Structural VAR [structural vector autoregressive] models that nest alternative explanations of the evolution of the real price of oil provide strong evidence of speculation in 1979, 1986, 1990 and late 2002, but are not supportive of speculation being an important determinant of the real price of oil during 2003 and mid-2008. Instead these models imply that both spot and futures prices were driven by a common component reflecting economic fundamentals.

Ein White Paper von Bassam Fattouh (Oxford Institute for Energy Studies), Lutz Kilian (University of Michigan) und Lavan Mahadeva (Oxford Institute for Energy Studies, School of Oriental and African Studies) über die Rolle von Spekulation auf den Ölpreis (18. März 2012).

A popular view is that the surge in the price of oil during 2003-08 cannot be explained by economic fundamentals, but was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major determinant of the spot price of oil. This interpretation has been driving policy efforts to regulate oil futures markets. This survey reviews the evidence supporting this view. We identify six strands in the literature corresponding to different empirical methodologies and discuss to what extent each approach sheds light on the role of speculation. We find that the existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003. Instead, there is strong evidence that the co-movement between spot and futures prices reflects common economic fundamentals rather than the financialization of oil futures markets.