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2EME SEANCE DU SEMINAIRE DE RECHERCHES EN ÉCONOMIE DE L’ÉNERGIE DE PARIS-SCIENCES-LETTRES

ANALYSE DES DÉTERMINANTS DES FLUCTUATIONS DES PRIX DU PÉTROLE

Mercredi 13 février 2013, 16h30 - 18h30
Université Paris-Dauphine, Place du Maréchal de Lattre de Tassigny,
Salle A 709, 7ème étage, Nouvelle Aile

PROGRAMME ET PRÉSENTATIONS

Le Séminaire de Recherches en Économie de l’Énergie de Paris-Sciences-Lettres est conjointement organisé par le CERNA, LE CGEMP, la Chaire European Electricity Markets, Mines ParisTech et l'Université Paris-Dauphine. Il est animé par François LEVEQUE (CERNA et MINES PARIS TECH) et Dominique FINON (Chaire European Electricity Markets, CNRS-CIRED).

Yannick LE PEN (LEDA-CGEMP, Paris-Dauphine) : Macro Factors in Oil Future Returns
Présentation

Bassam FATTOUH, (Director, Oxford Institute of Economic Studies): The Role of Speculation in Oil Markets: What Have We Learned So Far?
Présentation

La discussion des présentations sera introduite par Denis BABUSIAUX, ancien directeur du Centre d’Economie-Gestion de l’Ecole nationale supérieure du pétrole (IFP) , président de la Section économie de l’AFTP (Association française des Techniciens du pétrole) et membre de l' Académie des Technologies
Présentation

Le séminaire a eu lieu en Anglais.

Summary of the presentations

Yannick LE PEN and Benoît SEVI
We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract on the period 1993-2011. From a new data base of 187 real and nominal macroeconomic variables from developed and emerging countries, we then regress crude oil return on several combinations of the 9 most relevant factors. Our best model explains around 38% of the variability of oil futures return. More interestingly, the factor with the largest influence on crude oil price is related to variables from emerging countries.

Bassam FATTOUH
A popular view is that the surge in the real 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. The presentation will review the evidence supporting this view. We identify six strands in the literature and discuss to what extent each 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, but reflects common economic fundamentals rather than the financialization of oil futures markets.

Pour toute information complémentaire, veuillez prendre contact avec les organisateurs: Monsieur Dominique Finon: finon@centre-cired.fr

et Monsieur François Lévêque: francois.leveque@ensmp.fr