On the Comovement of Contango and Backwardation Across Futures Commodity Markets
研究农产品、金属和能源期货市场中期货曲线斜率的联动性，发现看似无关的市场中升水和贴水常同时出现，且在金融和宏观经济动荡时期联动性增强，而黄金期货走势与其他市场相反。
ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity futures markets. The degree of comovement in commodity futures curves intensifies during periods of financial and macroeconomic turmoil and increased geopolitical risk. In contrast, our analysis shows that the gold futures market becomes more backwardated (contangoed) when the rest of the commodity futures markets become more contangoed (backwardated).