Jan-Christoph Rülke

EBS Universität für Wirtschaft und Recht, Wiesbaden, Hesse, Germany

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Publications (47)18.26 Total impact

  • Christian Pierdzioch, Jan-Christoph Rülke
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    ABSTRACT: We use survey data to study whether the exchange-rate forecasts made by professional forecasters are informative with respect to the direction of subsequent changes of (Asian, Eastern European, and South American) emerging market exchange rates. While results vary across exchange rates, we find that forecasts are often informative with respect to directional changes of exchange rates. We derive our empirical results using techniques developed to analyze relative operating characteristic (ROC) curves.
    International Review of Economics & Finance 03/2015; DOI:10.1016/j.iref.2015.03.003 · 0.93 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
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    ABSTRACT: We study the rationality of the inflation forecasts of the central banks of Argentina, Brazil, Chile, and Mexico. We reject rationality under a symmetric (Chile is an exception) but not under an asymmetric loss function. An overprediction implies a larger loss than an underprediction. We also analyze alternative rationality tests, growth forecasts, and private-sector forecasts.
    Economics Letters 02/2015; 129. DOI:10.1016/j.econlet.2015.02.014 · 0.45 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke
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    ABSTRACT: Using the Livingston survey data, we test internal consistency restrictions on short-term, medium-term, and long-term stock market forecasts of the S&P 500®. We find that neither short-term forecasts are consistent with medium-term forecasts nor that medium-term forecasts are consistent with long-term forecasts. Using a forecast formation process featuring a distributed lag structure, however, we find some weak evidence of internal inconsistency of medium-term forecasts with long-term forecasts.
    Journal of Behavioral Finance 10/2014; 15(4). DOI:10.1080/15427560.2014.968720 · 0.14 Impact Factor
  • 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; 28. DOI:10.1016/j.najef.2014.02.006 · 0.76 Impact Factor
  • Ralf Fendel, Jan-Christoph Ruelke
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    ABSTRACT: This article analyses the usefulness of the quantity equation from the financial market's view. We use more than 10 000 forecasts of financial analysts concerning projections of the growth rate of money supply, prices and real output for six Central and Eastern European countries to test whether they are internally consistent with the quantity equation. In particular, we report that forecasts are consistent with the quantity equation in high-inflation countries and high-inflation regimes.
    Applied Economics 10/2013; 46(3):329-335. DOI:10.1080/00036846.2013.839862 · 0.46 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke
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    ABSTRACT: We suggest a simple test of whether an inflation target anchors private-sector inflation expectations. The test is easy to compute and it is robust to various sources of misspecification. The test may be a useful alternative to dispersion measures commonly studied in research on inflation targeting. Using data for 22 inflation targeting countries, we find for many countries that the forecasters scatter their inflation forecasts away from the inflation target. We account for the endogeneity of inflation targets, we study the variability of our finding across countries and across time, and we study to which extent our results depend on the level and variability of inflation targets.
    Economic Modelling 09/2013; 35:214-223. DOI:10.1016/j.econmod.2013.06.042 · 0.70 Impact Factor
  • Michael Frenkel, Jan-Christoph Rülke, Lilli Zimmermann
    Journal of Macroeconomics 09/2013; 37:217-229. DOI:10.1016/j.jmacro.2013.03.002 · 0.62 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 08/2013; 20(12). DOI:10.1080/13504851.2013.791014 · 0.23 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. DOI:10.1016/j.qref.2013.04.002
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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 06/2013; 45(17). DOI:10.1080/00036846.2012.663478 · 0.46 Impact Factor
  • 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 06/2013; 20(9). DOI:10.1080/13504851.2012.752568 · 0.23 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke
    06/2013; 1(1):6-13. DOI:10.3390/economies1010006
  • 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). DOI:10.1080/13504851.2012.716149 · 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 03/2013; 45(7):829-838. DOI:10.1080/00036846.2011.613770 · 0.46 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. DOI:10.1016/j.jbankfin.2012.08.016 · 1.29 Impact Factor
  • 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. DOI:10.1080/13504851.2012.659338 · 0.23 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. DOI:10.1016/j.japwor.2012.05.002 · 0.34 Impact Factor
  • Christian Pierdzioch, Jan-Christoph Rülke
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    ABSTRACT: With regard to interest rate forecasts, earlier researchers have found mixed evidence of forecaster herding. Using the Livingston survey data, we reexamined the case for forecaster herding. We did not find evidence of forecaster herding. On the contrary, we found strong evidence of forecaster anti-herding.
    Empirical Economics 10/2012; DOI:10.1007/s00181-012-0630-0 · 0.60 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. DOI:10.1016/j.econlet.2012.04.085 · 0.45 Impact Factor
  • 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. DOI:10.1016/j.econlet.2012.04.104 · 0.45 Impact Factor