Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197−1125 , 2005 , 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

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... k rational. JEL classification: F31, D84 We thank an anonymous referee for helpful comments and suggestions. We gratefully acknowledge the financial support received from the Deutsche Bundesbank through the foundation 'Geld and Währung' (S126/ 10081/11).