Le Pen, Yannick; Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2013
We 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 pressure and speculative intensity … in commodity futures markets. Excess comovement appears when commodity prices remain correlated even after adjusting for …