The dynamics of commodity return comovements
比较不同因子模型解释商品期货收益联动的能力，发现基于主成分的单因子模型优于宏观经济模型，且联动主要由因子方差变动驱动，而非因子暴露。
Abstract 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.