Date
2010
Indexation documentaire
Economie financière
Subject
spillover index; heteroscedasticity-corrected correlation; factor models; commodity excess comovement hypothesis
Code JEL
E17; G15; C32; C22
Titre du colloque
59e Congrès AFSE
Date du colloque
09-2010
Ville du colloque
Paris (Nanterre)
Pays du colloque
France
Auteur
Le Pen, Yannick
Sévi, Benoît
Type
Communication / Conférence
Nombre de pages du document
27
Résumé en anglais
We 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.