How good are analyst forecasts of oil prices?

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dc.contributor.authorCortazar, Gonzalo
dc.contributor.authorOrtega, Hector
dc.contributor.authorValencia, Consuelo
dc.date.accessioned2025-01-20T22:06:36Z
dc.date.available2025-01-20T22:06:36Z
dc.date.issued2021
dc.description.abstractEven though there is a wide consensus that having good oil price forecasts is very valuable for many agents in the economy, results have not been fully satisfactory and there is an ongoing effort to improve their accuracy. Research has explored many different modeling approaches including time series, regressions, and artificial intelligence, among others. Also, many different sources of input data have been used like spot and futures prices, product spreads, and micro and macro variables.
dc.description.abstractThis paper explores how useful analyst expected price data are for forecasting when appropriate measures are taken to account for their sparse nature and high volatility. It proposes a multifactor stochastic pricing model, with time-varying risk premiums calibrated with filtered futures and analyst forecasts using a Kalman Filter.
dc.description.abstractThe forecasting model is applied to ten years of oil prices and analyst forecasts, from NYMEX and Bloomberg, respectively. Results are very encouraging showing that the model forecasts are much better than the no-change forecasts, commonly used as a benchmark, and better than those from the widely used Bloomberg's Consensus Expected Price Model. We conclude that analyst forecasts are a valuable source of input data that should be considered in future forecasting models.
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.eneco.2021.105500
dc.identifier.eissn1873-6181
dc.identifier.issn0140-9883
dc.identifier.urihttps://doi.org/10.1016/j.eneco.2021.105500
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/94215
dc.identifier.wosidWOS:000705292700009
dc.language.isoen
dc.revistaEnergy economics
dc.rightsacceso restringido
dc.subjectForecasting
dc.subjectOil prices
dc.subjectFutures
dc.subjectExpected prices
dc.subjectPricing models
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleHow good are analyst forecasts of oil prices?
dc.typeartículo
dc.volumen102
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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