* OIL PRICE, MACROECONOMIC DYNAMICS AND FINANCIAL SPECULATION
Claudio Morana, Università del Piemonte Orientale and Fondazione Eni Enrico Mattei

The paper investigates the determinants of real oil prices since the 1980s by means of a large-scale macroeconometric model, allowing for an accurate modelling of oil demand and supply interactions and the macro-finance interface. Preliminary results show that oil supply and macro-finance (fundamental) factors are the key determinants of the real oil price; while the contribution of the supply and macro factors appear to be sizeable over all the time span considered, (fundamental) financial factors show an increasing role since the 2000s. No role for financial speculation in the oil market is finally detected concerning the determination of the oil price.

 

** EXCESS SPECULATION AND POSITION LIMITS: AN ANALYSIS OF THE VOLUME-VOLATILITY RELATIONS IN ENERGY FUTURES MARKETS
Andrea Bastianin, Università degli Studi di Milano-Bicocca and Fondazione Eni Enrico Mattei

In this article we study the relationship between trading activity and price volatility in energy futures markets, which is at the heart of the ongoing debate about the impact of speculators on energy prices. The statistically significant and positive contemporaneous correlation between volatility and volume has been extensively documented in many markets. After analysing this correlation, we carry out an exercise aimed at evaluating the effectiveness of position limits with respect to four energy commodities: crude oil, unleaded gasoline, heating oil and natural gas.