Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data

This paper assesses information contained in the micro data set of the ECB Survey of Professional Forecasters regarding quarterly Brent crude oil price forecasts. We examine the expectations building mechanism by referring to the processing of information and confirm the presence of information rigidity within the crude oil market. However, our findings also show that simple models of imperfect information considered in the previous literature are insufficient to explain the behavior of professional forecasters. We provide additional stylized facts which are helpful to design more elaborate imperfect information models. In addition, we also derive a new measure of ex post forecast uncertainty related to the Brent crude oil price and analyze its effect on the real economy.

• Publication year

  2022

• Venue

  European Economic Review

• Publication date

  2022-02-01

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1016/j.euroecorev.2022.104041
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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