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The speculative component of the real price of oil is identified with the help of data on oil inventories. Our estimates rule out explanations of the 2003\u20132008 oil price surge based on unexpectedly diminishing oil supplies and based on speculative trading. Instead, this surge was caused by unexpected increases in world oil consumption driven by the global business cycle. There is evidence, however, that speculative demand shifts played an important role during earlier oil price shock episodes including 1979, 1986 and 1990. Our analysis implies that additional regulation of oil markets would not have prevented the 2003\u20132008 oil price surge. We also show that, even after accounting for the role of inventories in smoothing oil consumption, our estimate of the short\u2010run price elasticity of oil demand is much higher than traditional estimates from dynamic models that do not account for for the endogeneity of the price of oil. Copyright \u00a9 2013 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2322","type":"journal-article","created":{"date-parts":[[2013,4,10]],"date-time":"2013-04-10T01:31:14Z","timestamp":1365557474000},"page":"454-478","source":"Crossref","is-referenced-by-count":1173,"title":["THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL"],"prefix":"10.1002","volume":"29","author":[{"given":"Lutz","family":"Kilian","sequence":"first","affiliation":[{"name":"Department of Economics University of Michigan Ann Arbor MI USA"},{"name":"CEPR London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Daniel P.","family":"Murphy","sequence":"additional","affiliation":[{"name":"Department of Economics University of Michigan Ann Arbor MI USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2013,4,10]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1159"},{"key":"e_1_2_9_3_1","first-page":"137","volume-title":"NBER Macroeconomics Annual 2001","author":"Barsky RB","year":"2002"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2011.648859"},{"key":"e_1_2_9_5_1","unstructured":"BaumeisterC KilianL.2012b.Real\u2010time analysis of oil price risks using forecast scenarios. 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