The role of market fundamentals and speculation in recent price changes for crude oil

摘要: I hypothesize that the price spike and collapse of 2007–2008 are driven by both changes in market fundamentals speculative pressures. Contrary to arguments for a demand shock, prices rise sharply because ongoing growth Chinese oil runs into sudden unexpected halt decade long increase non-OPEC production. This caused loss OPEC spare capacity increased production ahead increases capacity. These reinforced expectations. Although difficult measure directly, argue role speculation based on following: (1) significant private US crude inventories since 2004; (2) repeated extended break-downs (starting 2004) cointegrating relationship between spot far month future inconsistent with law one arbitrage opportunities; (3) statistical predictive failures an econometric model is fundamentals. related behavior impact noise traders asset sketch mechanisms which expectations can affect prices.