Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys

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• 作者：Tarek Atalla^a ; ^{Tarek.atallah@kapsarc.org" class="auth_mail" title="E-mail the corresponding author}Author Vitae ; Fred Joutz^a ; ^b ; ^{Fred.joutz@kapsarc.org" class="auth_mail" title="E-mail the corresponding author} ; ^{bmark@gwu.edu" class="auth_mail" title="E-mail the corresponding author}Author Vitae ; Axel Pierru^a ; ^{Axel.pierru@kapsarc.org" class="auth_mail" title="E-mail the corresponding author}Author Vitae
• 关键词：Disagreement ; Forecaster ; Oil price ; Survey ; Volatility
• 刊名：International Journal of Forecasting
• 出版年：2016
• 出版时间：October-December 2016
• 年：2016
• 卷：32
• 期：4
• 页码：1178-1192
• 全文大小：1193 K

文摘

We examine quarterly oil price forecasts from the Survey of Professional Forecasters conducted by the European Central Bank. We present three empirical findings, all of which are robust to the number of respondents considered. First, the dispersion of forecasts is correlated positively with the average forecast error for all forecast horizons. Second, at the current and next quarter horizons, the oil price volatility observed through to the end of the forecast horizon statistically explains the disagreement among oil forecasters. Third, we use the disagreement among forecasters to derive a measure of the price volatility which is correlated well with the volatility observed ex post. When the forecast horizon is one quarter ahead, the disagreement-based volatility is equal to the price volatility observed subsequently, plus a small add factor. These results support the view that the disagreement among forecasters reflects the price volatility.