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Revisiting the excess co-movements of commodity prices in a data-rich environment

dc.contributor.authorLe Pen, Yannick
dc.contributor.authorSévi, Benoît
HAL ID: 3591
dc.date.accessioned2011-07-26T14:27:08Z
dc.date.available2011-07-26T14:27:08Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6800
dc.language.isoenen
dc.subjectspillover indexen
dc.subjectheteroscedasticity-corrected correlationen
dc.subjectfactor modelsen
dc.subjectcommodity excess comovement hypothesisen
dc.subject.ddc332en
dc.subject.classificationjelE17en
dc.subject.classificationjelG15en
dc.subject.classificationjelC32en
dc.subject.classificationjelC22en
dc.titleRevisiting the excess co-movements of commodity prices in a data-rich environmenten
dc.typeCommunication / Conférence
dc.description.abstractenWe reinvestigate the issue of excess comovements of commodity prices initially raised in Pindyck and Rotemberg (1990). While Pindyck and Rotemberg and following contributions consider this issue using an arbitrary set of control variables, we develop our analysis using recent development in large approximate factor models so that a richer information set can be considered. This ensures that fundamentals, a necessary concept for any excess comovement analysis, are modelled as well as possible. We then consider different measures of correlation to assess comovement and we provide evidence of excess comovement for a set of 8 seemingly unrelated commodities. Our results indicate that excess comovement in returns does exist even when the issue of heteroscedasticity is considered. We extend our analysis to the excess comovement of volatilities and show that, contrary to the case of returns, comovement vanishes once the effect of fundamentals have been taken out.en
dc.identifier.citationpages27en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle59e Congrès AFSEen
dc.relation.confdate2010-09
dc.relation.confcityParis (Nanterre)en
dc.relation.confcountryFranceen


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