Summary:
Crude oil analysts provide forecasts on future spot prices, which are collected by Bloomberg. We exploit this survey to compare analysts' forecasting ability to futures contracts and also among analysts themselves. We address the problems arising from unstructured forecast data and use the Mean-Squared Prediction Error (MSPE) relative to the no-change forecast and the Diebold and Mariano test. The applied approach represents a substantial improvement compared with the standard MSPE methodology as it corrects for volatility and maturity effects on forecasting performance measures. Finally, we establish that futures prices supersede analyst forecasts and elaborate a performance-based ranking of analyst firms.
Keywords: analyst, crude oil futures, forecast
JCR Impact Factor and WoS quartile: 2,350 - Q3 (2021); 1,900 - Q3 (2022)
DOI reference:
https://doi.org/10.1002/fut.22225
Published on paper: September 2021.
Published on-line: June 2021.
Citation:
I. Figuerola-Ferretti Garrigues, A. Rodríguez, E. Schwartz, Oil price analysts' forecasts. Journal of Futures Markets. Vol. 41, nº. 9, pp. 1351 - 1374, September 2021. [Online: June 2021]
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