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    Testing the rationality of DOE's energy price forecasts under asymmetric loss preferences

    Mamatzakis, Emmanuel and Koutsomanoli-Filippaki, A. (2014) Testing the rationality of DOE's energy price forecasts under asymmetric loss preferences. Energy Policy 68 , pp. 567-575. ISSN 0301-4215.

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    This paper examines the rationality of the price forecasts for energy commodities of the United States Department of Energy's (DOE), departing from the common assumption in the literature that DOE's forecasts are based on a symmetric underlying loss function with respect to positive vs. negative forecast errors. Instead, we opt for the methodology of Elliott et al. (2005) that allows testing the joint hypothesis of an asymmetric loss function and rationality and reveals the underlying preferences of the forecaster. Results indicate the existence of asymmetries in the shape of the loss function for most energy categories with preferences leaning towards optimism. Moreover, we also examine whether there is a structural break in those preferences over the examined period, 1997–2012.


    Item Type: Article
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Research Centres and Institutes: Accounting and Finance Research Centre
    Depositing User: Emmanuel Mamatzakis
    Date Deposited: 06 Mar 2020 13:13
    Last Modified: 02 Aug 2023 17:57


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