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Futures trading and the excess comovement of commodity prices

hal.structure.identifierAutre
dc.contributor.authorSévi, Benoît
HAL ID: 3591		*
hal.structure.identifier
dc.contributor.authorLe Pen, Yannick*
dc.date.accessioned2013-06-11T14:44:05Z
dc.date.available2013-06-11T14:44:05Z
dc.date.issued2013-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11382
dc.language.isoenen
dc.subjectCommodity excess comovement hypothesisen
dc.subjectfactors modelen
dc.subjectheteroscedasticity-corrected correlationen
dc.subjectcommodity indexen
dc.subjectfutures tradingen
dc.subject.ddc332en
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 comovement of commodity pricesen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherAix-Marseille Université (Aix-Marseille School of Economics);France
dc.description.abstractenWe empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging and speculative pressure in commodity futures markets. Excess comovement appears when commodity prices remain correlated even after adjusting for the impact of common factors. While Pindyck and Rotemberg and following c ontributions examine this issue using a relevant but arbitrary set of control variables, we use recent developments in large approximate factor models so that a richer information set can be considered and “fundamentals” are likely to be adequately modeled. We consider a set of 8 unrelated commodities along with 187 real and nominal macroeconomic variables from which 9 factors are extracted over the period 1993-2010. Our estimates provide evidence of a time-varying excess comovement which is only occasionally significant, even after controlling for heteroscedasticity. Interestingly, excess comovement is mostly significant in recent years when a large increase in the trading of commodities is observed and also in crisis periods. However, we show that this increase in trading activity alone has no explanatory power for the excess comovement. Conversely, measures of hedging and speculative pressure explain around 60% of the estimated ex cess comovement thereby showing the strong impact not only of the financialization process, but also the impact of behaviour of some categories of traders on the price of commodities and the fact that supply and demand variables are not the sole factors in determining equilibrium prices.en
dc.identifier.citationpages49en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle30th International French Finance Association Conferenceen
dc.relation.confdate2013-05
dc.relation.confcityLyonen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01613916*
hal.version1*
hal.update.actionupdateMetadata*
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