I would normally not think about using olive oil for much more than a sautée, primarily due to the expense, but this conversation made me look into the smoke points for various oils, especially since I was always led to believe that olive oil had a somewhat high smoke point. Here are a couple of references:
The first, from about.com:
Oil/Fat Fahrenheit Celsius
Canola Oil - Unrefined 225°F 107°C
Safflower Oil - Unrefined 225°F 107°C
Sunflower Oil - Unrefined 225°F 107°C
Corn Oil - Unrefined 320°F 160°C
Peanut Oil - Unrefined 320°F 160°C
Olive Oil - Extra Virgin 320°F 160°C
Safflower Oil - Semirefined 320°F 160°C
Butter 350°F 177°C
Olive Oil - High Quality, Extra Virgin 405°F 206°C
Olive Oil - Virgin 420°F 215°C
Corn Oil - Refined 450°F 232°C
Peanut Oil - Refined 450°F 232°C
Safflower Oil - Refined 450°F 232°C
Sunflower Oil - Refined 450°F 232°C
Canola Oil - Semirefined 465°F 240°C
Olive Oil - Extra Light 470°F 243°C
Canola Oil - Refined 470°F 243°C
Avocado Oil 520°F 270°C
(I tried to paste these from a table in Word, unsuccessfully, it seems. Apologies in advance.)
Next, from the sweetly named cookingforengineers.com
www.cookingforengineers.com/article/50/Smoke-Points-of-Various-FatsFat Smoke Point °F Smoke Point °C
Unrefined canola oil 225°F 107°C
Unrefined flaxseed oil 225°F 107°C
Unrefined safflower oil 225°F 107°C
Unrefined sunflower oil 225°F 107°C
Unrefined corn oil 320°F 160°C
Unrefined high-oleic sunflower oil 320°F 160°C
Extra virgin olive oil 320°F 160°C
Unrefined peanut oil 320°F 160°C
Semirefined safflower oil 320°F 160°C
Unrefined soy oil 320°F 160°C
Unrefined walnut oil 320°F 160°C
Hemp seed oil 330°F 165°C
Butter 350°F 177°C
Semirefined canola oil 350°F 177°C
Coconut oil 350°F 177°C
Unrefined sesame oil 350°F 177°C
Semirefined soy oil 350°F 177°C
Vegetable shortening 360°F 182°C
Lard 370°F 182°C
Macadamia nut oil 390°F 199°C
Refined canola oil 400°F 204°C
Semirefined walnut oil 400°F 204°C
High quality (low acidity) extra virgin olive oil 405°F 207°C
Sesame oil 410°F 210°C
Cottonseed oil 420°F 216°C
Grapeseed oil 420°F 216°C
Virgin olive oil 420°F 216°C
Almond oil 420°F 216°C
Hazelnut oil 430°F 221°C
Peanut oil 440°F 227°C
Sunflower oil 440°F 227°C
Refined corn oil 450°F 232°C
Refined high-oleic sunflower oil 450°F 232°C
Refined peanut oil 450°F 232°C
Refined Safflower oil 450°F 232°C
Semirefined sesame oil 450°F 232°C
Refined soy oil 450°F 232°C
Semirefined sunflower oil 450°F 232°C
Olive pomace oil 460°F 238°C
Extra light olive oit 468°F 242°C
Soybean oil 495°F 257°C
Safflower oil 510°F 266°C
Avocado oil 520°F 271°C
Leave it to the very thorough engineers to test oils that possibly aren't even available to buy easily.
Personally, I would be less inclined to use olive oil simply because I do not have enough room in my freezer to store multiple varieties of used cooking oils. I honestly have no issue with disposing of used safflower oil, though. Some of the other oils that are suitable for high heat frying might leave an undesired taste on the tempura (depending on your tastes).
And this could start a whole other thread about how to identify a semi-refined oil from a refined one. This isn't something that springs to mind when I recall the labels of oils at the store. And a quick check of my pantry tells me that the 3 oils I have on hand: Vegetable (aka the awful soybean oil), Extra-Virgin Olive and Peanut oils do not specifically indicate their respective states of refinement.
However I, too, am now craving tempura...must find someone else to make it... ;D