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...