Oil price analysts' forecasts

Isabel Figuerola‐Ferretti, Alejandro Rodríguez and Eduardo Schwartz

Journal of Futures Markets, 2021, vol. 41, issue 9, 1351-1374

Abstract: 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.

Date: 2021
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https://doi.org/10.1002/fut.22225

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