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

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Department of Economics, Helmut-Schmidt-University, Holstenhofweg 85, P.O. Box 700822, 22008 Hamburg, Germany
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Department of Economics, Wissenschaftliche Hochschule für Unternehmensführung (WHU)-Otto Beisheim School of Management, Burgplatz 2, 56179 Vallendar, Germany
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Author to whom correspondence should be addressed.
Economies 2013, 1(1), 6-13; https://doi.org/10.3390/economies1010006
Received: 28 February 2013 / Revised: 14 March 2013 / Accepted: 16 March 2013 / Published: 27 March 2013
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. View Full-Text
Keywords: oil price; forecasting; loss function; rationality of forecasts oil price; forecasting; loss function; rationality of forecasts
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Pierdzioch, C.; Rülke, J.-C. A Note on Forecasting the Rate of Change of the Price of Oil: Asymmetric Loss and Forecast Rationality. Economies 2013, 1, 6-13.

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