The wide fluctuations of oil prices from 2003 to 2008 have attracted the interest of academics and policy makers. A popular view is that these fluctuations were caused by speculative bubbles, due to the increased financialization of oil futures markets. This hypothesis, however, is difficult to examine since the fundamental price of oil is unobservable and, therefore, econometric evidence in favour of bubbles may actually be due to misspecified market fundamentals. In this paper, we extend two recently proposed methodologies for bubble detection that alleviate this problem by using market expectations of future prices. Both methodologies provide no evidence to support the view that speculative bubbles were the cause of oil price movements in the 2000s. We argue that fundamentals, instead, were the driving factor.