Periclase (MgO) has been studied up to 16 GPa and temperatures in excess of 3000 K by X-ray diffraction in an energy-dispersive configuration at the DCI storage ring of LURE (Laboratoire pour l'Utilisation du Royonnement Electromagnetique, Orsay, France). The experiments were conducted in a diamond-anvil cell heated with a CO2 laser with argon as a pressure transmitting medium. With this newly developed experimental set-up, the molar volume of periclase was measured as a function of pressure and temperature, which were both measured on-line. The thermal expansion coefficient (alpha) determined in these preliminary experiments has apparently too strong a pressure dependence, decreasing for instance from 4.9 10(-5) K-1 at room pressure to 7.5 10(-6) K-1 at 13.0 GPa. These results would yield a very high Anderson-Gruneisen parameter (delta(T) = 25-30), in disagreement with the expected delta(T) = 6.5-4.3, as calculated for MgO or obtained by Fei et al. (1992a) on magnesiowustite from room temperature to 900 K. This difference indicates that thermal pressure in the laser-heated spot can be significant and should be addressed in laser-heated diamond-anvil cell experiments.