Predictability of structural co-movement in commodity prices: the role of technical indicators
研究了技术指标和宏观变量对大宗商品期货价格结构性联动的预测能力，发现金融化仍是主导因素，技术分析能显著预测价格波动。
This paper investigates the financialization and structural co-movement of several commodity futures using factor variance decomposition and predictability of technical indicators and macro variables. We find that financialization is still a dominant player in the commodity market and that recent commodity price fluctuations can be significantly and robustly forecasted by technical analyses of commodity index investments. Moreover, the co-movement of commodities is demonstrated by variance decomposition and explained as commodity index investment, which provides evidence of financialization. The overall empirical analysis reveals that technical indicators and macro variables can statistically and economically forecast the indexed investment and off-index trading, respectively, which indicates that they are suitable predictors of the commodity markets.