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

This paper assesses information contained in the micro dataset 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 rigid...

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Bibliographic Details
Published in:European economic review 2022-04, Vol.143, p.104041, Article 104041
Main Author: Czudaj, Robert L.
Format: Article
Language:English
Subjects:
Crude oil
Disagreement
Expectations
Heterogeneity
Information rigidity
Survey data
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Summary:This paper assesses information contained in the micro dataset 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 literature are insufficient to explain the behavior of professional forecasters. We provide additional stylized facts which are helpful for designing more elaborate imperfect information models.
ISSN:0014-2921
1873-572X
DOI:10.1016/j.euroecorev.2022.104041