The aim of the study is to discuss the relationship of the crude oil price, speculative activity and fundamental factors. An empirical study was conducted with a VEC model. Two cointegrating vectors were identified. The first vector represents the speculative activity. We argue that the number of short non-commercial positions increases with the crude oil stock and price, decreases with the higher number of long non-commercial positions. A positive trend of crude oil prices may be a signal for traders outside the industry to invest in the oil market, especially as access to information could be limited for them. The second vector represents the crude oil price under the fundamental approach. The results support the hypothesis that the crude oil price is dependent on futures trading. The higher is a number of commercial long positions, the greater is the pressure on crude oil price to increase.
We estimated a structural vector autoregressive (SVAR) model describing the links between a banking sector and a real economy. We proposed a new method to verify robustness of impulse-response functions to the ordering of variables in an SVAR model. This method applies permutations of orderings of variables and uses the Cholesky decomposition of the error covariance matrix to identify parameters. Impulse response functions are computed and combined for all permutations. We explored the method in practice by analyzing the macro-financial linkages in the Polish economy. Our results indicate that the combined impulse response functions are more uncertain than those from a single model specification with a given ordering of variables, but some findings remain robust. It is evident that macroeconomic aggregate shocks and interest rate shocks have a significant impact on banking variables.