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The dynamics of commodity return comovements
Journal of Futures Markets ( IF 1.8 ) Pub Date : 2021-06-02 , DOI: 10.1002/fut.22222
Marcel Prokopczuk 1 , Chardin Wese Simen 2 , Robert Wichmann 3
Affiliation  

We compare factor models with respect to their ability to explain commodity futures return comovements. A simple one-factor model based on the first principal component extracted from a panel of commodity returns outperforms a macroeconomic model, and explains most of the realized comovements. We find that intersectoral correlations display more time variations than intrasectoral correlations. Dissecting the evidence further, we find that comovements are driven by the variation of the factor as opposed to exposure to it. Our results cast doubt on the persistence of the effects of financialization and emphasize the importance of the dynamics of the factor variance.

中文翻译:

商品收益联动的动态

我们比较因子模型解释商品期货收益联动的能力。基于从一组商品回报中提取的第一个主成分的简单单因子模型优于宏观经济模型,并解释了大部分已实现的联动。我们发现部门间相关性比部门内相关性显示出更多的时间变化。进一步剖析证据,我们发现联动是由因素的变化驱动的,而不是由因素的变化驱动的。我们的结果对金融化影响的持久性提出了质疑,并强调了因子方差动态的重要性。
更新日期:2021-06-02
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