Jan-Christoph Rülke

WHU Otto Beisheim School of Management, Vallendar, Rheinland-Pfalz, Germany

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Publications (39)9.93 Total impact

  • Christian Pierdzioch, Jan-Christoph Rülke
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    ABSTRACT: We apply a simple test to study the effect of the publication of central banks’ interest-rate projections on the coordination of private-sector interest-rate forecasts. Our results indicate that the publication of interest-rate projections does not lead private-sector forecasters to coordinate their forecasts. In fact, private-sector forecasters rather seem to anti-coordinate, that is, they scatter their forecasts around a consensus forecast or around a central bank's interest-rate projections.
    The North American Journal of Economics and Finance 04/2014; · 0.76 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: Given that the prices of gold and silver have witnessed large and substantial swings in recent years, policymakers and investors need readily available and reliable forecasts of the prices of these two precious metals. Survey data of forecasts of the prices of gold and silver provide a particularly rich data environment for policymakers and investors to study developments in the markets for gold and silver. Our research helps to develop a deeper understanding of the properties of survey data of the prices of gold and silver. We study the shape of forecasters’ loss function and the rationality of their forecasts. Assuming an asymmetric loss function weakens evidence against forecast rationality, but results depend on the empirical model being studied.
    The Quarterly Review of Economics and Finance 08/2013; 53(3):294–301.
  • Jan-Christoph Rülke, Christian Pierdzioch
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    ABSTRACT: The cross-sectional dispersion of private-sector forecasts has been used in recent research on currency crises as a measure of uncertainty over expected fundamentals. We argue that the cross-sectional dispersion of private-sector forecasts need not only reflect uncertainty over expected fundamentals but may also arise due to a deliberate scattering of forecasts. Using data on foreign exchange (FX) reserve forecasts for 11 South-American and Eastern-European countries, we report evidence of such a forecast scattering that seems more pronounced during the economic crisis of 2008/09.
    Applied Economics Letters 03/2013; 20(5). · 0.23 Impact Factor
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    Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their forecast fell short of the price of oil. Accounting for the asymmetry of the loss function does not necessarily make forecasts look rational. --
    Applied Economics 01/2013; 45(17). · 0.46 Impact Factor
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    ABSTRACT: We use a nonparametric market-timing test to study the directional accuracy of survey forecasts of the prices of gold and silver. We find that forecasters have market-timing ability with respect to the direction of change of the price of silver at various forecast horizons. In contrast, forecasters have no market-timing ability with respect to the direction of change in the gold price. Combining forecasts of both metal prices to set up a multivariate market-timing test yields no evidence of joint predictability of the directions of change of the prices of gold and silver.
    Applied Economics Letters 01/2013; 20(12). · 0.23 Impact Factor
  • Ralf Fendel, Michael Frenkel, Jan-Christoph Rülke
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    ABSTRACT: This article uses the monthly Wall Street Journal poll between 2002 and 2010 to analyse whether professional economic forecasters believe in and, thus, apply Taylor-type rules for their own forecasts. Using their forecasts for the Federal Funds rate, the inflation rate and capacity utilization, we estimate whether these are internally consistent with the message of Taylor(-type) rules. We find that the expectation formation can indeed be described by Taylor-type rules.
    Applied Economics - APPL ECON. 01/2013; 45(7):829-838.
  • Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: We use the term structure of forecasts of housing starts to test for rationality of forecasts. Our test is based on the idea that short-term and long-term forecasts should be internally consistent. We test the internal consistency of forecasts using data for Australia, Canada, Japan and the United States. Using a simple model of forecast formation, we find that forecasts are not internally consistent, leading to a rejection of forecast rationality.
    Applied Economics Letters 01/2013; 20(9). · 0.23 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: We analyze more than 20,000 forecasts of nine metal prices at four different forecast horizons. We document that forecasts are heterogeneous and report that anti-herding appears to be a source of this heterogeneity. Forecaster anti-herding reflects strategic interactions among forecasters that foster incentives to scatter forecasts around a consensus forecast.
    Journal of Banking & Finance 01/2013; 37(1):150–158. · 1.29 Impact Factor
  • Jan-Christoph Rülke
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    ABSTRACT: Using survey data from six Asian-Pacific countries, we report that professional forecasters apply the wage Phillips curve, the price Phillips curve, and Okun's law when forecasting macroeconomic variables. This result is robust when using time-varying coefficients, different forecast horizons and when taking business-cycle asymmetries into account. The results also suggest that the confidence in macroeconomic relationships was more pronounced during the economic crisis 2007–2009 and when looking at longer forecast horizons.
    Japan and the World Economy. 12/2012; 24(4):317–324.
  • Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: We used the yen/dollar exchange-rate forecasts of the Wall Street Journal (WSJ) poll to analyse whether exchange-rate forecasters have an asymmetric loss function. To this end, we applied an approach recently developed by Elliott et al. (2005). We found that only few forecasters seem to form forecasts under an asymmetric loss function. For some forecasters, accounting for the asymmetry of their loss function makes their forecasts look rational.
    Applied Economics Letters 12/2012; 19(18):1759-1763. · 0.23 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: The Livingston survey data are used to investigate whether economists’ forecasts are consistent with the Taylor principle. Consistency with the Taylor principle is strong for academics and Federal Reserve economists, and less strong for private-sector economists.
    Economics Letters. 10/2012; 117(1):96–98.
  • Jan-Christoph Rülke
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    ABSTRACT: We analyze more than 40,000 forecasts of the annual growth rate of the money supply, the inflation rate, and the growth rate for eleven Asian–Pacific countries between 1994 and 2011. We document that forecasters believe in nominal effects of future monetary policy.
    Economics Letters. 10/2012; 117(1):178–181.
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    Jan-Christoph Rülke
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    ABSTRACT: Central bank projections have gained considerable attention for monetary policy modelling. However, less is known about the nature of central bank projections. This letter explores the unbiasedness and rationality of more than 2000 growth and inflation projections published by 15 major central banks. The results indicate that central bank projections are rational and unbiased in most cases. Interestingly, inflation projections are more biased than growth projections.
    Applied Economics Letters 09/2012; 19(13):1257-1263. · 0.23 Impact Factor
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    Stefan Reitz, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.
    Journal of Economic Dynamics and Control 09/2012; 36(9). · 0.86 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke
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    ABSTRACT: We use the Livingston survey data to study whether forecasters of the S&P 500 stock price index herd. Our results imply that forecasters do not herd. Rather, we find that forecasters anti-herd. Anti-herding is less prevalent among academics and Federal Reserve economists. Forecaster anti-herding is inversely correlated with forecast accuracy. Forecaster anti-herding is not correlated with age.
    Economics Letters 09/2012; 116(3):326–329. · 0.45 Impact Factor
  • Dirk Bleich, Ralf Fendel, Jan-Christoph Rülke
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    ABSTRACT: Though Svensson, 1997 and Svensson, 2003 provides theoretical evidence that the introduction of inflation targeting is consistent with an inflation stabilizing monetary policy, empirical evidence that the introduction of inflation targeting actually changes central bank’s behavior is still missing. This paper aims to close this gap and estimates forward-looking monetary policy rules for 20 inflation targeting countries. To this end, we use a data set which is available to the central bank in real-time, published on a frequently basis, comparable among all countries, and which includes the periods before and after the introduction of inflation targeting. We find that the introduction of inflation targeting significantly shifts the central bank’s reaction function toward inflation stabilizing. We also provide evidence of time-varying effects and find that central banks stabilize inflation once inflation targeting is introduced. We take our results as strong evidence that the introduction of inflation targeting makes the difference for monetary policy strategies.
    Journal of International Money and Finance 09/2012; 31(5):1092–1105. · 1.02 Impact Factor
  • Dirk Bleich, Ralf Fendel, Jan-Christoph Rülke
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    ABSTRACT: This article provides robust estimates that the Bank of Canada, Bank of England, Federal Reserve Bank and the European Central Bank (ECB) respond to a 1% increase in oil price expectations with an increase in the interest rate of on average about 11 basis points. To correctly assess the information set of a central bank we use private sector forecasts and disentangle oil price expectations from inflation expectations. We also find asymmetries in the central bank's behaviour and report that those central banks do not respond to the realized oil price.
    Applied Economics Letters 07/2012; 19(10):969-973. · 0.23 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke
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    ABSTRACT: Recent research shows that forecasts of housing starts provide evidence of forecaster anti-herding. Because this result is in contrast to the widespread belief that forecasters herd, we reexamined the question of forecaster anti-herding using data from the Livingston Survey. Using a novel empirical test developed by Bernhardt et al. (2006, Journal of Financial Economics, 80, 657-67), we found strong evidence that forecasters of U.S. housing starts anti-herd.
    International Journal of Economics and Finance. 06/2012; 4(7).
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    ABSTRACT: Using forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some forecasters seem to forecasts under an asymmetric loss function, symmetry of the loss function cannot be rejected for other forecasters. An asymmetric loss function does not necessarily make survey data of exchange-rate forecasts look rational, and the loss function seems to depend not only on the forecast error.
    03/2012;
  • Ralf Fendel, Jan-Christoph Rülke
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    ABSTRACT: We provide empirical evidence on the Lucas Supply Function based on actual inflation surprises for 19 industrial economies. Our results show that the inflation surprise positively correlates with the output gap and that this relationship is negatively related to inflation variability.
    Economics Letters - ECON LETT. 01/2012;