Sévi, Benoît; Le Pen, Yannick - Université Paris-Dauphine (Paris IX) - 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 and speculative pressure in … commodity futures markets. Excess comovement appears when commodity prices remain correlated even after adjusting for the impact …