Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100284
Authors: 
Leppin, Julian Sebstian
Year of Publication: 
2014
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Forecasting B16-V1
Abstract: 
This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate and multivariate transition functions to account for nonlinear relations. Data on oil price expectations for different time horizons are taken from the European Central Bank Survey of Professional Forecasters. The results show that forecasters overreact for low levels of uncertainty and underreact for increasing uncertainty. Furthermore, returns are found to be more relevant for forecast changes in short time horizons while uncertainty dominates for longer ones.
JEL: 
G14
G29
C33
Document Type: 
Conference Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.