;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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