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New Evidence of Anti-Herding of Oil-Price Forecasters

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Listed:
  • Christian Pierdzioch
  • Jan-Christoph Rülke
  • Georg Stadtmann

Abstract

We used the oil-price forecasts of the Survey of Professional Forecasters published by the European Central Bank to analyze whether oil-price forecasters herd or anti-herd. Oil-price forecasts are consistent with herding (anti-herding) of forecasters if forecasts are biased towards (away from) the consensus forecast. Based on a new empirical test developed by Bernhardt et al. (J. Financ. Econ. 80: 657-675, 2006), we found strong evidence of anti-herding among oil-price forecasters.

Suggested Citation

  • Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2010. "New Evidence of Anti-Herding of Oil-Price Forecasters," WHU Working Paper Series - Economics Group 10-04, WHU - Otto Beisheim School of Management.
  • Handle: RePEc:whu:wpaper:10-04
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    References listed on IDEAS

    as
    1. Lamont, Owen A., 2002. "Macroeconomic forecasts and microeconomic forecasters," Journal of Economic Behavior & Organization, Elsevier, vol. 48(3), pages 265-280, July.
    2. 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.
    3. 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.
    4. Manzanares, Andrés & Garcí­a, Juan Angel, 2007. "Reporting biases and survey results: evidence from European professional forecasters," Working Paper Series 836, European Central Bank.
    5. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
    6. Batchelor, Roy A. & Dua, Pami, 1990. "Product differentiation in the economic forecasting industry," International Journal of Forecasting, Elsevier, vol. 6(3), pages 311-316, October.
    7. Bernhardt, Dan & Campello, Murillo & Kutsoati, Edward, 2006. "Who herds?," Journal of Financial Economics, Elsevier, vol. 80(3), pages 657-675, June.
    8. 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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    Citations

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    Cited by:

    1. Atalla, Tarek & Joutz, Fred & Pierru, Axel, 2016. "Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1178-1192.
    2. Leppin, Julian Sebastian, 2014. "The relation between overreaction in forecasts and uncertainty: A nonlinear approachvon," HWWI Research Papers 158, Hamburg Institute of International Economics (HWWI).
    3. Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2011. "Forecasting U.S. car sales and car registrations in Japan: Rationality, accuracy and herding," Japan and the World Economy, Elsevier, vol. 23(4), pages 253-258.
    4. 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.
    5. Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2012. "Housing Starts in Canada, Japan, and the United States: Do Forecasters Herd?," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 754-773, October.
    6. repec:eee:eneeco:v:65:y:2017:i:c:p:50-63 is not listed on IDEAS
    7. Christian Pierdzioch & Jan Christoph Rülke & Georg Stadtmann, 2012. "House Price Forecasts, Forecaster Herding, and the Recent Crisis," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(1), pages 1-14, November.
    8. 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.
    9. Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2014. "Short-selling bans and institutional investors' herding behaviour: Evidence from the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 262-269.
    10. 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.
    11. Pierdzioch, Christian & Rülke, Jan-Christoph, 2012. "Forecasting stock prices: Do forecasters herd?," Economics Letters, Elsevier, vol. 116(3), pages 326-329.
    12. Tillmann, Peter, 2011. "Strategic forecasting on the FOMC," European Journal of Political Economy, Elsevier, vol. 27(3), pages 547-553, September.
    13. Michael P Clements, 2014. "Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-12, Henley Business School, Reading University.
    14. Rülke Jan-Christoph, 2012. "Do Private Sector Forecasters Desire to Deviate From the German Council of Economic Experts?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(4), pages 414-428, August.
    15. Christian Pierdzioch & Jan-Christoph Rülke, 2013. "A note on the anti-herding instinct of interest rate forecasters," Empirical Economics, Springer, vol. 45(2), pages 665-673, October.
    16. 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.
    17. Pierdzioch, Christian & Rülke, Jan-Christoph, 2014. "Central banks’ interest rate projections and forecast coordination," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 130-137.
    18. Georg Stadtmann & Christian Pierdzioch & Jan Ruelke, 2011. "Scattered Fiscal Forecasts," Economics Bulletin, AccessEcon, vol. 31(3), pages 2558-2568.
    19. Mehmet Balcilar & Riza Demirer & Talat Ulussever, 2016. "Does speculation in the oil market drive investor herding in net exporting nations?," Working Papers 15-29, Eastern Mediterranean University, Department of Economics.
    20. Víctor López-Pérez, 2017. "Do professional forecasters behave as if they believed in the New Keynesian Phillips Curve for the euro area?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 147-174, February.
    21. Frenkel, Michael & Rülke, Jan-Christoph & Zimmermann, Lilli, 2013. "Do private sector forecasters chase after IMF or OECD forecasts?," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 217-229.
    22. Leppin, Julian Sebstian, 2014. "The Relation Between Overreaction in Forecasts and Uncertainty: A Nonlinear Approach," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100284, Verein für Socialpolitik / German Economic Association.
    23. Rülke, Jan-Christoph & Silgoner, Maria & Wörz, Julia, 2016. "Herding behavior of business cycle forecasters," International Journal of Forecasting, Elsevier, vol. 32(1), pages 23-33.
    24. Fildes, Robert, 2015. "Forecasters and rationality—A comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding," International Journal of Forecasting, Elsevier, vol. 31(1), pages 140-143.

    More about this item

    Keywords

    Oil price; Forecasting; Herding;

    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; Spatio-temporal Models

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