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

journal contribution
posted on 2023-06-08, 22:12 authored by E Mamatzakis, A Koutsomanoli-Filippaki
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

History

Publication status

  • Published

File Version

  • Published version

Journal

Energy Policy

ISSN

0301-4215

Publisher

Elsevier

Volume

68

Page range

567-575

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2015-08-25

First Compliant Deposit (FCD) Date

2015-08-25

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