Media type: E-Article; Text Title: The dynamics of commodity return comovements Contributor: Prokopczuk, Marcel [Author]; Wese Simen, Chardin [Author]; Wichmann, Robert [Author] imprint: New York, NY : Wiley Interscience, 2021 Published in: Journal of Futures Markets 41 (2021), Nr. 10 ; Journal of Futures Markets Issue: published Version Language: English DOI: https://doi.org/10.15488/12383; https://doi.org/10.1002/fut.22222 Keywords: comovement ; factor model ; financialization ; commodity markets Origination: Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen. Description: 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. © 2021 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. Access State: Open Access Rights information: Attribution (CC BY)