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hal.structure.identifier
dc.contributor.authorLe Pen, Yannick
hal.structure.identifierGroupement de Recherche en Économie Quantitative d'Aix-Marseille [GREQAM]
dc.contributor.authorSévi, Benoît
HAL ID: 3591
dc.date.accessioned2018-03-14T10:47:27Z
dc.date.available2018-03-14T10:47:27Z
dc.date.issued2018
dc.identifier.issn1572-3097
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17555
dc.language.isoenen
dc.subjectCommodity excess co-movement hypothesisen
dc.subjectFactor modelen
dc.subjectHeteroscedasticity-correcteden
dc.subjectcorrelationen
dc.subjectCommodity indexen
dc.subjectFutures tradingen
dc.subject.ddc339en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelE.E1.E17en
dc.titleFutures Trading and the Excess Co-movement of Commodity Pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe empirically reinvestigate the issue of the excess co-movement of commodity prices initially raised in Pindyck and Rotemberg (1990). Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of fundamentals. We use recent developments in large approximate factor models to consider a richer information set and adequately model these fundamentals. We consider a set of eight unrelated commodities along with 184 real and nominal macroeconomic variables, from developed and emerging economies, from which nine factors are extracted over the 1993–2013 period. Our estimates provide evidenceof time-varying excess co-movement which is particularly high after 2007. Wefurther show that speculative intensity is a driver of the estimated excess comovement, as speculative trading is both correlated across the commodity futures markets and correlated with the futures prices. Our results can be taken as direct evidence of the significant impact of financialization on commodity-price crossmoments.en
dc.relation.isversionofjnlnameReview of Finance
dc.relation.isversionofjnlvol22en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpages381-418en
dc.relation.isversionofdoi10.1093/rof/rfx039en
dc.relation.isversionofjnlpublisherOxford University Pressen
dc.subject.ddclabelMacroéconomieen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-03-08T09:57:10Z
hal.identifierhal-01731459*
hal.version1*
hal.author.functionaut
hal.author.functionaut


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