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Oil price analysts' forecasts
Author(s) -
FiguerolaFerretti Isabel,
Rodríguez Alejandro,
Schwartz Eduardo
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22225
Subject(s) - futures contract , volatility (finance) , econometrics , economics , exploit , crude oil , ranking (information retrieval) , financial economics , computer science , machine learning , engineering , computer security , petroleum engineering
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.