On the efficiency of oil price forecasts

MacDonald, R. and Marsh, I. W. (1993) On the efficiency of oil price forecasts. Applied Financial Economics, 3(4), pp. 293-302. (doi:10.1080/758534940)

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Abstract

A new, fully disaggregated database is employed to examine the efficiency of oil market expectations and the expectations-generating mechanisms of institutions in the G7 countries. Considerable evidence of heterogeneous behaviour both within and between countries is demonstrated. Many forecasters are found to exhibit inelastic (stabilizing) expectations, and unbiasedness and efficiency are resoundingly rejected. Though many forecasters prove relatively accurate, taking account of previous errors would improve performance.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Marsh, I. W.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Applied Financial Economics
Publisher:Taylor and Francis
ISSN:0960-3107
ISSN (Online):1466-4305

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