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Forecasting metal prices: Do forecasters herd?

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  • Pierdzioch, Christian
  • Rülke, Jan-Christoph
  • Stadtmann, Georg

Abstract

We analyze more than 20,000 forecasts of nine metal prices at four different forecast horizons. We document that forecasts are heterogeneous and report that anti-herding appears to be a source of this heterogeneity. Forecaster anti-herding reflects strategic interactions among forecasters that foster incentives to scatter forecasts around a consensus forecast.

Suggested Citation

  • Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 150-158.
  • Handle: RePEc:eee:jbfina:v:37:y:2013:i:1:p:150-158
    DOI: 10.1016/j.jbankfin.2012.08.016
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    References listed on IDEAS

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    1. Dooley, Gillian & Lenihan, Helena, 2005. "An assessment of time series methods in metal price forecasting," Resources Policy, Elsevier, vol. 30(3), pages 208-217, September.
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    7. Hsieh, David A & Kulatilaka, Nalin, 1982. " Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange," Journal of Finance, American Finance Association, vol. 37(5), pages 1199-1207, December.
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    10. Menkhoff, Lukas & Rebitzky, Rafael R. & Schröder, Michael, 2009. "Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
    11. David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias in Macroeconomic Forecasts," The Quarterly Journal of Economics, Oxford University Press, vol. 114(1), pages 293-318.
    12. Pierdzioch, Christian & Rülke, Jan Christoph & Stadtmann, Georg, 2010. "New evidence of anti-herding of oil-price forecasters," Energy Economics, Elsevier, vol. 32(6), pages 1456-1459, November.
    13. Ronald Bewley & Denzil G. Fiebig, 2002. "On the herding instinct of interest rate forecasters," Empirical Economics, Springer, vol. 27(3), pages 403-425.
    14. Marcel Naujoks & Kevin Aretz & Alexander Kerl & Andreas Walter, 2009. "Do German security analysts herd?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 3-29, March.
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    Cited by:

    1. Babalos, Vassilios & Stavroyiannis, Stavros & Gupta, Rangan, 2015. "Do commodity investors herd? Evidence from a time-varying stochastic volatility model," Resources Policy, Elsevier, vol. 46(P2), pages 281-287.
    2. Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016. "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers 22991, National Bureau of Economic Research, Inc.
    3. Demirer, Rıza & Lee, Hsiang-Tai & Lien, Donald, 2015. "Does the stock market drive herd behavior in commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 32-44.
    4. Antonakakis, Nikolaos & Kizys, Renatas, 2015. "Dynamic spillovers between commodity and currency markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 303-319.
    5. repec:eee:pacfin:v:47:y:2018:i:c:p:60-78 is not listed on IDEAS
    6. Cummins, Mark & Dowling, Michael & Lucey, Brian M., 2015. "Behavioral influences in non-ferrous metals prices," Resources Policy, Elsevier, vol. 45(C), pages 9-22.
    7. R?za Demirer & Hsiang-Tai Lee & Donald Lien, 2013. "Commodity Financialization and Herd Behavior in Commodity Futures Markets," Working Papers 0221fin, College of Business, University of Texas at San Antonio.
    8. repec:eee:eneeco:v:66:y:2017:i:c:p:399-410 is not listed on IDEAS
    9. Pierdzioch, Christian & Reid, Monique B. & Gupta, Rangan, 2016. "Inflation forecasts and forecaster herding: Evidence from South African survey data," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 62(C), pages 42-50.
    10. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "A real-time quantile-regression approach to forecasting gold returns under asymmetric loss," Resources Policy, Elsevier, vol. 45(C), pages 299-306.
    11. Galariotis, Emilios C. & Krokida, Styliani-Iris & Spyrou, Spyros I., 2016. "Bond market investor herding: Evidence from the European financial crisis," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 367-375.
    12. repec:eee:ecmode:v:68:y:2018:i:c:p:318-328 is not listed on IDEAS
    13. Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "A note on forecasting the prices of gold and silver: Asymmetric loss and forecast rationality," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 294-301.
    14. Mark Cummins & Brian M. Lucey & Michael M. Dowling, 2014. "Behavioral Influences in Non-Ferrous Metals Prices," The Institute for International Integration Studies Discussion Paper Series iiisdp459, IIIS.
    15. Agyei-Ampomah, Sam & Gounopoulos, Dimitrios & Mazouz, Khelifa, 2014. "Does gold offer a better protection against losses in sovereign debt bonds than other metals?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 507-521.

    More about this item

    Keywords

    Metal prices; Forecasting; Forecaster (anti-)herding;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics

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