A Note on Forecasting the Rate of Change of the Price of Oil: Asymmetric Loss and Forecast Rationality

We study whether forecasts of the rate of change of the price of oil are rational. To this end, we consider a model that allows the shape of forecasters’ loss function to be studied. The shape of forecasters’ loss function may be consistent with a symmetric or an asymmetric loss function. We find that an asymmetric loss function often (but not always) makes forecasts look rational, and we also report that forecast rationality may have changed over time.

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Year of publication:	2013
Authors:	Pierdzioch, Christian ; Rülke, Jan-Christoph
Published in:	Economies. - MDPI, Open Access Journal, ISSN 2227-7099. - Vol. 1.2013, 1, p. 6-13
Publisher:	MDPI, Open Access Journal
Subject:	oil price \| forecasting \| loss function \| rationality of forecasts

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	E - Macroeconomics and Monetary Economics ; F - International Economics ; I - Health, Education, and Welfare ; J - Labor and Demographic Economics ; O - Economic Development, Technological Change, and Growth ; Q - Agricultural and Natural Resource Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011030385