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

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  • Atalla, Tarek
  • Joutz, Fred
  • Pierru, Axel

Abstract

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.

Suggested Citation

  • Atalla, Tarek & Joutz, Fred & Pierru, Axel, 2016. "Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1178-1192.
  • Handle: RePEc:eee:intfor:v:32:y:2016:i:4:p:1178-1192
    DOI: 10.1016/j.ijforecast.2015.09.009
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    References listed on IDEAS

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    Cited by:

    1. Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016. "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers 22991, National Bureau of Economic Research, Inc.
    2. Oscar Claveria & Enric Monte & Salvador Torra, 2018. "“A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations”," IREA Working Papers 201806, University of Barcelona, Research Institute of Applied Economics, revised Mar 2018.
    3. repec:eee:appene:v:220:y:2018:i:c:p:138-153 is not listed on IDEAS

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    Keywords

    Disagreement; Forecaster; Oil price; Survey; Volatility;

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