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Record Nr. |
UNINA9910817527703321 |
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Autore |
Roache Shaun |
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Titolo |
Commodities and the Market Price of Risk / / Shaun Roache |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2008 |
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ISBN |
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1-4623-6790-9 |
1-4518-7079-5 |
1-4519-8829-X |
1-282-84172-6 |
9786612841729 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (25 p.) |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/08/221 |
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Disciplina |
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Soggetti |
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Risk - Econometric models |
Commodity futures - Econometric models |
Capital assets pricing model |
Banks and Banking |
Investments: Commodities |
Investments: General |
Investments: Futures |
Commodity Markets |
Interest Rates: Determination, Term Structure, and Effects |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Investment |
Capital |
Intangible Capital |
Capacity |
Financing Policy |
Financial Risk and Risk Management |
Capital and Ownership Structure |
Value of Firms |
Goodwill |
Investment & securities |
Finance |
Macroeconomics |
Financial services law & regulation |
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Commodities |
Real interest rates |
Futures |
Return on investment |
Market risk |
Commercial products |
Interest rates |
Derivative securities |
Saving and investment |
Financial risk management |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; Appendix |
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Sommario/riassunto |
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Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity futures and test whether these risks are priced, using Merton's (1973) intertemporal capital asset pricing model for a sample of commodity prices covering the period January 1973 - February 2008. I find that commodity futures offer a hedge against lower interest rates and that investors are willing to accept lower expected returns for this position. Although some commodities are also a hedge against U.S. dollar depreciation, this risk is not priced. |
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