Oil price, macroeconomic dynamics and financial speculation
12:00 - 13:30
The paper investigates the determinants of real oil prices since the 1980s by means of a large-scale macroeconometric model, allowing for an accurate modeling of oil demand and supply interactions and the macro-finance interface. Results show that macro-finance (fundamental) factors are the key determinants of the real oil price; while the contribution of the macro factors appear to be sizable over all the time span considered, (fundamental) financial factors show an increasing role since the 2000s. A non negligible role for financial speculation in the oil futures market is also found: out of the 26% increase in the oil price, over the period 2005-2010, up to 7% may be related to speculative shocks, i.e. 30% of the total real oil price appreciation since 2005.