| |
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910817527703321 |
|
|
Autore |
Roache Shaun |
|
|
Titolo |
Commodities and the Market Price of Risk / / Shaun Roache |
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Washington, D.C. : , : International Monetary Fund, , 2008 |
|
|
|
|
|
|
|
ISBN |
|
1-4623-6790-9 |
1-4518-7079-5 |
1-4519-8829-X |
1-282-84172-6 |
9786612841729 |
|
|
|
|
|
|
|
|
Edizione |
[1st ed.] |
|
|
|
|
|
Descrizione fisica |
|
1 online resource (25 p.) |
|
|
|
|
|
|
Collana |
|
IMF Working Papers |
IMF working paper ; ; WP/08/221 |
|
|
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
Commodities |
Real interest rates |
Futures |
Return on investment |
Market risk |
Commercial products |
Interest rates |
Derivative securities |
Saving and investment |
Financial risk management |
United States |
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Description based upon print version of record. |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references. |
|
|
|
|
|
|
Nota di contenuto |
|
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 |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
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. |
|
|
|
|
|
|
|
| |