On the Comovement of Contango and Backwardation Across Futures Commodity Markets

A. Luisi, F. Roccazzella and A. Triantafyllou ()
Additional contact information
A. Triantafyllou: Audencia Business School

Post-Print from HAL

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).

Keywords: Time varying Global VAR; Backwardation; Contango; Commodities; Futures markets (search for similar items in EconPapers)
Date: 2026-02
Note: View the original document on HAL open archive server: https://hal.science/hal-05635286v4
References: Add references at CitEc
Citations:

Published in Journal of Futures Markets, 2026, 46 (6), pp.955-981. ⟨10.1002/fut.70092⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05635286

DOI: 10.1002/fut.70092

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().