«The increase in (oil) prices has not been driven by supply and demand.»
Lord Browne, Group Chief Executive of BP (2006)
«[…] the sharp increases and extreme volatility of oil prices have led observers to suggest that some part of the rise in prices reflects a speculative component arising from the activities of traders in the oil markets. «
Ben Bernanke, Chairman, Federal Reserve Board (2004)
I en artikkel publisert av forskningsavdelingen av The Federal Reserve St. Louis prøver Luciana Juvenal og Ivan Petrella å nøste opp i pådriverne av endringer i oljeprisen. Tidligere har prominente politikere og kommentatorer sitert både spekulanter og tilbud/etterspørsel i sine beskrivelser av volatiliteten i oljemarkedet.
Artikkelen kan du lese her og fra konklusjonen:
(i) While global demand shocks account for the largest share of oil price fluctuations, financial speculative demand shocks are the second most important driver.
(ii) The comovement between oil prices and the price of other commodities is explained by global demand and financial speculative demand shocks.
(iii) The increase in oil prices in the last decade is mainly explained by the strength of global demand.
However, financial speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent collapse. Our results support the view that the financialization process of commodity markets explains part of the recent increase in oil prices.
For å kunne nøste opp i dette benytter forfatterne seg av en factor-augmented vector autoregressive (FAVAR) for å si dette:
Like before, global demand shocks are the most important driver of oil prices, accounting for up to 44% of oil price fluctuations. Financial speculative demand shocks are the second most important driver, explaining up to 15% of oil price movements. The speculative oil inventory demand shock is particularly important on impact (13%) but decreases to 8% at longer horizons. The oil supply shock is the least relevant driver, explaining less than 10% of the variation in oil prices at all horizons.
Så, spekulasjon er en viktig faktor og det er etterspørselsokk som er viktigst. Dette gjenspeiler eksisterende litteratur.