Oil price analysts' forecasts

I. Figuerola-Ferretti Garrigues, A. Rodríguez, E. Schwartz

Journal of Futures Markets Vol. 41, nº. 9, pp. 1351 - 1374

Resumen:

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.

Palabras Clave: analyst, crude oil futures, forecast

Índice de impacto JCR y cuartil WoS: 2,350 - Q3 (2021); 1,900 - Q3 (2022)

Referencia DOI: https://doi.org/10.1002/fut.22225

Publicado en papel: Septiembre 2021.

Publicado on-line: Junio 2021.

Cita:
I. Figuerola-Ferretti Garrigues, A. Rodríguez, E. Schwartz, Oil price analysts' forecasts. Journal of Futures Markets. Vol. 41, nº. 9, pp. 1351 - 1374, Septiembre 2021. [Online: Junio 2021]